<SEC-DOCUMENT>0000869392-24-001657.txt : 20240826
<SEC-HEADER>0000869392-24-001657.hdr.sgml : 20240826
<ACCEPTANCE-DATETIME>20240826152343
ACCESSION NUMBER:		0000869392-24-001657
CONFORMED SUBMISSION TYPE:	NPORT-P
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20240630
FILED AS OF DATE:		20240826
DATE AS OF CHANGE:		20240826
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:		241240719

	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>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-04-11</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>10.406</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>89773.3</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89795.74</valUSD>
                <pctVal>0.054541699532</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>8.58</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NOURYON FINANCE BV</name>
                <lei>549300GD4NJGLPVYB245</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2670160"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
                <valUSD>212817.14</valUSD>
                <pctVal>0.129264578755</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>7.215</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ROBERTSHAW US HOLDING CORP</name>
                <lei>549300NMXRV2JIXFIY04</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>77051UAL3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2671992"/>
                </identifiers>
                <balance>74000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>740</valUSD>
                <pctVal>0.000449474080</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <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"/>
                </identifiers>
                <balance>430086.18</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>431161.4</valUSD>
                <pctVal>0.261886315860</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>8.678</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>CPM HOLDINGS INC</name>
                <lei>549300FBUISJCXV8IB65</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>12620BAR1</cusip>
                <identifiers>
                    <isin value="US12620BAR15"/>
                </identifiers>
                <balance>168577.22</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>167137.57</valUSD>
                <pctVal>0.101518926437</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>9.843</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>BAUSCH + LOMB CORP</name>
                <lei>549300NY6OZM39SO6475</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>C0787FAG7</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2692587"/>
                </identifiers>
                <balance>125368.42</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>124977.27</valUSD>
                <pctVal>0.075910869587</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>9.344</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>89364MCA0</cusip>
                <identifiers>
                    <isin value="US89364MCA09"/>
                </identifiers>
                <balance>119700</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>119939.4</valUSD>
                <pctVal>0.072850880419</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>8.595</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <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>109450</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>109382.14</valUSD>
                <pctVal>0.066438428082</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>7.585</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALLIANT HOLDINGS INTERMEDIATE LLC</name>
                <lei>5493006Q26653NF8SI73</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>01881UAL9</cusip>
                <identifiers>
                    <isin value="US01881UAL98"/>
                </identifiers>
                <balance>199498.75</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199925.68</valUSD>
                <pctVal>0.121434339394</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>8.831</annualizedRt>
                    <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>459255.45</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>456646.88</valUSD>
                <pctVal>0.277366130299</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>10.708</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>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>267578.3</valUSD>
                <pctVal>0.162526365280</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>8.179</annualizedRt>
                    <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>200044</valUSD>
                <pctVal>0.121506206655</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>8.094</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>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>200000</valUSD>
                <pctVal>0.121479481169</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>8.096</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>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>219793.2</valUSD>
                <pctVal>0.133501819502</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>8.097</annualizedRt>
                    <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>210682.5</valUSD>
                <pctVal>0.127968003957</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>8.576</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>170680</valUSD>
                <pctVal>0.103670589229</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>9.082</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>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>102685.23</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>102685.23</valUSD>
                <pctVal>0.062370742321</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>8.096</annualizedRt>
                    <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>204487.5</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203849.5</valUSD>
                <pctVal>0.123817657483</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>8.594</annualizedRt>
                    <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 POLARIS BIDCO 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>90487.8</valUSD>
                <pctVal>0.054962054981</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>8.835</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2711597"/>
                </identifiers>
                <balance>49875</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49817.15</valUSD>
                <pctVal>0.030258807677</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>7.594</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PACIFIC 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>179550</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>179663.12</valUSD>
                <pctVal>0.109126913014</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>8.579</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>TK ELEVATOR US NEWCO INC</name>
                <lei>549300C2AFWPAYWS5574</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XAD9000BAG77"/>
                </identifiers>
                <balance>133197.38</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>133794.1</valUSD>
                <pctVal>0.081266189257</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>8.791</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MEDLINE BORROWER LP</name>
                <lei>254900QT3R363TVK6F09</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>58503UAE3</cusip>
                <identifiers>
                    <isin value="US58503UAE38"/>
                </identifiers>
                <balance>181258.34</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>181501.23</valUSD>
                <pctVal>0.110243376260</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-23</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.094</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GENESEE  AND  WYOMING INC</name>
                <lei>G617XSG94Z7G0RMW3L02</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2715174"/>
                </identifiers>
                <balance>135000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>134813.7</valUSD>
                <pctVal>0.081885491652</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-04-05</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.335</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>QUIKRETE HOLDINGS INC</name>
                <lei>5493007KIN86DIZWZT22</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>74839XAK5</cusip>
                <identifiers>
                    <isin value="US74839XAK54"/>
                </identifiers>
                <balance>203967.17</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203967.17</valUSD>
                <pctVal>0.123889129935</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-26</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.594</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CARNIVAL CORP</name>
                <lei>F1OF2ZSX47CR0BCWA982</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2716948"/>
                </identifiers>
                <balance>360663.82</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>361114.65</valUSD>
                <pctVal>0.219340101622</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-10-18</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.094</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DAVITA INC</name>
                <lei>M2XHYMU3TZNEZURC6H66</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2717715"/>
                </identifiers>
                <balance>115000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>114626.25</valUSD>
                <pctVal>0.069623686892</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-05-06</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.344</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>API GROUP DE INC</name>
                <lei>549300XP4G7B4QYA0G83</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="US00186XAM56"/>
                </identifiers>
                <balance>90000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>89895.6</valUSD>
                <pctVal>0.054602354237</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>7.344</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>CLOUD SOFTWARE GROUP INC</name>
                <lei>04EEB871XLHVNY4RZJ65</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2721028"/>
                </identifiers>
                <balance>462830.39</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>462136.14</valUSD>
                <pctVal>0.280700292583</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-29</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>9.335</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>PROOFPOINT INC</name>
                <lei>529900C5FODDK0WSR085</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>74345HAG6</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2721793"/>
                </identifiers>
                <balance>237577.25</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>237667.53</valUSD>
                <pctVal>0.144358641175</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-31</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.332</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>MCAFEE CORP</name>
                <lei>2549009UKR8UEZYVCR93</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2722109"/>
                </identifiers>
                <balance>220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>219485.2</valUSD>
                <pctVal>0.133314741101</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>Floating</couponKind>
                    <annualizedRt>8.593</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>CQP HOLDCO LP</name>
                <lei>549300LPL012JY5D4B69</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2723854"/>
                </identifiers>
                <balance>693047.84</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>692798.34</valUSD>
                <pctVal>0.420803914489</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>7.593</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>FLASH CHARM INC</name>
                <lei>549300VQ6S3PWR8NUC48</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2724136"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>198350</valUSD>
                <pctVal>0.120477275449</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-02</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.843</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>WHITE CAP BUYER LLC</name>
                <lei>N/A</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>96350TAH3</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2724150"/>
                </identifiers>
                <balance>467629.02</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>468241.61</valUSD>
                <pctVal>0.284408739222</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-19</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>8.595</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SCIENTIFIC GAMES HOLDINGS LP</name>
                <lei>549300W5GPFXXB6TQ330</lei>
                <title>BANK LOAN NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2724416"/>
                </identifiers>
                <balance>204481.01</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203969.81</valUSD>
                <pctVal>0.123890733465</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
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                <name>READY CAPITAL MORTGAGE FINANCING 2022-FL9 LLC</name>
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                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2014 C19</name>
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                <name>CSMC 2022-NWPT</name>
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                <name>FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK</name>
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                <name>JPMBB COMMERCIAL MORTGAGE SECURITIES TRUST 2013-C14</name>
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                <name>CD 2017-CD4 MORTGAGE TRUST</name>
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                <name>JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2017-JP7</name>
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                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2013-C10</name>
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                <name>JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST 2018-C8</name>
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                <name>MORGAN STANLEY CAPITAL I TRUST 2018-H3</name>
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                    <isin value="US12591VAK70"/>
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                <debtSec>
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                <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2013-LC11</name>
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                <cusip>46639YAC1</cusip>
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                    <isin value="US46639YAC12"/>
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                <debtSec>
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                <name>COMM 2012-LC4 MORTGAGE TRUST</name>
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                    <isin value="US126192AL71"/>
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                <debtSec>
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                <debtSec>
                    <maturityDt>2047-10-10</maturityDt>
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                <name>COMM 2015-LC19 MORTGAGE TRUST</name>
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                <debtSec>
                    <maturityDt>2048-02-10</maturityDt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>COMM 2015-DC1 MORTGAGE TRUST</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>12629NAJ4</cusip>
                <identifiers>
                    <isin value="US12629NAJ46"/>
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                <balance>447000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>413442.59</valUSD>
                <pctVal>0.251123956632</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-02-10</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.035</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 2015-C22</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>61690FAS2</cusip>
                <identifiers>
                    <isin value="US61690FAS20"/>
                </identifiers>
                <balance>575000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>535534.3</valUSD>
                <pctVal>0.325282144561</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.339</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>CSAIL 2015-C1 COMMERCIAL MORTGAGE TRUST</name>
                <lei>549300UFJ8EKD81Y8R30</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>126281BD5</cusip>
                <identifiers>
                    <isin value="US126281BD56"/>
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                <balance>379000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>370754.86</valUSD>
                <pctVal>0.225195540168</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-04-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>3.791</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-C30</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94989NAL1</cusip>
                <identifiers>
                    <isin value="US94989NAL10"/>
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                <balance>121000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>105408.02</valUSD>
                <pctVal>0.064024557903</pctVal>
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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>4.642</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY BANK OF AMERICA MERRILL LYNCH TRUST 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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>223600.54</valUSD>
                <pctVal>0.135814387941</pctVal>
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                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-10-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.668</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2015-SG1</name>
                <lei>549300ZJL46M82UL2Z22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>94989QBA7</cusip>
                <identifiers>
                    <isin value="US94989QBA76"/>
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                <balance>273000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>254171.11</valUSD>
                <pctVal>0.154382872855</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2048-09-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>4.6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2016-NXS5</name>
                <lei>549300SGFUCMB43V8P22</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>95000CBJ1</cusip>
                <identifiers>
                    <isin value="US95000CBJ18"/>
                </identifiers>
                <balance>216000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>164378.16</valUSD>
                <pctVal>0.099842867961</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2059-01-15</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>5.142</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHELTER GROWTH CRE 2022-FL4 ISSUER LTD</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>82286DAA2</cusip>
                <identifiers>
                    <isin value="US82286DAA28"/>
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                <balance>350503.64</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>350941.77</valUSD>
                <pctVal>0.213161120700</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2037-06-17</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>7.635</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC MULTIFAMILY STRUCTURED CREDIT RISK</name>
                <lei>N/A</lei>
                <title>COMMERCIAL MORTGAGE BACKED SECURITIES</title>
                <cusip>35563GAB5</cusip>
                <identifiers>
                    <isin value="US35563GAB59"/>
                </identifiers>
                <balance>797000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>806201.21</valUSD>
                <pctVal>0.489684523542</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>9.335</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>BIOMARIN PHARMACEUTICAL INC</name>
                <lei>NSLL8ITTRR0J5HEMR848</lei>
                <title>CONV. NOTE</title>
                <cusip>09061GAK7</cusip>
                <identifiers>
                    <isin value="US09061GAK76"/>
                </identifiers>
                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>46781.18</valUSD>
                <pctVal>0.028414767374</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>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47886</valUSD>
                <pctVal>0.029085832176</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>8000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27257.59</valUSD>
                <pctVal>0.016556189456</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>107759.4</valUSD>
                <pctVal>0.065452780015</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>19000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>27502.5</valUSD>
                <pctVal>0.016704947154</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>MERITAGE HOMES CORP</name>
                <lei>52990044W9UMFJO2FB97</lei>
                <title>CONV. NOTE</title>
                <cusip>59001ABE1</cusip>
                <identifiers>
                    <isin value="US59001ABE10"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64545</valUSD>
                <pctVal>0.039204465560</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>1.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MERITAGE HOMES CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="59001A102"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="4.3048" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MKS INSTRUMENTS INC</name>
                <lei>549300KEQATBHAGVF505</lei>
                <title>CONV. NOTE</title>
                <cusip>55306NAA2</cusip>
                <identifiers>
                    <isin value="US55306NAA28"/>
                </identifiers>
                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69204.64</valUSD>
                <pctVal>0.042034718808</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MKS INSTRUMENTS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="55306N104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.4799" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SPECTRUM BRANDS INC</name>
                <lei>549300VU3EH2E73C1Q04</lei>
                <title>CONV. NOTE</title>
                <cusip>84762LAY1</cusip>
                <identifiers>
                    <isin value="US84762LAY11"/>
                </identifiers>
                <balance>32000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>30816</valUSD>
                <pctVal>0.018717558458</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SPECTRUM BRANDS HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="84790A105"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.206" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>HAEMONETICS CORP</name>
                <lei>549300ZEL6TXZS6F5F95</lei>
                <title>CONV. NOTE</title>
                <cusip>405024AC4</cusip>
                <identifiers>
                    <isin value="US405024AC41"/>
                </identifiers>
                <balance>49000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>47995.5</valUSD>
                <pctVal>0.029152342192</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>HAEMONETICS CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="405024100"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.5385" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MICROCHIP TECHNOLOGY INC</name>
                <lei>5493007PTFULNYZJ1R12</lei>
                <title>CONV. NOTE</title>
                <cusip>595017BF0</cusip>
                <identifiers>
                    <isin value="US595017BF02"/>
                </identifiers>
                <balance>48000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>48405.6</valUSD>
                <pctVal>0.029401435868</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>MICROCHIP TECHNOLOGY INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="595017104"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.2078" 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>143272.5</valUSD>
                <pctVal>0.087023344829</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>105821</valUSD>
                <pctVal>0.064275400884</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>48408</valUSD>
                <pctVal>0.029402893622</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>14416</valUSD>
                <pctVal>0.008756241003</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>40527.32</valUSD>
                <pctVal>0.024616189034</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>90634.5</valUSD>
                <pctVal>0.055051160180</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>35000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>34609.12</valUSD>
                <pctVal>0.021021489707</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>48916</valUSD>
                <pctVal>0.029711451504</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>62000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>66185</valUSD>
                <pctVal>0.040200597306</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>CONMED CORP</name>
                <lei>Z6C0YCECH9DCU5ZIQW84</lei>
                <title>CONV. NOTE</title>
                <cusip>207410AH4</cusip>
                <identifiers>
                    <isin value="US207410AH48"/>
                </identifiers>
                <balance>44000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>39292.59</valUSD>
                <pctVal>0.023866217235</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>CONMED CORP</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="207410101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="6.881" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>ALTAIR ENGINEERING INC</name>
                <lei>549300FJ89HZ6GU9S994</lei>
                <title>CONV. NOTE</title>
                <cusip>021369AC7</cusip>
                <identifiers>
                    <isin value="US021369AC72"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>74113.18</valUSD>
                <pctVal>0.045016153271</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>101883.56</valUSD>
                <pctVal>0.061883810042</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>63000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>67882.5</valUSD>
                <pctVal>0.041231654402</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>27016.5</valUSD>
                <pctVal>0.016409752015</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>90747.38</valUSD>
                <pctVal>0.055119723199</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>81721</valUSD>
                <pctVal>0.049637123403</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="26.6642" 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>69647.5</valUSD>
                <pctVal>0.042303710824</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>45182</valUSD>
                <pctVal>0.027443429591</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>104384</valUSD>
                <pctVal>0.063402570812</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>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57207.01</valUSD>
                <pctVal>0.034747389470</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"/>
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                <balance>70000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>96045.22</valUSD>
                <pctVal>0.058337617472</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>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>44374.43</valUSD>
                <pctVal>0.026952913668</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>114000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>125875.57</valUSD>
                <pctVal>0.076456494677</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>40000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>57100</valUSD>
                <pctVal>0.034682391874</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>44888</valUSD>
                <pctVal>0.027264854754</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>60265.79</valUSD>
                <pctVal>0.036605284507</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>84304</valUSD>
                <pctVal>0.051206030902</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>53267.5</valUSD>
                <pctVal>0.032354541316</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>125896BX7</cusip>
                <identifiers>
                    <isin value="US125896BX77"/>
                </identifiers>
                <balance>51000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49903.5</valUSD>
                <pctVal>0.030311256443</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>137757</valUSD>
                <pctVal>0.083673244437</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>130405.79</valUSD>
                <pctVal>0.079208138553</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>FLUOR CORP</name>
                <lei>CQ7WZ4NOFWT7FAE6Q943</lei>
                <title>CONV. NOTE</title>
                <cusip>343412AJ1</cusip>
                <identifiers>
                    <isin value="US343412AJ13"/>
                </identifiers>
                <balance>23000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>26231.5</valUSD>
                <pctVal>0.015932945051</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>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>82212</valUSD>
                <pctVal>0.049935355529</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>88162GAB9</cusip>
                <identifiers>
                    <isin value="US88162GAB95"/>
                </identifiers>
                <balance>81000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95010.94</valUSD>
                <pctVal>0.057709398483</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="5.0862" 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>60695.49</valUSD>
                <pctVal>0.036866283172</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>46000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38042</valUSD>
                <pctVal>0.023106612113</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>98550</valUSD>
                <pctVal>0.059859014346</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>50284.85</valUSD>
                <pctVal>0.030542887443</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>111000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>87295.24</valUSD>
                <pctVal>0.053022902319</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>BENTLEY SYSTEMS INC</name>
                <lei>549300WVEHPGE0Z56F71</lei>
                <title>CONV. NOTE</title>
                <cusip>08265TAD1</cusip>
                <identifiers>
                    <isin value="US08265TAD19"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64296</valUSD>
                <pctVal>0.039053223606</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>BENTLEY SYSTEMS INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="08265T208"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="12.0153" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>SHIFT4 PAYMENTS INC</name>
                <lei>N/A</lei>
                <title>CONV. NOTE</title>
                <cusip>82452JAD1</cusip>
                <identifiers>
                    <isin value="US82452JAD19"/>
                </identifiers>
                <balance>72000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>68004</valUSD>
                <pctVal>0.041305453187</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"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="8.1524" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>NUTANIX INC</name>
                <lei>549300X7J6E8TKVIXW09</lei>
                <title>CONV. NOTE</title>
                <cusip>67059NAH1</cusip>
                <identifiers>
                    <isin value="US67059NAH17"/>
                </identifiers>
                <balance>67000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>78122</valUSD>
                <pctVal>0.047451100139</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>NUTANIX INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="67059N108"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="17.3192" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>IMPINJ INC</name>
                <lei>549300M26VGKSMMWWN17</lei>
                <title>CONV. NOTE</title>
                <cusip>453204AD1</cusip>
                <identifiers>
                    <isin value="US453204AD18"/>
                </identifiers>
                <balance>32000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49498.34</valUSD>
                <pctVal>0.030065163310</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>1.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>IMPINJ INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="453204109"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="9.0061" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PATRICK INDUSTRIES INC</name>
                <lei>549300FZ5ZTCCJ3Z5W14</lei>
                <title>CONV. NOTE</title>
                <cusip>703343AG8</cusip>
                <identifiers>
                    <isin value="US703343AG80"/>
                </identifiers>
                <balance>41000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>49610</valUSD>
                <pctVal>0.030132985304</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>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>PATRICK INDUSTRIES INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="703343103"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="10.1039" 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>102000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98680.86</valUSD>
                <pctVal>0.059938498370</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>59000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>64339.5</valUSD>
                <pctVal>0.039079645393</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>120561.14</valUSD>
                <pctVal>0.073228523682</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>88258.33</valUSD>
                <pctVal>0.053607880686</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>15000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>19749.19</valUSD>
                <pctVal>0.011995606774</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>EXACT SCIENCES CORP</name>
                <lei>549300VM3X1FYD4N9Z14</lei>
                <title>CONV. NOTE</title>
                <cusip>30063PAC9</cusip>
                <identifiers>
                    <isin value="US30063PAC95"/>
                </identifiers>
                <balance>105000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>85947.21</valUSD>
                <pctVal>0.052204112394</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>36363.92</valUSD>
                <pctVal>0.022087350674</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>86227.59</valUSD>
                <pctVal>0.052374414478</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=".5327" 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>33000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>63277.5</valUSD>
                <pctVal>0.038434589348</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>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>53630</valUSD>
                <pctVal>0.032574722875</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SHAKE SHACK INC</name>
                            <title>COMMON STOCK</title>
                            <curCd>USD</curCd>
                            <identifiers>
<cusip value="819047101"/>
                            </identifiers>
                        </dbtSecRefInstrument>
                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio="5.8679" curCd="USD"/>
                    </currencyInfos>
                    <delta>XXXX</delta>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>AIRBNB INC</name>
                <lei>549300HMUDNO0RY56D37</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>009066AB7</cusip>
                <identifiers>
                    <isin value="US009066AB74"/>
                </identifiers>
                <balance>42000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>38321.66</valUSD>
                <pctVal>0.023276476872</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>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>54562.5</valUSD>
                <pctVal>0.033141120956</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>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>63963.59</valUSD>
                <pctVal>0.038851318634</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>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SUPER MICRO COMPUTER INC</name>
                <lei>54930022CZO1N2UGVW07</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>86800UAA2</cusip>
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                    <isin value="US86800UAA25"/>
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                <balance>69000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>69113.7</valUSD>
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                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
                    <isContngtConvrtbl>N</isContngtConvrtbl>
                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>SUPER MICRO COMPUTER INC</name>
                            <title>COMMON STOCK</title>
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<cusip value="86800U104"/>
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                    </dbtSecRefInstruments>
                    <currencyInfos>
                        <currencyInfo convRatio=".7455" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>DRAFTKINGS HOLDINGS INC</name>
                <lei>5493008P45UYYL683Z97</lei>
                <title>CONVERTIBLE ZERO</title>
                <cusip>26142RAB0</cusip>
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                    <isin value="US26142RAB06"/>
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                <balance>83000</balance>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2028-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <dbtSecRefInstruments>
                        <dbtSecRefInstrument>
                            <name>DRAFTKINGS HOLDINGS INC</name>
                            <title>COMMON STOCK</title>
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<isin value="US26142R1000"/>
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                    <currencyInfos>
                        <currencyInfo convRatio="10.543" curCd="USD"/>
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                    <delta>XXXX</delta>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>A AND D MORTGAGE TRUST 2024-NQM1</name>
                <lei>984500E3BD374F778L95</lei>
                <title>CORP CMO</title>
                <cusip>00039GAA7</cusip>
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                    <isin value="US00039GAA76"/>
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                <curCd>USD</curCd>
                <valUSD>781128.15</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2069-02-25</maturityDt>
                    <couponKind>Variable</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </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"/>
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                <balance>130197.83</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2036-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.58</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                </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"/>
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                <balance>500000</balance>
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                <curCd>USD</curCd>
                <valUSD>499271</valUSD>
                <pctVal>0.303255910213</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2024-10-22</maturityDt>
                    <couponKind>Floating</couponKind>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>MELLO WAREHOUSE SECURITIZATION TRUST 2021-3</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>58552FAE6</cusip>
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                    <isin value="US58552FAE60"/>
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                <balance>585000</balance>
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                <curCd>USD</curCd>
                <valUSD>586188.14</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2024-10-22</maturityDt>
                    <couponKind>Floating</couponKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LHOME MORTGAGE TRUST 2023-RTL2</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>50205BAA1</cusip>
                <identifiers>
                    <isin value="US50205BAA17"/>
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                <balance>254000</balance>
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                <curCd>USD</curCd>
                <valUSD>252715.01</valUSD>
                <pctVal>0.153498441492</pctVal>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2028-06-25</maturityDt>
                    <couponKind>Variable</couponKind>
                    <annualizedRt>8</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>FREDDIE MAC STACR REMIC TRUST 2020-HQA3</name>
                <lei>5493000ITAM9GTFUKP51</lei>
                <title>CORP CMO</title>
                <cusip>35565MBE3</cusip>
                <identifiers>
                    <isin value="US35565MBE30"/>
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                <balance>430000</balance>
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                <curCd>USD</curCd>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2050-07-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>15.45</annualizedRt>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>FREDDIE MAC STACR REMIC TRUST 2020-DNA4</name>
                <lei>5493000ITFTMJUMPDE35</lei>
                <title>CORP CMO</title>
                <cusip>35565XBE9</cusip>
                <identifiers>
                    <isin value="US35565XBE94"/>
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                <curCd>USD</curCd>
                <valUSD>826336.88</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2050-08-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>15.45</annualizedRt>
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                <securityLending>
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            <invstOrSec>
                <name>FREDDIE MAC STACR REMIC TRUST 2020-DNA5</name>
                <lei>5493000ITF7RKPWPZQ19</lei>
                <title>CORP CMO</title>
                <cusip>35566ABE8</cusip>
                <identifiers>
                    <isin value="US35566ABE82"/>
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                <balance>176000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>245821.49</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <debtSec>
                    <maturityDt>2050-10-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC STACR REMIC TRUST 2020-HQA4</name>
                <lei>5493000IT4TAVS1FNX06</lei>
                <title>CORP CMO</title>
                <cusip>35565RBD4</cusip>
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                    <isin value="US35565RBD44"/>
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                <balance>265186.65</balance>
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                <curCd>USD</curCd>
                <valUSD>296941.13</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2050-09-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <invstOrSec>
                <name>FREDDIE MAC STACR REMIC TRUST 2021-DNA3</name>
                <lei>5493000ISUYHCRLRBE46</lei>
                <title>CORP CMO</title>
                <cusip>35564KFH7</cusip>
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                    <isin value="US35564KFH77"/>
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                <curCd>USD</curCd>
                <valUSD>265730.65</valUSD>
                <pctVal>0.161404107463</pctVal>
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                <debtSec>
                    <maturityDt>2033-10-25</maturityDt>
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                <name>HOME RE 2021-2 LTD</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>43730VAE8</cusip>
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                    <isin value="US43730VAE83"/>
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                <assetCat>ABS-CBDO</assetCat>
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                    <maturityDt>2034-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            <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>
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                <valUSD>191579.58</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
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                <debtSec>
                    <maturityDt>2042-01-25</maturityDt>
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            <invstOrSec>
                <name>CONNECTICUT AVENUE SECURITIES TRUST 2022-R02</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>20754BAB7</cusip>
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                    <isin value="US20754BAB71"/>
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                <balance>400000</balance>
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                <curCd>USD</curCd>
                <valUSD>411500</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
                <issuerCat>CORP</issuerCat>
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                <debtSec>
                    <maturityDt>2042-01-25</maturityDt>
                    <couponKind>Floating</couponKind>
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            </invstOrSec>
            <invstOrSec>
                <name>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-1</name>
                <lei>N/A</lei>
                <title>CORP CMO</title>
                <cusip>026932AC7</cusip>
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                    <isin value="US026932AC79"/>
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                <balance>354758.65</balance>
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                <valUSD>203297.99</valUSD>
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                <assetCat>ABS-CBDO</assetCat>
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                <debtSec>
                    <maturityDt>2047-05-25</maturityDt>
                    <couponKind>Floating</couponKind>
                    <annualizedRt>5.65</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>CHEVY CHASE FUNDING LLC MORTGAGE-BACKED CERTIFICATES SERIES 2006-4</name>
                <lei>5493000OPBL8EFF3O717</lei>
                <title>CORP CMO</title>
                <cusip>16678XAB0</cusip>
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                    <isin value="US16678XAB01"/>
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                <balance>157172.49</balance>
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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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            <invstOrSec>
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            <invstOrSec>
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                    <isin value="US12668AEV35"/>
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            <invstOrSec>
                <name>WAMU MORTGAGE PASS-THROUGH CERTIFICATES SERIES 2005-AR13 TRUST</name>
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                    <isin value="US92922F4V78"/>
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                <name>FREDDIE MAC STACR DEBT NOTES 2015-DNA1</name>
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                <name>FREDDIE MAC STACR DEBT NOTES 2016-DNA1</name>
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            <invstOrSec>
                <name>ALTERNATIVE LOAN TRUST 2006-OA7</name>
                <lei>N/A</lei>
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            <invstOrSec>
                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>FANNIE MAE CONNECTICUT AVENUE SECURITIES</name>
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                <name>BOMBARDIER INC</name>
                <lei>W7L3VLU8EHQY34Z36697</lei>
                <title>CORP. NOTE</title>
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                    <couponKind>Fixed</couponKind>
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                <name>BANIJAY ENTERTAINMENT SAS</name>
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                <title>CORP. NOTE</title>
                <cusip>060335AB2</cusip>
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                <name>AEGEA FINANCE SARL</name>
                <lei>213800V6WTKUT1XWIZ47</lei>
                <title>CORP. NOTE</title>
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                <name>ENERGO-PRO AS</name>
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                <name>SMYRNA READY MIX CONCRETE LLC</name>
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                <title>CORP. NOTE</title>
                <cusip>83283WAE3</cusip>
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                <name>BANK OF NOVA SCOTIA/THE</name>
                <lei>L3I9ZG2KFGXZ61BMYR72</lei>
                <title>CORP. NOTE</title>
                <cusip>06418JAA9</cusip>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-12-07</maturityDt>
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                <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>144949.95</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2026-12-11</maturityDt>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>PROTECTIVE LIFE GLOBAL FUNDING</name>
                <lei>635400EVYITCJYWL2I50</lei>
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                <cusip>74368CBV5</cusip>
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                    <isin value="US74368CBV54"/>
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                <balance>265000</balance>
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                <curCd>USD</curCd>
                <valUSD>268078.51</valUSD>
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                <invCountry>US</invCountry>
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                    <maturityDt>2028-12-08</maturityDt>
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            <invstOrSec>
                <name>AMEREN CORP</name>
                <lei>XRZQ5S7HYJFPHJ78L959</lei>
                <title>CORP. NOTE</title>
                <cusip>023608AQ5</cusip>
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                    <isin value="US023608AQ57"/>
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                <balance>170000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2029-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>FORD MOTOR CREDIT CO LLC</name>
                <lei>UDSQCVRUX5BONN0VY111</lei>
                <title>CORP. NOTE</title>
                <cusip>345397D83</cusip>
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                    <isin value="US345397D831"/>
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                <curCd>USD</curCd>
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                    <maturityDt>2027-03-05</maturityDt>
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            <invstOrSec>
                <name>KINDER MORGAN INC</name>
                <lei>549300WR7IX8XE0TBO16</lei>
                <title>CORP. NOTE</title>
                <cusip>494553AD2</cusip>
                <identifiers>
                    <isin value="US494553AD27"/>
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                <balance>250000</balance>
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                <curCd>USD</curCd>
                <valUSD>247222.75</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>JEFFERSON CAPITAL HOLDINGS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>472481AB6</cusip>
                <identifiers>
                    <isin value="US472481AB63"/>
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                <balance>450000</balance>
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                <curCd>USD</curCd>
                <valUSD>463871.25</valUSD>
                <pctVal>0.281754193896</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ALLIED UNIVERSAL HOLDCO LLC</name>
                <lei>98450038B4549046D794</lei>
                <title>CORP. NOTE</title>
                <cusip>019576AD9</cusip>
                <identifiers>
                    <isin value="US019576AD90"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>205533.41</valUSD>
                <pctVal>0.124840460048</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
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                    <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>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BV8</cusip>
                <identifiers>
                    <isin value="US893647BV82"/>
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                <balance>65000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>65653.86</valUSD>
                <pctVal>0.039877984248</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.625</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>FIRSTCASH INC</name>
                <lei>549300V2X3UU7K0DG350</lei>
                <title>CORP. NOTE</title>
                <cusip>33767DAD7</cusip>
                <identifiers>
                    <isin value="US33767DAD75"/>
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                <balance>367000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>367000</valUSD>
                <pctVal>0.222914847945</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>

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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>GEORGIA POWER CO</name>
                <lei>D981X4Z4RWS7PDMJUZ03</lei>
                <title>CORP. NOTE</title>
                <cusip>373334KV2</cusip>
                <identifiers>
                    <isin value="US373334KV25"/>
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                <balance>145000</balance>
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                <curCd>USD</curCd>
                <valUSD>144542.22</valUSD>
                <pctVal>0.087794569463</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.004</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>25210.03</valUSD>
                <pctVal>0.015312506823</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CLEAR CHANNEL OUTDOOR HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>18453HAF3</cusip>
                <identifiers>
                    <isin value="US18453HAF38"/>
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                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>201000</valUSD>
                <pctVal>0.122086878575</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>MITER BRANDS ACQUISITION HOLDCO INC / MIWD BORROWER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>60672JAA7</cusip>
                <identifiers>
                    <isin value="US60672JAA79"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>206025</valUSD>
                <pctVal>0.125139050539</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>2032-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>RHP HOTEL PROPERTIES LP / RHP FINANCE CORP</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>749571AK1</cusip>
                <identifiers>
                    <isin value="US749571AK15"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>205000</valUSD>
                <pctVal>0.124516468198</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-04-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.5</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>KINETIK HOLDINGS LP</name>
                <lei>549300RD6AJIMYC0HY12</lei>
                <title>CORP. NOTE</title>
                <cusip>49461MAA8</cusip>
                <identifiers>
                    <isin value="US49461MAA80"/>
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                <balance>455000</balance>
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                <curCd>USD</curCd>
                <valUSD>448361.87</valUSD>
                <pctVal>0.272333836717</pctVal>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2030-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.875</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>BUILDERS FIRSTSOURCE INC</name>
                <lei>549300W0SKP6L3H7DP63</lei>
                <title>CORP. NOTE</title>
                <cusip>12008RAR8</cusip>
                <identifiers>
                    <isin value="US12008RAR84"/>
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                <balance>240000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>240345.84</valUSD>
                <pctVal>0.145985439721</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.375</annualizedRt>
                    <isDefault>N</isDefault>
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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>ROYAL CARIBBEAN CRUISES LTD</name>
                <lei>K2NEH8QNVW44JIWK7Z55</lei>
                <title>CORP. NOTE</title>
                <cusip>780153BR2</cusip>
                <identifiers>
                    <isin value="US780153BR26"/>
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                <balance>195000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>208174.98</valUSD>
                <pctVal>0.126444942814</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>9.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CARNIVAL HOLDINGS BERMUDA LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>14366RAA7</cusip>
                <identifiers>
                    <isin value="US14366RAA77"/>
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                <balance>92000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>99597.71</valUSD>
                <pctVal>0.060495390682</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-05-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>10.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
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            <invstOrSec>
                <name>SPIRIT AEROSYSTEMS INC</name>
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            <invstOrSec>
                <name>AIR LEASE CORP</name>
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                <title>CORP. NOTE</title>
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            <invstOrSec>
                <name>ECOPETROL SA</name>
                <lei>254900IDGKCJICKBPA66</lei>
                <title>CORP. NOTE</title>
                <cusip>279158AS8</cusip>
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            <invstOrSec>
                <name>CAESARS ENTERTAINMENT INC</name>
                <lei>549300FA4CTCW903Y781</lei>
                <title>CORP. NOTE</title>
                <cusip>12769GAB6</cusip>
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                    <isin value="US12769GAB68"/>
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                    <maturityDt>2030-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>WYNN RESORTS FINANCE LLC / WYNN RESORTS CAPITAL CORP</name>
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                <title>CORP. NOTE</title>
                <cusip>983133AC3</cusip>
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                    <isin value="US983133AC37"/>
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                    <maturityDt>2031-02-15</maturityDt>
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            <invstOrSec>
                <name>TEVA PHARMACEUTICAL FINANCE NETHERLANDS III BV</name>
                <lei>5493004T21MOAFINJP35</lei>
                <title>CORP. NOTE</title>
                <cusip>88167AAR2</cusip>
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                    <isin value="US88167AAR23"/>
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                <name>RITCHIE BROS HOLDINGS INC</name>
                <lei>254900LH3N0EGB1LQ203</lei>
                <title>CORP. NOTE</title>
                <cusip>76774LAC1</cusip>
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                    <maturityDt>2031-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>JONES DESLAURIERS INSURANCE MANAGEMENT INC</name>
                <lei>549300JQIWNFU00E5424</lei>
                <title>CORP. NOTE</title>
                <cusip>48020RAB1</cusip>
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                <curCd>USD</curCd>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <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>
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                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
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                <pctVal>0.143593624143</pctVal>
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                <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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            <invstOrSec>
                <name>MATADOR RESOURCES CO</name>
                <lei>549300CI3Q2UUK5R4G79</lei>
                <title>CORP. NOTE</title>
                <cusip>576485AF3</cusip>
                <identifiers>
                    <isin value="US576485AF30"/>
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                <balance>208000</balance>
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                    <maturityDt>2028-04-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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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>
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                <curCd>USD</curCd>
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                <invCountry>MU</invCountry>

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                <name>KEDRION SPA</name>
                <lei>81560047FA58E1BEDF67</lei>
                <title>CORP. NOTE</title>
                <cusip>49272YAB9</cusip>
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                    <couponKind>Fixed</couponKind>
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                <name>BENTELER INTERNATIONAL AG</name>
                <lei>529900ZAFSOBVFCKF263</lei>
                <title>CORP. NOTE</title>
                <cusip>08263DAA4</cusip>
                <identifiers>
                    <isin value="US08263DAA46"/>
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                <invCountry>AT</invCountry>
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                    <maturityDt>2028-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>SIX FLAGS ENTERTAINMENT CORP</name>
                <lei>549300JYTDUAA4JQ3717</lei>
                <title>CORP. NOTE</title>
                <cusip>83001AAD4</cusip>
                <identifiers>
                    <isin value="US83001AAD46"/>
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                <balance>275000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2031-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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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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                <invCountry>FR</invCountry>
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                    <maturityDt>2028-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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                <name>TENET HEALTHCARE CORP</name>
                <lei>0W9AIBT6U6ADJ2I8HK17</lei>
                <title>CORP. NOTE</title>
                <cusip>88033GDU1</cusip>
                <identifiers>
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                <balance>455000</balance>
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                <curCd>USD</curCd>
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                    <maturityDt>2031-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>EQUIPMENTSHARE.COM INC</name>
                <lei>254900PWJK48CGPKPI80</lei>
                <title>CORP. NOTE</title>
                <cusip>29450YAA7</cusip>
                <identifiers>
                    <isin value="US29450YAA73"/>
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                <balance>200000</balance>
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                <curCd>USD</curCd>
                <valUSD>206394.8</valUSD>
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                <assetCat>DBT</assetCat>
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                <invCountry>US</invCountry>
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                    <maturityDt>2028-05-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>VENTURE GLOBAL LNG INC</name>
                <lei>54930011XLBUWMQUC829</lei>
                <title>CORP. NOTE</title>
                <cusip>92332YAB7</cusip>
                <identifiers>
                    <isin value="US92332YAB74"/>
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                <balance>450000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>466753.95</valUSD>
                <pctVal>0.283505138398</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-06-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>8.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CIVITAS RESOURCES INC</name>
                <lei>IIVIHPH28S64K95M2381</lei>
                <title>CORP. NOTE</title>
                <cusip>17888HAB9</cusip>
                <identifiers>
                    <isin value="US17888HAB96"/>
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                <balance>420000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>449799</valUSD>
                <pctVal>0.273206745751</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>145399.33</valUSD>
                <pctVal>0.088315175853</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>
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                    <isCashCollateral>N</isCashCollateral>
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                    <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="1.070950469"/>
                <valUSD>194141.53</valUSD>
                <pctVal>0.117921061689</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AVIS BUDGET FINANCE PLC</name>
                <lei>549300W3BJJPGKCIOI13</lei>
                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2648489891"/>
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                <balance>110000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
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                <pctVal>0.070115223242</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ARES CAPITAL CORP</name>
                <lei>WEQ82666OJYSI5GUAB47</lei>
                <title>CORP. NOTE</title>
                <cusip>04010LBE2</cusip>
                <identifiers>
                    <isin value="US04010LBE20"/>
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                <balance>410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>416875.51</valUSD>
                <pctVal>0.253209103334</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7</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>TRANSDIGM INC</name>
                <lei>88Q84GB3X55CF5OC7582</lei>
                <title>CORP. NOTE</title>
                <cusip>893647BS5</cusip>
                <identifiers>
                    <isin value="US893647BS53"/>
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                <balance>190000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>193961.5</valUSD>
                <pctVal>0.117811711934</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-12-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>SOUTHERN CO/THE</name>
                <lei>549300FC3G3YU2FBZD92</lei>
                <title>CORP. NOTE</title>
                <cusip>842587DS3</cusip>
                <identifiers>
                    <isin value="US842587DS35"/>
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                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>263421.52</valUSD>
                <pctVal>0.160001547892</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>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>AIRCASTLE LTD</name>
                <lei>549300PNK8AKY3OIKP58</lei>
                <title>CORP. NOTE</title>
                <cusip>00928QAT8</cusip>
                <identifiers>
                    <isin value="US00928QAT85"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203421.57</valUSD>
                <pctVal>0.123557733911</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-08-11</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ALBERTSONS COS INC / SAFEWAY INC / NEW ALBERTSONS LP / ALBERTSONS LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>013092AG6</cusip>
                <identifiers>
                    <isin value="US013092AG61"/>
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                <balance>271000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>243775.88</valUSD>
                <pctVal>0.148068837119</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>INTELLIGENT PACKAGING LTD FINCO INC / INTELLIGENT PACKAGING LTD CO-ISSUER LLC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>45827MAA5</cusip>
                <identifiers>
                    <isin value="US45827MAA53"/>
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                <balance>210000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203042.28</valUSD>
                <pctVal>0.123327354149</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>CA</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-09-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>REYNOLDS GROUP ISSUER INC / REYNOLDS GROUP ISSUER LLC / REY</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>76174LAA1</cusip>
                <identifiers>
                    <isin value="US76174LAA17"/>
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                <balance>260000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>243523.51</valUSD>
                <pctVal>0.147915548236</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORP. NOTE</title>
                <cusip>71654QDB5</cusip>
                <identifiers>
                    <isin value="US71654QDB59"/>
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                <balance>220000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>211165.17</valUSD>
                <pctVal>0.128261176463</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
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                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-23</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.49</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>VERISURE MIDHOLDING AB</name>
                <lei>549300496LYEZ55X1M49</lei>
                <title>CORP. NOTE</title>
                <cusip>W9821JAH4</cusip>
                <identifiers>
                    <isin value="XS2287912450"/>
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                <balance>595000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
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                <pctVal>0.378373294052</pctVal>
                <payoffProfile>Long</payoffProfile>
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                <issuerCat>CORP</issuerCat>
                <invCountry>SE</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
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            <invstOrSec>
                <name>VIKING OCEAN CRUISES SHIP VII LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>92682RAA0</cusip>
                <identifiers>
                    <isin value="US92682RAA05"/>
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                <balance>230000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>224838.09</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>BM</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.625</annualizedRt>
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            <invstOrSec>
                <name>TWILIO INC</name>
                <lei>5493004W8TRGD63APX93</lei>
                <title>CORP. NOTE</title>
                <cusip>90138FAC6</cusip>
                <identifiers>
                    <isin value="US90138FAC68"/>
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                <balance>275000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>247359.2</valUSD>
                <pctVal>0.150245336392</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.625</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
                <lei>549300BSQ0R4UZ5KX287</lei>
                <title>CORP. NOTE</title>
                <cusip>159864AG2</cusip>
                <identifiers>
                    <isin value="US159864AG27"/>
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                <balance>55000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>50187.5</valUSD>
                <pctVal>0.030483757306</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CHARLES RIVER LABORATORIES INTERNATIONAL INC</name>
                <lei>549300BSQ0R4UZ5KX287</lei>
                <title>CORP. NOTE</title>
                <cusip>159864AJ6</cusip>
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                <name>MATTEL INC</name>
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                <name>CHESAPEAKE ENERGY CORP</name>
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                <name>NEWS CORP</name>
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                <name>DUFRY ONE BV</name>
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                <name>CONSTELLIUM SE</name>
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                <name>SM ENERGY CO</name>
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                <name>MCGRAW-HILL EDUCATION INC</name>
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                <name>HESS MIDSTREAM OPERATIONS LP</name>
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                <name>SOUTHWESTERN ENERGY CO</name>
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                <cusip>845467AR0</cusip>
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                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>ATI INC</name>
                <lei>ZW1LRE7C3H17O2ZN9B45</lei>
                <title>CORP. NOTE</title>
                <cusip>01741RAL6</cusip>
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                    <isin value="US01741RAL69"/>
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                <balance>490000</balance>
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                <curCd>USD</curCd>
                <valUSD>458040.63</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2029-10-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>TGNR INTERMEDIATE HOLDINGS LLC</name>
                <lei>5493007AZNVKZ5HEMT23</lei>
                <title>CORP. NOTE</title>
                <cusip>77289KAA3</cusip>
                <identifiers>
                    <isin value="US77289KAA34"/>
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                <balance>217000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>203123.35</valUSD>
                <pctVal>0.123376595856</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-10-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>KONTOOR BRANDS INC</name>
                <lei>549300M0CPXV65RFF271</lei>
                <title>CORP. NOTE</title>
                <cusip>50050NAA1</cusip>
                <identifiers>
                    <isin value="US50050NAA19"/>
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                <balance>275000</balance>
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                <curCd>USD</curCd>
                <valUSD>248531.25</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>IHS HOLDING LTD</name>
                <lei>213800CLGMKL63VKTD94</lei>
                <title>CORP. NOTE</title>
                <cusip>G4701HAA7</cusip>
                <identifiers>
                    <isin value="XS2413632527"/>
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                <balance>500000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>446875</valUSD>
                <pctVal>0.271430715737</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-11-29</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>JBS USA HOLDING LUX SARL/ JBS USA FOOD CO/ JBS LUX CO SARL</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>46590XAN6</cusip>
                <identifiers>
                    <isin value="US46590XAN66"/>
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                <balance>110000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>98135.02</valUSD>
                <pctVal>0.059606956570</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>LU</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-02-02</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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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>198348</valUSD>
                <pctVal>0.120476060654</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PETROBRAS GLOBAL FINANCE BV</name>
                <lei>549300FNENFFSMO3GT38</lei>
                <title>CORP. NOTE</title>
                <cusip>71647NAV1</cusip>
                <identifiers>
                    <isin value="US71647NAV10"/>
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                <balance>409000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>407042.28</valUSD>
                <pctVal>0.247236424941</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>NL</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-01-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.299</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>AT AND T INC</name>
                <lei>549300Z40J86GGSTL398</lei>
                <title>CORP. NOTE</title>
                <cusip>00206RGL0</cusip>
                <identifiers>
                    <isin value="US00206RGL06"/>
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                <balance>410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>395712.41</valUSD>
                <pctVal>0.240354691294</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.1</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>238212.22</valUSD>
                <pctVal>0.144689484468</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-08-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.65</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TRANSOCEAN POSEIDON LTD</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>89383JAA6</cusip>
                <identifiers>
                    <isin value="US89383JAA60"/>
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                <balance>138375</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>138201.62</valUSD>
                <pctVal>0.083943305471</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>

                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <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>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>246844.77</valUSD>
                <pctVal>0.149932872944</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>BOEING CO/THE</name>
                <lei>RVHJWBXLJ1RFUBSY1F30</lei>
                <title>CORP. NOTE</title>
                <cusip>097023CM5</cusip>
                <identifiers>
                    <isin value="US097023CM50"/>
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                <balance>137000</balance>
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                <curCd>USD</curCd>
                <valUSD>126299.63</valUSD>
                <pctVal>0.076714067621</pctVal>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.7</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>AMERICAN TOWER CORP</name>
                <lei>5493006ORUSIL88JOE18</lei>
                <title>CORP. NOTE</title>
                <cusip>03027XAX8</cusip>
                <identifiers>
                    <isin value="US03027XAX84"/>
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                <balance>410000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>384659.93</valUSD>
                <pctVal>0.233641443614</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>2.75</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LIGHT  AND  WONDER INTERNATIONAL INC</name>
                <lei>RLTHESQ0RNFQJWPBJN60</lei>
                <title>CORP. NOTE</title>
                <cusip>80874YBE9</cusip>
                <identifiers>
                    <isin value="US80874YBE95"/>
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                <balance>450000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>459587.25</valUSD>
                <pctVal>0.279152103409</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.25</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>STANDARD INDUSTRIES INC/NJ</name>
                <lei>54930064UHXCIUWVI755</lei>
                <title>CORP. NOTE</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2080766475"/>
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                <balance>270000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
                <valUSD>271980.72</valUSD>
                <pctVal>0.165200383768</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2026-11-21</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>2.25</annualizedRt>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PRIME SECURITY SERVICES BORROWER LLC / PRIME FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORP. NOTE</title>
                <cusip>74166MAE6</cusip>
                <identifiers>
                    <isin value="US74166MAE66"/>
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                <balance>205000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>202011.67</valUSD>
                <pctVal>0.122701364308</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.25</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>BOISE CASCADE CO</name>
                <lei>549300Z8B8LSRHC7XA55</lei>
                <title>CORP. NOTE</title>
                <cusip>09739DAD2</cusip>
                <identifiers>
                    <isin value="US09739DAD21"/>
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                <balance>215000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199167.79</valUSD>
                <pctVal>0.120973998974</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.875</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>PHARMACIA LLC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71713UAW2</cusip>
                <identifiers>
                    <isin value="US71713UAW27"/>
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                <balance>430000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>455849.33</valUSD>
                <pctVal>0.276881700498</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>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>BATH  AND  BODY WORKS INC</name>
                <lei>GR3KVMWVCR54YWQNXU90</lei>
                <title>CORPORATE BONDS</title>
                <cusip>501797AL8</cusip>
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                    <isin value="US501797AL82"/>
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                <balance>445000</balance>
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                <curCd>USD</curCd>
                <valUSD>448793.63</valUSD>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2035-11-01</maturityDt>
                    <couponKind>Fixed</couponKind>
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            <invstOrSec>
                <name>VMED O2 UK FINANCING I PLC</name>
                <lei>213800MRR46ECNGZ7L69</lei>
                <title>CORPORATE BONDS</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <isin value="XS2231188876"/>
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                <balance>275000</balance>
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                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
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                <debtSec>
                    <maturityDt>2031-01-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.25</annualizedRt>
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            <invstOrSec>
                <name>BOYD GAMING CORP</name>
                <lei>254900787YGRYS2A1Z35</lei>
                <title>CORPORATE BONDS</title>
                <cusip>103304BV2</cusip>
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                    <isin value="US103304BV23"/>
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                <curCd>USD</curCd>
                <valUSD>203918.67</valUSD>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                    <maturityDt>2031-06-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
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            <invstOrSec>
                <name>CROCS INC</name>
                <lei>549300B0J6YCXD63OG72</lei>
                <title>CORPORATE BONDS</title>
                <cusip>227046AB5</cusip>
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                    <isin value="US227046AB51"/>
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                <balance>290000</balance>
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                <curCd>USD</curCd>
                <valUSD>252498.68</valUSD>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-08-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.125</annualizedRt>
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            <invstOrSec>
                <name>NATIONSTAR MORTGAGE HOLDINGS INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>63861CAE9</cusip>
                <identifiers>
                    <isin value="US63861CAE93"/>
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                <balance>500000</balance>
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                <curCd>USD</curCd>
                <valUSD>469958.1</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-11-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>STATION CASINOS LLC</name>
                <lei>5493004E7Q60TX54WL62</lei>
                <title>CORPORATE BONDS</title>
                <cusip>857691AH2</cusip>
                <identifiers>
                    <isin value="US857691AH24"/>
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                <balance>285000</balance>
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                <curCd>USD</curCd>
                <valUSD>254021.38</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.625</annualizedRt>
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                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71643VAB1</cusip>
                <identifiers>
                    <isin value="US71643VAB18"/>
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                <balance>114000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>95449.77</valUSD>
                <pctVal>0.057975942686</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-16</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6.7</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>COMMERCIAL METALS CO</name>
                <lei>549300OQS2LO07ZJ7N73</lei>
                <title>CORPORATE BONDS</title>
                <cusip>201723AR4</cusip>
                <identifiers>
                    <isin value="US201723AR41"/>
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                <balance>267000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>240721.57</valUSD>
                <pctVal>0.146213657149</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CCO HOLDINGS LLC / CCO HOLDINGS CAPITAL CORP</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>1248EPCQ4</cusip>
                <identifiers>
                    <isin value="US1248EPCQ45"/>
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                <balance>244000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199828.8</valUSD>
                <pctVal>0.121375494733</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>LEVI STRAUSS  AND  CO</name>
                <lei>MB0UERO0RDFKU8258G77</lei>
                <title>CORPORATE BONDS</title>
                <cusip>U52799BC3</cusip>
                <identifiers>
                    <isin value="XS1602130947"/>
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                <balance>305000</balance>
                <units>PA</units>
                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
                <valUSD>318669.88</valUSD>
                <pctVal>0.193559258433</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2027-03-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.375</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>ENDEAVOR ENERGY RESOURCES LP / EER FINANCE INC</name>
                <lei>N/A</lei>
                <title>CORPORATE BONDS</title>
                <cusip>29260FAE0</cusip>
                <identifiers>
                    <isin value="US29260FAE07"/>
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                <balance>196000</balance>
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                <curCd>USD</curCd>
                <valUSD>197841.62</valUSD>
                <pctVal>0.120168486756</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-01-30</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.75</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>ARAMARK SERVICES INC</name>
                <lei>42YMHYH0XMHJEXDUB065</lei>
                <title>CORPORATE BONDS</title>
                <cusip>038522AQ1</cusip>
                <identifiers>
                    <isin value="US038522AQ17"/>
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                <balance>208000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>201161.54</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-02-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5</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>PETROLEOS MEXICANOS</name>
                <lei>549300CAZKPF4HKMPX17</lei>
                <title>CORPORATE BONDS</title>
                <cusip>71654QDE9</cusip>
                <identifiers>
                    <isin value="US71654QDE98"/>
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                <balance>686000</balance>
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                <curCd>USD</curCd>
                <valUSD>552823.32</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>MX</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2031-01-28</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.95</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>UNITED RENTALS NORTH AMERICA INC</name>
                <lei>NGIZXNT70J2LYT3FBI09</lei>
                <title>CORPORATE BONDS</title>
                <cusip>911365BN3</cusip>
                <identifiers>
                    <isin value="US911365BN33"/>
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                <balance>88000</balance>
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                <curCd>USD</curCd>
                <valUSD>79580.16</valUSD>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-15</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>PG AND E CORP</name>
                <lei>8YQ2GSDWYZXO2EDN3511</lei>
                <title>CORPORATE BONDS</title>
                <cusip>69331CAJ7</cusip>
                <identifiers>
                    <isin value="US69331CAJ71"/>
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                <balance>475000</balance>
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                <curCd>USD</curCd>
                <valUSD>453637.21</valUSD>
                <pctVal>0.275538064548</pctVal>
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                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.25</annualizedRt>
                    <isDefault>N</isDefault>
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                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            <invstOrSec>
                <name>TAYLOR MORRISON COMMUNITIES INC</name>
                <lei>549300O1Z08HI2MRK572</lei>
                <title>CORPORATE BONDS</title>
                <cusip>87724RAJ1</cusip>
                <identifiers>
                    <isin value="US87724RAJ14"/>
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                <balance>477000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>456772.19</valUSD>
                <pctVal>0.277442243268</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2030-08-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.125</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
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                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>SEAGATE HDD CAYMAN</name>
                <lei>529900BD50TRWEG1SF63</lei>
                <title>CORPORATE BONDS</title>
                <cusip>81180WBM2</cusip>
                <identifiers>
                    <isin value="US81180WBM29"/>
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                <balance>156000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>177939.84</valUSD>
                <pctVal>0.108080197212</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>KY</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2032-12-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>9.625</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>HSBC BANK USA</name>
                <lei>1IE8VN30JCEQV1H4R804</lei>
                <title>CURRENCY FORWARDS</title>
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                <name>CITIBANK N.A.</name>
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            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
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                <name>BANK OF AMERICA N.A.</name>
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                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                <name>NATWEST MARKETS PLC</name>
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                    <fwdDeriv derivCat="FWD">
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>HSBC BANK USA</counterpartyName>
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                    <fwdDeriv derivCat="FWD">
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                <name>TORONTO-DOMINION BANK/THE</name>
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                <assetCat>DFE</assetCat>
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                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>TORONTO-DOMINION BANK/THE</counterpartyName>
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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                <units>NC</units>
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                <assetCat>DFE</assetCat>
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                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>GOLDMAN SACHS INTL FX</counterpartyName>
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            <invstOrSec>
                <name>GOLDMAN SACHS INTL FX</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
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                    <other otherDesc="Internal ID" value="2715002"/>
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                <assetCat>DFE</assetCat>
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                <derivativeInfo>
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                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
                <lei>RR3QWICWWIPCS8A4S074</lei>
                <title>CURRENCY FORWARDS</title>
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                            <counterpartyName>NATWEST MARKETS PLC</counterpartyName>
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            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                    <other otherDesc="Internal ID" value="2715006"/>
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                <units>NC</units>
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                <assetCat>DFE</assetCat>
                <issuerCat>CORP</issuerCat>
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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            <invstOrSec>
                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
                <title>CURRENCY FORWARDS</title>
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                    <other otherDesc="Internal ID" value="2715008"/>
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                <isRestrictedSec>N</isRestrictedSec>
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                <derivativeInfo>
                    <fwdDeriv derivCat="FWD">
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                            <counterpartyName>BARCLAYS BANK PLC WHOLESALE, LONDON </counterpartyName>
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            <invstOrSec>
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                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                <assetCat>DFE</assetCat>
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                    <fwdDeriv derivCat="FWD">
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                <name>STATE STREET B AND T CO</name>
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                            <counterpartyName>STATE STREET B AND T CO</counterpartyName>
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                <name>NATWEST MARKETS PLC</name>
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                <name>WESTPAC BANKING CORPORATION</name>
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                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
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                <name>BARCLAYS BANK PLC WHOLESALE, LONDON </name>
                <lei>G5GSEF7VJP5I7OUK5573</lei>
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                    <fwdDeriv derivCat="FWD">
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                    <fwdDeriv derivCat="FWD">
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            <invstOrSec>
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            <invstOrSec>
                <name>NATWEST MARKETS PLC</name>
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                <name>CITIBANK N.A.</name>
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                <name>INTERCONTINENTAL EXCHANGE INC</name>
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                <lei>9695005MSX1OYEMGDF46</lei>
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                <name>FREDDIE MAC REMICS</name>
                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <lei>S6XOOCT0IEG5ABCC6L87</lei>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>3.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H052678</cusip>
                <identifiers>
                    <isin value="US21H0526788"/>
                </identifiers>
                <balance>5000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>4960749</valUSD>
                <pctVal>3.013146073644</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>5.5</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GINNIE MAE I POOL</name>
                <lei>549300M8ZYFG0OCMTT87</lei>
                <title>GNMA TBA</title>
                <cusip>21H040673</cusip>
                <identifiers>
                    <isin value="US21H0406734"/>
                </identifiers>
                <balance>4000000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>3696542.4</valUSD>
                <pctVal>2.245270264353</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>ABS-MBS</assetCat>
                <issuerCat>USGA</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2054-07-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>4</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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="1.070950469"/>
                <valUSD>908546.02</valUSD>
                <pctVal>0.551848495638</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>REPUBLIC OF COSTA RICA</name>
                <lei>549300S1EK2VN6XVJP58</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3699PGK7</cusip>
                <identifiers>
                    <isin value="USP3699PGK77"/>
                </identifiers>
                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>321200</valUSD>
                <pctVal>0.195096046757</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>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GABONESE REPUBLIC</name>
                <lei>N/A</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>V36283AD7</cusip>
                <identifiers>
                    <isin value="XS2113615228"/>
                </identifiers>
                <balance>370000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>276575</valUSD>
                <pctVal>0.167990937521</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>
                </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>0.159077380591</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="1.070950469"/>
                <valUSD>562240</valUSD>
                <pctVal>0.341503117462</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="1.070950469"/>
                <valUSD>260542.76</valUSD>
                <pctVal>0.158252996536</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>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>1015540.75</valUSD>
                <pctVal>0.616836817079</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 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>382101.95</valUSD>
                <pctVal>0.232087733198</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>355210.8</valUSD>
                <pctVal>0.215754118448</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>442091.58</valUSD>
                <pctVal>0.268525278838</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>
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                <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>434300</valUSD>
                <pctVal>0.263792693358</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>
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                <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>374625</valUSD>
                <pctVal>0.227546253164</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>
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                <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>325875</valUSD>
                <pctVal>0.197935629629</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>192200.98</valUSD>
                <pctVal>0.116742376653</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>574859.72</valUSD>
                <pctVal>0.349168302652</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>575715.07</valUSD>
                <pctVal>0.349687840023</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>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>380100</valUSD>
                <pctVal>0.230871753961</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>EG</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2029-03-01</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>7.6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>DOMINICAN REPUBLIC</name>
                <lei>254900EHU7Q8FGVPI369</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579ECB1</cusip>
                <identifiers>
                    <isin value="USP3579ECB13"/>
                </identifiers>
                <balance>180000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>178125.57</valUSD>
                <pctVal>0.108193009133</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>NUSS</issuerCat>
                <invCountry>DO</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2028-07-19</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>6</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>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>569250</valUSD>
                <pctVal>0.345760973277</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 KENYA</name>
                <lei>549300VVURQQYU45PR87</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>491798AM6</cusip>
                <identifiers>
                    <isin value="US491798AM68"/>
                </identifiers>
                <balance>320000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>305600</valUSD>
                <pctVal>0.185620647226</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>REPUBLIC OF PANAMA</name>
                <lei>549300SHS4T08CL0LP14</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>698299BX1</cusip>
                <identifiers>
                    <isin value="US698299BX19"/>
                </identifiers>
                <balance>730000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>764675</valUSD>
                <pctVal>0.464461611314</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>
                </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>401324.4</valUSD>
                <pctVal>0.243763399462</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>254900EHU7Q8FGVPI369</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBV8</cusip>
                <identifiers>
                    <isin value="USP3579EBV85"/>
                </identifiers>
                <balance>284000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>281335.67</valUSD>
                <pctVal>0.170882556129</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>244710</valUSD>
                <pctVal>0.148636219184</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>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>1018727.61</valUSD>
                <pctVal>0.618772507576</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>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>533594.99</valUSD>
                <pctVal>0.324104212697</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>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>903630</valUSD>
                <pctVal>0.548862517843</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>254900EHU7Q8FGVPI369</lei>
                <title>GOVERNMENT BOND</title>
                <cusip>P3579EBK2</cusip>
                <identifiers>
                    <isin value="USP3579EBK21"/>
                </identifiers>
                <balance>336000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>339360</valUSD>
                <pctVal>0.206126383647</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>EUREX DEUTSCHLAND</name>
                <lei>529900LN3S50JPU47S06</lei>
                <title>GOVERNMENT FUTURES</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <ticker value="OEU4COMDTY"/>
                </identifiers>
                <balance>29</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.070950469"/>
                <valUSD>3616342.7</valUSD>
                <pctVal>2.196557174624</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>2024-09-10</expDate>
                        <notionalAmt>3589608.97</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-26733.73</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="FVU4COMDTY"/>
                </identifiers>
                <balance>104</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>11084125</valUSD>
                <pctVal>6.732468771053</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 11/30/2028</issueTitle>
<identifiers>
    <cusip value="91282CJN2"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2024-10-03</expDate>
                        <notionalAmt>11012658.07</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>71466.93</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="TUU4COMDTY"/>
                </identifiers>
                <balance>17</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3471718.75</valUSD>
                <pctVal>2.108712962571</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 06/30/2026</issueTitle>
<identifiers>
    <cusip value="91282CKY6"/>
</identifiers>
                            </otherRefInst>
                        </descRefInstrmnt>
                        <expDate>2024-10-03</expDate>
                        <notionalAmt>3464521.02</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-7197.73</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="UXYU4COMDTY"/>
                </identifiers>
                <balance>68</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>7720125</valUSD>
                <pctVal>4.689183897793</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <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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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <name>LCH Limited</name>
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            <invstOrSec>
                <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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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                            <counterpartyName>LCH Limited</counterpartyName>
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            <invstOrSec>
                <name>LCH Limited</name>
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                    <other otherDesc="Internal ID" value="2724743"/>
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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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                    <other otherDesc="Internal ID" value="2724748"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2724755"/>
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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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                        <unrealizedAppr>-8507.19</unrealizedAppr>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2724761"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2724763"/>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <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>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                <currencyConditional curCd="ILS" exchangeRt=".264746373"/>
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                <isRestrictedSec>N</isRestrictedSec>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2725406"/>
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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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            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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                    <other otherDesc="Internal ID" value="2725410"/>
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                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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                <securityLending>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2725414"/>
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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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                        <curCd>EUR</curCd>
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                <securityLending>
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            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
                <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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                    <other otherDesc="Internal ID" value="2725418"/>
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                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</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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                <securityLending>
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            <invstOrSec>
                <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
                <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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                    <other otherDesc="Internal ID" value="2725424"/>
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                            <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                <securityLending>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                            <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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                        <swapFlag>Y</swapFlag>
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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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                    <other otherDesc="Internal ID" value="2725544"/>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                <cusip>N/A</cusip>
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>-6352.93</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="2725555"/>
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                <balance>600000</balance>
                <units>NC</units>
                <currencyConditional curCd="SGD" exchangeRt=".737463127"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>LCH Limited</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>-1057.07</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>Interest Rate Swap</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2725563"/>
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                <balance>25060000</balance>
                <units>NC</units>
                <currencyConditional curCd="MYR" exchangeRt=".211976683"/>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>JP MORGANCHASE BANK</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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                        <curCd>MYR</curCd>
                        <unrealizedAppr>5144</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>LCH Limited</name>
                <lei>F226TOH6YD6XJB17KS62</lei>
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                    <other otherDesc="Internal ID" value="2725707"/>
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                <balance>1701300</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
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                <pctVal>0.019510813397</pctVal>
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                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <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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                        <notionalAmt>1701300</notionalAmt>
                        <curCd>EUR</curCd>
                        <unrealizedAppr>-32180.54</unrealizedAppr>
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                </derivativeInfo>
                <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>
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                    <other otherDesc="Internal ID" value="2697519"/>
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                <balance>3030000</balance>
                <units>NC</units>
                <currencyConditional curCd="BRL" exchangeRt=".178887676"/>
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                <pctVal>0.022617924456</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>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
                            <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="0" curCd="BRL" fixedOrFloating="Fixed" fixedRt="0"/>
                        <floatingPmntDesc curCd="BRL" fixedOrFloating="Floating" floatingRtIndex="Brazil Cetip Interbank Deposit Rate" floatingRtSpread="0" pmntAmt="-5887.42">
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<rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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                        <terminationDt>2029-01-02</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>19284.18</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>3030000</notionalAmt>
                        <curCd>BRL</curCd>
                        <unrealizedAppr>-23840.68</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1452729"/>
                </identifiers>
                <balance>40067.21</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>5336.95</valUSD>
                <pctVal>0.003241649585</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="20.03" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2063-05-11</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>5423.69</upfrontRcpt>
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                        <notionalAmt>40067.21</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>106.77</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2726658"/>
                </identifiers>
                <balance>159678.7</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>52214.93</valUSD>
                <pctVal>0.031715213028</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
                        <fixedRecDesc amount="133.07" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>50793.94</upfrontRcpt>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-1287.92</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="1458394"/>
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                <balance>30718.2</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>4091.66</valUSD>
                <pctVal>0.002485263670</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>BANK OF AMERICA N.A.</counterpartyName>
                            <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-143.31</unrealizedAppr>
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                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2099276"/>
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                <balance>185591.25</balance>
                <units>NC</units>
                <curCd>USD</curCd>
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                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>GB</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <swapFlag>Y</swapFlag>
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                        <unrealizedAppr>249.87</unrealizedAppr>
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            <invstOrSec>
                <name>J.P. MORGAN SECURITIES, LLC</name>
                <lei>ZBUT11V806EZRVTWT807</lei>
                <title>Mortgage Backed Swap Basket Index</title>
                <cusip>N/A</cusip>
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                    <other otherDesc="Internal ID" value="2297409"/>
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                <balance>120000</balance>
                <units>NC</units>
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                <pctVal>0.029854797292</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>J.P. MORGAN SECURITIES, LLC</counterpartyName>
                            <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-39423.42</unrealizedAppr>
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            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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                        <curCd>USD</curCd>
                        <unrealizedAppr>-2778.55</unrealizedAppr>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>MERRILL LYNCH INTERNATIONAL</name>
                <lei>GGDZP1UYGU9STUHRDP48</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="2348236"/>
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                <balance>279000</balance>
                <units>NC</units>
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                <pctVal>0.069412403704</pctVal>
                <payoffProfile>N/A</payoffProfile>
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                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
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                            <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>290000</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1670.67</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2726652"/>
                </identifiers>
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                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>6641.37</valUSD>
                <pctVal>0.004033950909</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
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                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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                        <terminationDt>2047-01-17</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>20310.01</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>163.82</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>CITIGROUP GLOBAL MARKETS INC</name>
                <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <other otherDesc="Internal ID" value="2726654"/>
                </identifiers>
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                <units>NC</units>
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                <valUSD>76719.31</valUSD>
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                    <swapDeriv derivCat="SWP">
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                            <counterpartyName>CITIGROUP GLOBAL MARKETS INC</counterpartyName>
                            <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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                        <swapFlag>Y</swapFlag>
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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                        <terminationDt>2047-01-17</terminationDt>
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                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>234615.63</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>1892.35</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
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            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>Mortgage Backed Swap Basket Index</title>
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                    <other otherDesc="Internal ID" value="1453320"/>
                </identifiers>
                <balance>28492.24</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>3795.17</valUSD>
                <pctVal>0.002305176413</pctVal>
                <payoffProfile>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>
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                        <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="CMBX.NA.BBB-.6 Index" floatingRtSpread="0" pmntAmt="0">
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<rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
                            </rtResetTenors>
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                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>4374.6</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>28492.24</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>593.68</unrealizedAppr>
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                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>PUTNAM INVESTMENT FUNDS-PUTNAM GOVERNMENT MONEY MARKET FUND</name>
                <lei>549300SEUI2XMME8T893</lei>
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                <cusip>74680A869</cusip>
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                    <isin value="US74680A8696"/>
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                <balance>24780074</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>24780074</valUSD>
                <pctVal>15.051352664229</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>
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            </invstOrSec>
            <invstOrSec>
                <name>State Street Institutional U.S. Government Money Market Fund, Premier Class</name>
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                <title>SHORT TERM INV FUND</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="715802"/>
                </identifiers>
                <balance>1412000</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>1412000</valUSD>
                <pctVal>0.857645137052</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>
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            </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>13133672</balance>
                <units>NS</units>
                <curCd>USD</curCd>
                <valUSD>13133672</valUSD>
                <pctVal>7.977358302009</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>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=".6671"/>
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                <pctVal>-0.036571792614</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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    <pmntCurCd>USD</pmntCurCd>
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    <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>-60210.65</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
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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"/>
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                <balance>929600</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
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                <pctVal>0.119392803825</pctVal>
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                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
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                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <writtenOrPur>Purchased</writtenOrPur>
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<swapDeriv derivCat="SWP">
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        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
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                        <shareNo>1</shareNo>
                        <exercisePrice>1.441</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2025-07-01</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>196564.56</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
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                    <isLoanByFund>N</isLoanByFund>
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            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2408782"/>
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                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
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                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
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                        <writtenOrPur>Purchased</writtenOrPur>
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<swapDeriv derivCat="SWP">
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    <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>-50950.39</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
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                    <isCashCollateral>N</isCashCollateral>
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            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
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                <identifiers>
                    <other otherDesc="Internal ID" value="2542455"/>
                </identifiers>
                <balance>2078300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
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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>
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                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
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<swapDeriv derivCat="SWP">
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        <counterpartyName>UBS AG</counterpartyName>
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    <pmntCurCd>USD</pmntCurCd>
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    <notionalAmt>2078300</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
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                        <shareNo>1</shareNo>
                        <exercisePrice>2</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2036-09-10</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-49093.63</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="2542457"/>
                </identifiers>
                <balance>2078300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
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                <pctVal>0.072186217585</pctVal>
                <payoffProfile>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>
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                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
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        <counterpartyName>UBS AG</counterpartyName>
        <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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    <floatingRecDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 month AUD-BBR-BBSW" floatingRtSpread="0" pmntAmt="0">
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    <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>118845.12</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=".6671"/>
                <valUSD>-116333.95</valUSD>
                <pctVal>-0.070660939442</pctVal>
                <payoffProfile>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>-116333.95</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2564299"/>
                </identifiers>
                <balance>2376500</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>287997.07</valUSD>
                <pctVal>0.174928673209</pctVal>
                <payoffProfile>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>287997.07</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2593615"/>
                </identifiers>
                <balance>997300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>-22733.26</valUSD>
                <pctVal>-0.013808123150</pctVal>
                <payoffProfile>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>-22733.26</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UBS AG</name>
                <lei>BFM8T61CT2L1QCEMIK50</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2593617"/>
                </identifiers>
                <balance>997300</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>33637.51</valUSD>
                <pctVal>0.020431336313</pctVal>
                <payoffProfile>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>33637.51</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="1.07095"/>
                <valUSD>-58904.42</valUSD>
                <pctVal>-0.035778391901</pctVal>
                <payoffProfile>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>-58904.42</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>GOLDMAN SACHS INTERNATIONAL</name>
                <lei>W22LROWP2IHZNBB6K528</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2656354"/>
                </identifiers>
                <balance>18519200</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>-12891.54</valUSD>
                <pctVal>-0.007830287953</pctVal>
                <payoffProfile>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>-12891.54</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="2657278"/>
                </identifiers>
                <balance>1473200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-36461.7</valUSD>
                <pctVal>-0.022146741993</pctVal>
                <payoffProfile>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>-36461.7</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2657280"/>
                </identifiers>
                <balance>1473200</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>35430.46</valUSD>
                <pctVal>0.021520369492</pctVal>
                <payoffProfile>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>35430.46</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2698589"/>
                </identifiers>
                <balance>3843900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>422.83</valUSD>
                <pctVal>0.000256825845</pctVal>
                <payoffProfile>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>422.83</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2698607"/>
                </identifiers>
                <balance>3843900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-45396.46</valUSD>
                <pctVal>-0.027573692039</pctVal>
                <payoffProfile>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>-45396.46</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="2698925"/>
                </identifiers>
                <balance>15498300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>85240.65</valUSD>
                <pctVal>0.051774949682</pctVal>
                <payoffProfile>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>85240.65</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>14253.9</valUSD>
                <pctVal>0.008657781883</pctVal>
                <payoffProfile>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>14253.9</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2702040"/>
                </identifiers>
                <balance>10834600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>88735.37</valUSD>
                <pctVal>0.053897633545</pctVal>
                <payoffProfile>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>88735.37</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="2702246"/>
                </identifiers>
                <balance>7164300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-104527.14</valUSD>
                <pctVal>-0.063489513676</pctVal>
                <payoffProfile>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>-104527.14</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2702248"/>
                </identifiers>
                <balance>7164300</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>93350.83</valUSD>
                <pctVal>0.056701051975</pctVal>
                <payoffProfile>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>93350.83</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>7494000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-32598.9</valUSD>
                <pctVal>-0.019800487293</pctVal>
                <payoffProfile>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>7494000</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>-32598.9</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="2715802"/>
                </identifiers>
                <balance>3178000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-12584.88</valUSD>
                <pctVal>-0.007644023465</pctVal>
                <payoffProfile>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="3.925"/>
    <terminationDt>2037-04-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3178000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-04-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-12584.88</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>BANK OF AMERICA N.A.</name>
                <lei>B4TYDEB6GKMZO031MB27</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2715804"/>
                </identifiers>
                <balance>3178000</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>13379.38</valUSD>
                <pctVal>0.008126600704</pctVal>
                <payoffProfile>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="3.925"/>
    <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>2037-04-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>3178000</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.925</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-04-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>13379.38</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2716053"/>
                </identifiers>
                <balance>5999100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>-14198.67</valUSD>
                <pctVal>-0.008624235324</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.201"/>
    <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>2039-04-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5999100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>1.201</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-04-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-14198.67</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2716059"/>
                </identifiers>
                <balance>5999100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>5461.03</valUSD>
                <pctVal>0.003317015455</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="4.201"/>
    <terminationDt>2039-04-13</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5999100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.201</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-04-11</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>5461.03</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="2716215"/>
                </identifiers>
                <balance>1717700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>10392.08</valUSD>
                <pctVal>0.006312122433</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.945"/>
    <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>2037-04-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1717700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.945</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-04-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>10392.08</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="2716217"/>
                </identifiers>
                <balance>1717700</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-6166.54</valUSD>
                <pctVal>-0.003745540399</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="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="3.945"/>
    <terminationDt>2037-04-14</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>1717700</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.945</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2027-04-12</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6166.54</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="2716611"/>
                </identifiers>
                <balance>2286800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>11094.19</valUSD>
                <pctVal>0.006738582226</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingRecDesc>
    <fixedPmntDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.665"/>
    <terminationDt>2043-04-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2286800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.665</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2033-04-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>11094.19</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2716613"/>
                </identifiers>
                <balance>2286800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>-8130.84</valUSD>
                <pctVal>-0.004938651123</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
                            <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>JP MORGANCHASE BANK</counterpartyName>
        <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="EUR" fixedOrFloating="Fixed" fixedRt="2.665"/>
    <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>2043-04-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>2286800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.665</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2033-04-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-8130.84</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="2716935"/>
                </identifiers>
                <balance>486800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>2653.61</valUSD>
                <pctVal>0.001611795830</pctVal>
                <payoffProfile>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="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="2.25"/>
    <terminationDt>2054-04-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>486800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.25</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-04-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>2653.61</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="2716937"/>
                </identifiers>
                <balance>486800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>-3211.44</valUSD>
                <pctVal>-0.001950620325</pctVal>
                <payoffProfile>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="EUR" fixedOrFloating="Fixed" fixedRt="2.25"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2054-04-21</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>486800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.25</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2034-04-19</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-3211.44</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="2719236"/>
                </identifiers>
                <balance>9201500</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>3007.78</valUSD>
                <pctVal>0.001826917769</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="AUD" fixedOrFloating="Fixed" fixedRt="4.8525"/>
    <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>2039-05-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9201500</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.8525</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2029-05-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>3007.78</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="2719238"/>
                </identifiers>
                <balance>9201500</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>-6322.47</valUSD>
                <pctVal>-0.003840251877</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                            <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Purchased</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
        <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="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="4.8525"/>
    <terminationDt>2039-05-08</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>9201500</notionalAmt>
    <curCd>AUD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>4.8525</exercisePrice>
                        <exercisePriceCurCd>AUD</exercisePriceCurCd>
                        <expDt>2029-05-07</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-6322.47</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="2719249"/>
                </identifiers>
                <balance>714100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>13964.62</valUSD>
                <pctVal>0.008482073962</pctVal>
                <payoffProfile>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="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="2.239"/>
    <terminationDt>2058-05-10</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>714100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.239</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-05-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>13964.62</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="2719251"/>
                </identifiers>
                <balance>714100</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>-5789.27</valUSD>
                <pctVal>-0.003516387580</pctVal>
                <payoffProfile>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="EUR" fixedOrFloating="Fixed" fixedRt="2.239"/>
    <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 month EUR-EURIBOR" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2058-05-10</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>714100</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.239</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2028-05-08</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-5789.27</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2725386"/>
                </identifiers>
                <balance>13386900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-35743.02</valUSD>
                <pctVal>-0.021710217625</pctVal>
                <payoffProfile>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="3.85"/>
    <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>2034-09-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>13386900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.85</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-09-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-35743.02</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2725388"/>
                </identifiers>
                <balance>13386900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>35475.28</valUSD>
                <pctVal>0.021547593044</pctVal>
                <payoffProfile>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="3.85"/>
    <terminationDt>2034-09-17</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>13386900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.85</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-09-13</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>35475.28</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2725573"/>
                </identifiers>
                <balance>13386900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>92637.35</valUSD>
                <pctVal>0.056267686074</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Call</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="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="3.75"/>
    <terminationDt>2034-09-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>13386900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-09-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>92637.35</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>CITIBANK N.A.</name>
                <lei>E57ODZWZ7FF32TWEFA76</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2725575"/>
                </identifiers>
                <balance>13386900</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-86613.24</valUSD>
                <pctVal>-0.052608657288</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DIR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <optionSwaptionWarrantDeriv derivCat="SWO">
                        <counterparties>
                            <counterpartyName>CITIBANK N.A.</counterpartyName>
                            <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                        </counterparties>
                        <putOrCall>Put</putOrCall>
                        <writtenOrPur>Written</writtenOrPur>
                        <descRefInstrmnt>
                            <nestedDerivInfo>
<swapDeriv derivCat="SWP">
    <counterparties>
        <counterpartyName>CITIBANK N.A.</counterpartyName>
        <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
    </counterparties>
    <fixedRecDesc amount="0" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.75"/>
    <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="Secured Overnight Financing Rate" floatingRtSpread="0" pmntAmt="0">
        <rtResetTenors>
            <rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
        </rtResetTenors>
    </floatingPmntDesc>
    <terminationDt>2034-09-18</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>13386900</notionalAmt>
    <curCd>USD</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>3.75</exercisePrice>
                        <exercisePriceCurCd>USD</exercisePriceCurCd>
                        <expDt>2024-09-16</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>-86613.24</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="2725703"/>
                </identifiers>
                <balance>5537800</balance>
                <units>NC</units>
                <currencyConditional curCd="EUR" exchangeRt="1.07095"/>
                <valUSD>31017.6</valUSD>
                <pctVal>0.018840009776</pctVal>
                <payoffProfile>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="2.952"/>
    <terminationDt>2049-06-20</terminationDt>
    <upfrontPmnt>0</upfrontPmnt>
    <pmntCurCd>USD</pmntCurCd>
    <upfrontRcpt>0</upfrontRcpt>
    <rcptCurCd>USD</rcptCurCd>
    <notionalAmt>5537800</notionalAmt>
    <curCd>EUR</curCd>
</swapDeriv>
                            </nestedDerivInfo>
                        </descRefInstrmnt>
                        <shareNo>1</shareNo>
                        <exercisePrice>2.952</exercisePrice>
                        <exercisePriceCurCd>EUR</exercisePriceCurCd>
                        <expDt>2029-06-18</expDt>
                        <delta>XXXX</delta>
                        <unrealizedAppr>31017.6</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=".6671"/>
                <valUSD>211779.4</valUSD>
                <pctVal>0.128634258171</pctVal>
                <payoffProfile>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>211779.4</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353436"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>167142.28</valUSD>
                <pctVal>0.101521787279</pctVal>
                <payoffProfile>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>167142.28</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2353434"/>
                </identifiers>
                <balance>1387400</balance>
                <units>NC</units>
                <currencyConditional curCd="AUD" exchangeRt=".6671"/>
                <valUSD>-41639.8</valUSD>
                <pctVal>-0.025291906500</pctVal>
                <payoffProfile>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>-41639.8</unrealizedAppr>
                    </optionSwaptionWarrantDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>JP MORGANCHASE BANK</name>
                <lei>7H6GLXDRUGQFU57RNE97</lei>
                <title>SWAPTION</title>
                <cusip>N/A</cusip>
                <identifiers>
                    <other otherDesc="Internal ID" value="2702043"/>
                </identifiers>
                <balance>10834600</balance>
                <units>NC</units>
                <curCd>USD</curCd>
                <valUSD>-153092.9</valUSD>
                <pctVal>-0.092988230313</pctVal>
                <payoffProfile>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>-153092.9</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>1017944.85</valUSD>
                <pctVal>0.618297061183</pctVal>
                <payoffProfile>N/A</payoffProfile>
                <assetCat>DCR</assetCat>
                <issuerCat>CORP</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <derivativeInfo>
                    <swapDeriv derivCat="SWP">
                        <counterparties>
                            <counterpartyName>MORGAN STANLEY AND CO. INTERNATIONAL</counterpartyName>
                            <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
                        </counterparties>
                        <swapFlag>Y</swapFlag>
                        <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3.80%/Ephesus Funding DAC, 3.80%, Series 2020-01, 9/22/25" floatingRtSpread="0" pmntAmt="32478.92">
                            <rtResetTenors>
<rtResetTenor rateTenor="Year" rateTenorUnit="1" resetDt="Year" resetDtUnit="1"/>
                            </rtResetTenors>
                        </floatingRecDesc>
                        <fixedPmntDesc amount="-1384.97" curCd="USD" fixedOrFloating="Fixed" fixedRt=".165"/>
                        <terminationDt>2025-09-29</terminationDt>
                        <upfrontPmnt>0</upfrontPmnt>
                        <pmntCurCd>USD</pmntCurCd>
                        <upfrontRcpt>0</upfrontRcpt>
                        <rcptCurCd>USD</rcptCurCd>
                        <notionalAmt>1075355.65</notionalAmt>
                        <curCd>USD</curCd>
                        <unrealizedAppr>-26316.85</unrealizedAppr>
                    </swapDeriv>
                </derivativeInfo>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>MORGAN STANLEY AND CO. INTERNATIONAL</name>
                <lei>4PQUHN3JPFGFNF3BB653</lei>
                <title>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>944075.52</valUSD>
                <pctVal>0.573429021769</pctVal>
                <payoffProfile>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="-946.97">
                            <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>-88156.57</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>912797KQ9</cusip>
                <identifiers>
                    <isin value="US912797KQ92"/>
                </identifiers>
                <balance>200000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>199358.34</valUSD>
                <pctVal>0.121089738549</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-07-23</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>912797KZ9</cusip>
                <identifiers>
                    <isin value="US912797KZ91"/>
                </identifiers>
                <balance>600000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>595017.25</valUSD>
                <pctVal>0.361411934083</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2024-08-27</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>0</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED STATES OF AMERICA</name>
                <lei>254900HROIFWPRGM1V77</lei>
                <title>U.S. T. NOTE</title>
                <cusip>912828ZT0</cusip>
                <identifiers>
                    <isin value="US912828ZT04"/>
                </identifiers>
                <balance>2000</balance>
                <units>PA</units>
                <curCd>USD</curCd>
                <valUSD>1912.9</valUSD>
                <pctVal>0.001161890498</pctVal>
                <payoffProfile>Long</payoffProfile>
                <assetCat>DBT</assetCat>
                <issuerCat>UST</issuerCat>
                <invCountry>US</invCountry>
                <isRestrictedSec>N</isRestrictedSec>
                <fairValLevel>2</fairValLevel>
                <debtSec>
                    <maturityDt>2025-05-31</maturityDt>
                    <couponKind>Fixed</couponKind>
                    <annualizedRt>.25</annualizedRt>
                    <isDefault>N</isDefault>
                    <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
                    <isPaidKind>N</isPaidKind>
                </debtSec>
                <securityLending>
                    <isCashCollateral>N</isCashCollateral>
                    <isNonCashCollateral>N</isNonCashCollateral>
                    <isLoanByFund>N</isLoanByFund>
                </securityLending>
            </invstOrSec>
            <invstOrSec>
                <name>UNITED 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>134304.17</valUSD>
                <pctVal>0.081576004452</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>442826.09</valUSD>
                <pctVal>0.268971418306</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>403398.87</valUSD>
                <pctVal>0.245023427159</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>199602.87</valUSD>
                <pctVal>0.121238265437</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>
                </debtSec>
                <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>834346.31</valUSD>
                <pctVal>0.506779784270</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>206859.79</valUSD>
                <pctVal>0.125646099819</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>
                </debtSec>
                <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>2024-08-26</ncom:dateSigned>
            <ncom:nameOfApplicant>Putnam Master Intermediate Income Trust</ncom:nameOfApplicant>
            <ncom:signature>Kevin R Blatchford</ncom:signature>
            <ncom:signerName>Kevin R Blatchford</ncom:signerName>
            <ncom:title>Assistant Treasurer</ncom:title>
        </signature>
    </formData>
    <documents>XXXX</documents>
</edgarSubmission>
</XML>
</TEXT>
</DOCUMENT>
<DOCUMENT>
<TYPE>NPORT-EX
<SEQUENCE>2
<FILENAME>b_074nport063024.htm
<DESCRIPTION>QUARTERLY PORTFOLIO HOLDINGS
<TEXT>
<html>
	<head>
		<title></title>
	</head>
	<body>
<HR noshade align="center" width=100% size=2>

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

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

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 16px; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/30/24
(Unaudited)</FONT></td>
</tr><br></table><BR><BR>

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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (43.4%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Government Guaranteed Mortgage Obligations (8.4%)</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$4,960,749</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%,
5/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,301</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,525</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
5/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,283</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,477</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,752,855</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,696,542</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%,
with due dates from 10/20/49 to 3/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,135</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,468</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,780,616</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Government Agency Mortgage Obligations (35.0%)</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
with due dates from 1/1/49 to 8/1/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,848</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,582</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%,
TBA, 8/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,261,318</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,266,007</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,061,888</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%,
TBA, 8/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">885,132</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">885,078</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00%,
TBA, 8/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">851,563</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850,938</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.50%,
TBA, 7/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">816,445</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.50%,
TBA, 8/1/54</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">817,461</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,747,412</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total U.S. government and agency mortgage obligations (cost $71,806,739)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$71,528,028</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 50%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>
<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
TREASURY OBLIGATIONS (0.1%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.875%,
2/28/27<B><I><SUP>(i)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$143,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$134,304</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.25%,
5/31/25<B><I><SUP>(i)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,913</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
U.S. treasury obligations (cost $136,217)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$136,217</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MORTGAGE-BACKED
SECURITIES (35.2%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Agency
collateralized mortgage obligations (13.5%)</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4077, Class IK, IO, 5.00%, 7/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$392,355</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$79,266</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5091, Class IL, IO, 4.50%, 3/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,244,945</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">499,120</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5093, Class YI, IO, 4.50%, 12/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,714,261</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403,427</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5024, Class HI, IO, 4.50%, 10/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,184,305</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">969,245</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4984, Class IL, IO, 4.50%, 6/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,304,631</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">529,938</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4000, Class PI, IO, 4.50%, 1/15/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,379</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,087</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 5134, Class IC, IO, 4.00%, 8/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,318,924</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,145</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 23-5349, Class IB, IO, 4.00%, 12/15/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,969,164</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,721</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4193, Class PI, IO, 4.00%, 3/15/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,295</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">56,278</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 4105, Class HI, IO, 3.50%, 7/15/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,791</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,164</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Strips
Ser. 304, Class C37, IO, 3.50%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,335</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,757</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 5011, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.80%, 9/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,516,538</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,283</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4742, Class S, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.752%, 12/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">590,447</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,411</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4839, Class WS, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.652%, 8/15/56</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,158,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">258,982</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 5002, Class SJ, IO, ((-1 x US 30 Day Average SOFR) + 5.99%), 0.65%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,166,159</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">319,948</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 4945, Class SL, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.60%, 1/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,223,966</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">214,869</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 16-3, Class NI, IO, 6.00%, 2/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">822,303</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,953</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
Strip Ser. 374, Class 6, IO, 5.50%, 8/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,868</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,989</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 15-30, IO, 5.50%, 5/25/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,019,031</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,458</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
Strip Ser. 378, Class 19, IO, 5.00%, 6/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,534</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,603</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 20-76, Class BI, IO, 4.50%, 11/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,249,031</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">707,412</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 12-127, Class BI, IO, 4.50%, 11/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,727</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,904</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-58, Class DI, IO, 4.00%, 6/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,116,637</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,373</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-41, Class IP, IO, 4.00%, 5/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,325</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,239</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-44, Class PI, IO, 4.00%, 1/25/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,837</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,846</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
Ser. 13-60, Class IP, IO, 4.00%, 10/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,660</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,306</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 10-35, Class SG, IO, ((-1 x US 30 Day Average SOFR) + 6.29%), 0.95%, 4/25/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">248,244</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,421</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 18-20, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.14%), 0.80%, 3/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,340,753</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,906</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 18-38, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.09%), 0.75%, 6/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,326,560</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249,931</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 17-32, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.70%, 5/25/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,890,509</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,094</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 13-18, Class SB, IO, ((-1 x US 30 Day Average SOFR) + 6.04%), 0.70%, 10/25/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 19-43, Class JS, IO, ((-1 x US 30 Day Average SOFR) + 5.94%), 0.60%, 8/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,270,678</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,431</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
FRB Ser. 19-61, Class S, IO, ((-1 x US 30 Day Average SOFR) + 5.89%), 0.55%, 11/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,645,847</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,322</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs
IFB Ser. 11-101, Class SA, IO, ((-1 x US 30 Day Average SOFR) + 5.79%), 0.45%, 10/25/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">586,706</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,964</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%,
12/20/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,646,908</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">348,819</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-42, IO, 5.00%, 2/20/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">772,270</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,123</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-127, Class IC, IO, 5.00%, 10/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,376,825</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322,989</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-76, IO, 5.00%, 5/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,258</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,767</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-146, IO, 5.00%, 12/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,232</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,974</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-26, Class MI, IO, 5.00%, 11/20/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,005,514</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,019</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-79, Class GI, IO, 5.00%, 10/20/39</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,740</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,384</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-94, Class AI, IO, 4.50%, 7/20/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">916,374</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">193,205</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-122, Class GI, IO, 4.50%, 11/20/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,267,746</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">691,020</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-34, Class IH, IO, 4.50%, 3/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,582</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-42, Class IC, IO, 4.50%, 8/20/41</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">379,208</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,911</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
22-36, IO, 4.00%, 2/20/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,803,791</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500,143</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-214, Class AI, IO, 4.00%, 12/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,827,832</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540,835</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-13, Class AI, IO, 4.00%, 3/20/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,333,170</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">605,971</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-186, Class AI, IO, 4.00%, 12/20/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">980,245</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,533</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-53, Class MI, IO, 4.00%, 4/16/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750,079</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,737</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-64, Class YI, IO, 4.00%, 11/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">558,412</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,901</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-149, Class IP, IO, 4.00%, 7/16/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,588,973</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230,719</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-93, Class TI, IO, 4.00%, 3/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,337</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,908</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-4, Class IC, IO, 4.00%, 1/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,845</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,566</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-100, Class NI, IO, 4.00%, 6/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">362,347</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,944</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-165, Class IL, IO, 4.00%, 3/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,252</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,763</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-56, Class IB, IO, 4.00%, 4/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,245</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,279</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-156, IO, 3.50%, 7/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,890,625</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">657,504</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-167, Class PI, IO, 3.50%, 11/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,315,526</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,899</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-75, Class EI, IO, 3.50%, 8/20/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">369,468</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,141</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-28, IO, 3.50%, 2/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,953</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,237</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-54, Class JI, IO, 3.50%, 2/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,227</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,484</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-14, IO, 3.50%, 12/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">761,646</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">94,101</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-140, Class IC, IO, 3.50%, 11/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">810,548</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">131,066</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-128, Class IA, IO, 3.50%, 10/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">795,086</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,353</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-113, Class ID, IO, 3.50%, 9/20/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,804</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,757</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-52, Class KI, IO, 3.50%, 11/20/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349,273</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,805</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
21-59, Class IP, IO, 3.00%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,225,559</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">521,250</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
20-175, Class NI, IO, 3.00%, 11/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,579,624</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,146</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H19, Class MI, IO, 2.101%, 4/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">970,910</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,639</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H03, Class DI, IO, 2.048%, 12/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,873,861</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,491</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H25, Class EI, IO, 1.876%, 10/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,411,160</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,992</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H20, Class AI, IO, 1.834%, 8/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,012,744</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,552</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-H08, Class CI, IO, 1.798%, 3/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">959,201</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,035</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H11, Class DI, IO, 1.768%, 5/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,889,103</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,482</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H23, Class BI, IO, 1.762%, 9/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,958,307</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,762</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H14, IO, 1.681%, 6/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,586,087</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,647</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H24, Class CI, IO, 1.674%, 10/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,346,007</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,650</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-H08, Class CI, IO, 1.623%, 2/20/63<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">796,648</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,527</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H12, Class QI, IO, 1.584%, 5/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,709,080</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,091</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H18, Class QI, IO, 1.556%, 6/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,185,449</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,641</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-H21, Class BI, IO, 1.556%, 10/20/64<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,451,899</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,221</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H06, Class BI, IO, 1.375%, 2/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,107,388</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,999</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H10, Class BI, IO, 1.352%, 4/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,381,793</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,621</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H08, Class NI, IO, 1.341%, 3/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,683,076</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,035</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H17, Class KI, IO, 1.311%, 7/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,199,830</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,867</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H09, Class BI, IO, 1.298%, 4/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,513,639</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,381</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H15, Class BI, IO, 1.282%, 6/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,108,215</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,888</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H02, Class EI, IO, 1.279%, 1/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,308,012</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,091</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H03, Class XI, IO, 1.273%, 2/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,425,444</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H05, Class AI, IO, 1.238%, 2/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,207,231</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,796</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H05, Class BI, IO, 1.234%, 2/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,336,793</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,310</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H09, IO, 1.219%, 4/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,802,444</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,794</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H16, Class EI, IO, 1.161%, 6/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,915,723</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,817</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 23-35, Class SH, IO, ((-1 x US 30 Day Average SOFR) + 6.45%), 1.117%, 2/20/53</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,478,253</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">457,654</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H02, Class BI, IO, 1.009%, 1/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,292,662</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,770</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-98, Class SK, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 6/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,841,561</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,636</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-77, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 5/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,883,939</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337,739</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-59, Class SM, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,885,002</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">645,897</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 21-59, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 4/20/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,943,315</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223,115</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-133, Class CS, IO, ((-1 x CME Term SOFR 1 Month) + 6.19%), 0.847%, 9/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,766,420</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">332,861</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H16, Class JI, IO, 0.82%, 8/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,061,585</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,987</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H22, Class AI, IO, 0.803%, 10/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,833,560</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,144</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H23, Class NI, IO, 0.793%, 10/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,996,755</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,833</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 21-116, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 6.09%), 0.757%, 11/20/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,920,407</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">323,154</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 14-60, Class SD, IO, ((-1 x CME Term SOFR 1 Month) + 6.07%), 0.727%, 4/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,543,536</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,714</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-97, Class QS, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.697%, 7/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,777,540</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230,275</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-5, Class SB, IO, ((-1 x CME Term SOFR 1 Month) + 6.04%), 0.697%, 1/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,356,359</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,222</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H06, Class DI, IO, 0.653%, 7/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,338,037</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,785</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
18-H15, Class KI, IO, 0.652%, 8/20/68<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,857,976</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,855</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-63, Class SP, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.647%, 5/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,962,685</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,328</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-63, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.647%, 4/20/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,524,038</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276,275</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-96, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.647%, 8/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,920,910</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,569</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-83, Class SY, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.647%, 7/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,743,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,052</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-89, Class PS, IO, ((-1 x CME Term SOFR 1 Month) + 5.99%), 0.647%, 7/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,219,487</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,205</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-152, Class ES, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.597%, 12/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,187,170</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,561</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 19-110, Class SQ, IO, ((-1 x CME Term SOFR 1 Month) + 5.94%), 0.597%, 9/20/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,867,332</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,943</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H20, Class CI, IO, 0.594%, 8/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,260,597</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,264</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 20-63, Class AS, IO, ((-1 x CME Term SOFR 1 Month) + 5.89%), 0.547%, 8/20/43</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,039,685</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,029</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H03, Class AI, IO, 0.474%, 1/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,613,358</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,028</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-H24, Class AI, IO, 0.469%, 9/20/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,737,666</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,571</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H10, Class AI, IO, 0.356%, 4/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,455,447</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,400</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
16-H06, Class CI, IO, 0.152%, 2/20/66<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,297,024</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,519</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB
Ser. 14-119, Class SA, IO, ((-1 x CME Term SOFR 1 Month) + 5.49%), 0.147%, 8/20/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,116</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,871</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
17-H16, Class IG, IO, 0.014%, 7/20/67<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,158,742</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,082</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,277,561</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial
mortgage-backed securities (8.7%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays
Commercial Mortgage Trust 144A Ser. 19-C4, Class E, 3.25%, 8/15/52</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,581</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BDS,
Ltd. 144A FRB Ser. 21-FL9, Class A, (CME Term SOFR 1 Month + 1.18%), 6.516%, 11/16/38 (Cayman Islands)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,538</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,811</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CD
Commercial Mortgage Trust Ser. 17-CD4, Class B, 3.947%, 5/10/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360,225</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CFCRE
Commercial Mortgage Trust 144A FRB Ser. 11-C2, Class E, 5.08%, 12/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">259,722</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-CR16, Class C, 5.053%, 4/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">441,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,908</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-LC17, Class B, 4.49%, 10/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">193,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,454</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-CR12, Class AM, 4.30%, 10/10/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,335</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
15-DC1, Class B, 4.035%, 2/10/48<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">447,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413,443</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-LC19, Class B, 3.829%, 2/10/48<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,109</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-CR17, Class D, 4.901%, 5/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">236,492</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-CR7, Class D, 4.384%, 3/10/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,651</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,855</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
12-LC4, Class E, 4.25%, 12/10/44</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">392,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,520</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
Suisse Mortgage Trust 144A FRB Ser. 22-NWPT, Class A, 8.472%, 9/9/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253,359</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSAIL
Commercial Mortgage Trust Ser. 15-C1, Class AS, 3.791%, 4/15/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">379,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370,755</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
Home Loan Mortgage Corporation Multifamily Structured Credit Risk FRB Ser. 21-MN1, Class M2, 9.085%, 1/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">236,541</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal
Home Loan Mortgage Corporation 144A Multifamily Structured Credit Risk FRB Ser. 21-MN3, Class M2, 9.335%, 11/25/51</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">797,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">806,201</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Government
National Mortgage Association FRB Ser. 24-32, IO, 0.706%, 6/16/63</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,846,833</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">337,737</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GS
Mortgage Securities Corp., II 144A FRB Ser. 13-GC10, Class D, 4.688%, 2/10/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">456,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">429,007</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-GC24, Class D, 4.60%, 9/10/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">474,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,563</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-GC13, Class AS, 3.976%, 7/10/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">349,799</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">333,485</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMBB
Commercial Mortgage Securities Trust Ser. 14-C21, Class AS, 3.997%, 8/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">269,890</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">264,355</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C18, Class D, 4.782%, 2/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">232,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,381</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. C14, Class D, 4.248%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">257,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,536</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C23, Class D, 4.102%, 9/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">222,507</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
13-C14, Class F, 3.598%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,668</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMCC
Commercial Mortgage Securities Trust 144A FRB Ser. 17-JP7, Class D, 4.518%, 9/15/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,322</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMDB
Commercial Mortgage Securities Trust FRB Ser. 18-C8, Class C, 4.917%, 6/15/51<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218,952</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Commercial Mortgage Securities Trust FRB Ser. 13-LC11, Class D, 4.297%, 4/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,478</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 11-C3, Class F, 5.709%, 2/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97,875</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 12-C6, Class E, 5.129%, 5/15/45<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">148,562</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-LC11, Class E, 3.25%, 4/15/46 (In default)<B><I><SUP>(NON)(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">647,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160,915</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LB-UBS
Commercial Mortgage Trust 144A FRB Ser. 06-C6, Class XCL, IO, 0.435%, 9/15/39<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">462,989</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,891</FONT></td>
</tr>

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

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-C25, Class C, 4.668%, 10/15/48<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223,601</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-C22, Class C, 4.339%, 4/15/48<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">535,534</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C19, Class C, 4.00%, 12/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,032</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C12, Class D, 4.965%, 10/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">361,086</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 14-C17, Class D, 4.816%, 8/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,584</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 12-C6, Class E, 4.505%, 11/15/45<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">258,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,492</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C10, Class D, 4.116%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,036</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C10, Class F, 4.116%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">975,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,418</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-C9, Class D, 3.939%, 5/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">422,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">331,698</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C18, Class D, 3.389%, 10/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276,281</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
06-HQ10, Class B, 5.448%, 11/12/41<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,221</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,820</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 18-H3, Class C, 5.012%, 7/15/51<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">284,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,691</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley Capital I Trust 144A FRB Ser. 12-C4, Class D, 5.336%, 3/15/45<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,554</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,534</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 20-01, Class M10, 9.20%, 3/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">688,416</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690,038</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 19-01, Class M10, 8.70%, 10/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">551,726</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">551,729</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ready
Capital Mortgage Financing, LLC 144A FRB Ser. 22-FL9, Class A, 7.812%, 6/25/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">284,129</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">285,903</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shelter
Growth CRE Issuer, Ltd. 144A FRB Ser. 22-FL4, Class A, (CME Term SOFR 1 Month + 2.30%), 7.635%, 6/17/37 (Bermuda)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,504</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350,942</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
Commercial Mortgage Trust FRB Ser. 17-C3, Class C, 4.53%, 8/15/50<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,674</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 16-NXS5, Class D, 5.142%, 1/15/59<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164,378</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-SG1, Class B, 4.60%, 9/15/48<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,171</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 15-C30, Class D, 4.642%, 9/15/58<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">121,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,408</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 13-LC12, Class D, 4.083%, 7/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,796</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-LC16, Class D, 3.938%, 8/15/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313,738</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,649</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C21, Class C, 4.234%, 8/15/47<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">177,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172,616</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ser.
14-C24, Class AS, 3.931%, 11/15/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">318,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">311,255</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WF-RBS
Commercial Mortgage Trust 144A FRB Ser. 13-C15, Class D, 4.328%, 8/15/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">624,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249,346</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,251,276</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Residential
mortgage-backed securities (non-agency) (13.0%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A&amp;D
Mortgage Trust 144A Ser. 24-NQM1, Class A1, 6.195%, 2/25/69</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">784,149</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">781,128</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Home Mortgage Investment Trust FRB Ser. 07-1, Class GA1C, (CME Term SOFR 1 Month + 0.30%), 5.65%, 5/25/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">354,759</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,298</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bear
Stearns Alt-A Trust FRB Ser. 05-10, Class 11A1, (CME Term SOFR 1 Month + 0.61%), 5.96%, 1/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,747</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,811</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chevy
Chase Funding, LLC Mortgage-Backed Certificates 144A FRB Ser. 06-4A, Class A2, (CME Term SOFR 1 Month + 0.29%), 5.64%, 11/25/47</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">157,172</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,543</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup
Mortgage Loan Trust, Inc. FRB Ser. 07-AMC3, Class A2D, (CME Term SOFR 1 Month + 0.46%), 5.81%, 3/25/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">671,721</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">552,248</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COLT
Mortgage Loan Trust 144A Ser. 20-2, Class A3, 3.698%, 3/25/65<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">940,223</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 05-38, Class A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 1.50%), 6.653%, 9/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">189,471</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,604</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 05-38, Class A3, (CME Term SOFR 1 Month + 0.81%), 6.16%, 9/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">233,147</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,974</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 05-59, Class 1A1, (CME Term SOFR 1 Month + 0.77%), 6.117%, 11/20/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249,851</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224,203</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA10, Class 1A1, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.96%), 6.113%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,912</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,844</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA7, Class 1A2, (Federal Reserve US 12 Month Cumulative Avg 1 yr CMT + 0.94%), 6.093%, 6/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,140</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,573</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA10, Class 3A1, (CME Term SOFR 1 Month + 0.49%), 5.84%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">218,734</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,355</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA10, Class 4A1, (CME Term SOFR 1 Month + 0.49%), 5.84%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,432,956</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,228,725</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 06-OA7, Class 1A1, 3.479%, 6/25/46<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,002</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-HQA2, Class B, (US 30 Day Average SOFR + 10.61%), 15.95%, 5/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,664</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,627</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 16-DNA1, Class B, (US 30 Day Average SOFR + 10.11%), 15.45%, 7/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,272,582</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,416,819</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-DNA3, Class B, (US 30 Day Average SOFR + 9.46%), 14.80%, 4/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">567,438</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">617,694</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-DNA1, Class B, (US 30 Day Average SOFR + 9.31%), 14.65%, 10/25/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">394,506</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416,053</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-HQA1, Class B, (US 30 Day Average SOFR + 8.91%), 14.25%, 3/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,291</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399,378</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Debt FRN Ser. 15-DNA2, Class B, (US 30 Day Average SOFR + 7.66%), 13.00%, 12/25/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,771</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">583,146</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-HQA1, Class B2, (US 30 Day Average SOFR + 12.36%), 17.70%, 2/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,014</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA5, Class B2, (US 30 Day Average SOFR + 11.50%), 16.835%, 10/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">245,821</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-HQA2, Class B2, (US 30 Day Average SOFR + 11.36%), 16.70%, 4/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,877</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-HQA2, Class B2, (US 30 Day Average SOFR + 11.11%), 16.45%, 10/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">649,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">824,961</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-DNA1, Class B2, (US 30 Day Average SOFR + 10.86%), 16.20%, 1/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,346</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 19-DNA2, Class B2, (US 30 Day Average SOFR + 10.61%), 15.95%, 3/25/49</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,983</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-DNA4, Class B2, (US 30 Day Average SOFR + 10.11%), 15.45%, 8/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">609,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">826,337</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA3, Class B2, (US 30 Day Average SOFR + 10.11%), 15.45%, 7/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">581,306</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust FRB Ser. 18-DNA3, Class B2, (US 30 Day Average SOFR + 7.86%), 13.20%, 9/25/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,586</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 21-DNA3, Class B2, (US 30 Day Average SOFR + 6.25%), 11.585%, 10/25/33</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,731</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Agency Credit Risk Trust REMICs FRB Ser. 20-HQA4, Class B1, (US 30 Day Average SOFR + 5.36%), 10.70%, 9/25/50</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,187</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">296,941</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seasoned
Credit Risk Transfer Trust Ser. 19-2, Class M, 4.75%, 8/25/58<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">307,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289,668</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seasoned
Credit Risk Transfer Trust Ser. 17-3, Class M2, 4.75%, 7/25/56<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">386,560</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seasoned
Credit Risk Transfer Trust Ser. 19-4, Class M, 4.50%, 2/25/59<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">636,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">581,590</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C03, Class 2B, (US 30 Day Average SOFR + 12.86%), 18.20%, 10/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,440</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,008</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C02, Class 1B, (US 30 Day Average SOFR + 12.36%), 17.70%, 9/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,109,185</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,289,655</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C03, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.20%, 10/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">563,761</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">653,495</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C01, Class 1B, (US 30 Day Average SOFR + 11.86%), 17.20%, 8/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365,128</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416,421</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C05, Class 2B, (US 30 Day Average SOFR + 10.86%), 16.20%, 1/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,206</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,492</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities FRB Ser. 16-C06, Class 1B, (US 30 Day Average SOFR + 9.36%), 14.70%, 4/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,773</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,515</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2B1, (US 30 Day Average SOFR + 4.50%), 9.835%, 1/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,580</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 19-R03, Class 1B1, (US 30 Day Average SOFR + 4.21%), 9.55%, 9/25/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496,963</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,736</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 20-SBT1, Class 1M2, (US 30 Day Average SOFR + 3.76%), 9.10%, 2/25/40</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">504,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">535,049</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 22-R02, Class 2M2, (US 30 Day Average SOFR + 3.00%), 8.335%, 1/25/42</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">411,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Connecticut
Avenue Securities Trust FRB Ser. 19-R01, Class 2M2, (US 30 Day Average SOFR + 2.56%), 7.90%, 7/25/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">751</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">753</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First
Horizon Alternative Mortgage Securities Trust FRB Ser. 06-AA6, Class 2A1, 5.85%, 11/25/36<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">448,129</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">298,929</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSAA
Home Equity Trust FRB Ser. 06-8, Class 2A2, (CME Term SOFR 1 Month + 0.47%), 5.82%, 5/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475,455</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,492</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSR
Mortgage Loan Trust FRB Ser. 07-OA1, Class 2A3A, (CME Term SOFR 1 Month + 0.42%), 5.77%, 5/25/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184,177</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,738</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarborView
Mortgage Loan Trust FRB Ser. 05-2, Class 1A, (CME Term SOFR 1 Month + 0.63%), 5.973%, 5/19/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">239,548</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,315</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Home
Re, Ltd. 144A FRB Ser. 21-2, Class B1, (US 30 Day Average SOFR + 4.15%), 9.485%, 1/25/34 (Bermuda)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,346</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lehman
XS Trust FRB Ser. 06-17, Class 1A4A, (CME Term SOFR 1 Month + 0.45%), 5.80%, 8/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,254,239</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,121,839</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LHOME
Mortgage Trust 144A Ser. 23-RTL2, Class A1, 8.00%, 6/25/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,715</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley Re-REMIC Trust 144A FRB Ser. 10-R4, Class 4B, (CME Term SOFR 1 Month + 0.34%), 4.303%, 2/26/37</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,307</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,413</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MortgageIT
Trust FRB Ser. 05-3, Class M2, (CME Term SOFR 1 Month + 0.91%), 6.255%, 8/25/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,880</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,838</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Residential
Accredit Loans, Inc. FRB Ser. 06-QO5, Class 1A1, (CME Term SOFR 1 Month + 0.54%), 5.89%, 5/25/46</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,992</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,073</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Saluda
Grade Alternative Mortgage Trust 144A Ser. 24-RTL4, Class A1, stepped-coupon 7.50% (8.50%, 7/1/26), 2/25/30<B><I><SUP>(STP)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">418,159</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Structured
Asset Mortgage Investments II Trust FRB Ser. 06-AR7, Class A1BG, (CME Term SOFR 1 Month + 0.23%), 5.58%, 8/25/36</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,198</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">112,496</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Towd
Point Mortgage Trust 144A Ser. 19-2, Class A2, 3.75%, 12/25/58<B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,773</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WaMu
Mortgage Pass-Through Certificates Trust FRB Ser. 05-AR13, Class A1C3, (CME Term SOFR 1 Month + 1.09%), 6.44%, 10/25/45</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,460</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,387</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,384,686</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total mortgage-backed securities (cost $61,952,740)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$57,913,523</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CORPORATE
BONDS AND NOTES (20.4%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Basic
materials (1.7%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ATI,
Inc. sr. unsec. notes 4.875%, 10/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$490,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$458,041</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boise
Cascade Co. 144A company guaranty sr. unsec. notes 4.875%, 7/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,168</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Builders
FirstSource, Inc. 144A company guaranty sr. unsec. bonds 6.375%, 6/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240,346</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial
Metals Co. sr. unsec. notes 4.375%, 3/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240,722</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Constellium
SE company guaranty sr. unsec. unsub. notes Ser. REGS, 3.125%, 7/15/29 (France)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299,014</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IHS
Holding, Ltd. company guaranty sr. unsec. notes Ser. REGS, 6.25%, 11/29/28 (Nigeria)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$500,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446,875</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelligent
Packaging, Ltd., Finco, Inc./Intelligent Packaging, Ltd. LLC. Co-Issuer, 144A sr. notes 6.00%, 9/15/28 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,042</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Miter
Brands Acquisition Holdco, Inc./MIWD Borrower, LLC 144A company guaranty sr. notes 6.75%, 4/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,025</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Smyrna
Ready Mix Concrete, LLC 144A sr. notes 8.875%, 11/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465,300</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,758,533</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital
goods (1.3%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Benteler
International AG 144A company guaranty sr. notes 10.50%, 5/15/28 (Austria)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465,450</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boeing
Co. (The) sr. unsec. notes 2.70%, 2/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boeing
Co. (The) 144A sr. unsec. notes 6.298%, 5/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,773</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bombardier,
Inc. 144A sr. unsec. notes 7.00%, 6/1/32 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">471,459</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GFL
Environmental, Inc. 144A company guaranty sr. unsec. notes 4.75%, 6/15/29 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,022</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pactiv
Evergreen Group Issuer, Inc./Pactiv Evergreen Group Issuer, LLC 144A company guaranty sr. notes 4.00%, 10/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,524</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ritchie
Bros Holdings, Inc. 144A company guaranty sr. unsec. unsub. notes 7.75%, 3/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">287,385</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spirit
AeroSystems, Inc. 144A sr. unsub. notes 9.375%, 11/30/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,127</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. 144A sr. notes 6.875%, 12/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">193,962</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. 144A sr. notes 6.625%, 3/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,654</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,210,656</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication
services (1.2%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Tower Corp. sr. unsec. sub. notes 2.75%, 1/15/27<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,660</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AppLovin
Corp. bank term loan (CME Term SOFR 3 Month + 2.50%), 7.8254%, 8/16/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">226</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AT&amp;T,
Inc. sr. unsec. notes 4.10%, 2/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395,712</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCO
Holdings, LLC/CCO Holdings Capital Corp. 144A sr. unsec. unsub. notes 4.75%, 2/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,829</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">T-Mobile
USA, Inc. company guaranty sr. unsec. notes 3.375%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">825,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">761,866</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vmed
O2 UK Financing I PLC sr. notes Ser. REGS, 3.25%, 1/31/31 (United Kingdom)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">258,764</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,001,057</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
cyclicals (4.7%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allied
Universal Holdco, LLC/Allied Universal Finance Corp. 144A sr. notes 7.875%, 2/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,533</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banijay
Entertainment SASU 144A sr. notes 8.125%, 5/1/29 (France)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">368,172</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bath
&amp; Body Works, Inc. company guaranty sr. unsec. sub. bonds 6.875%, 11/1/35</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">448,794</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Boyd
Gaming Corp. 144A sr. unsec. bonds 4.75%, 6/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,919</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars
Entertainment, Inc. 144A sr. notes 7.00%, 2/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">232,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,030</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carnival
Holdings Bermuda, Ltd. 144A company guaranty sr. unsec. unsub. notes 10.375%, 5/1/28 (Bermuda)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,598</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cinemark
USA, Inc. 144A company guaranty sr. unsec. notes 5.25%, 7/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">258,098</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear
Channel Outdoor Holdings, Inc. 144A company guaranty sr. notes 7.875%, 4/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crocs,
Inc. 144A company guaranty sr. unsec. notes 4.125%, 8/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,499</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dufry
One BV company guaranty sr. unsec. notes Ser. REGS, 3.375%, 4/15/28 (Netherlands)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,627</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FirstCash,
Inc. 144A sr. unsec. notes 6.875%, 3/1/32 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$367,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">367,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kontoor
Brands, Inc. 144A company guaranty sr. unsec. notes 4.125%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">248,531</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Levi
Strauss &amp; Co. sr. unsec. notes 3.375%, 3/15/27</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">318,670</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Light
&amp; Wonder International, Inc. 144A company guaranty sr. unsec. notes 7.25%, 11/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$450,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">459,587</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattel,
Inc. 144A company guaranty sr. unsec. notes 3.75%, 4/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,392</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">McGraw-Hill
Education, Inc. 144A sr. notes 5.75%, 8/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,360</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Neptune
Bidco US, Inc. 144A sr. notes 9.29%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,173</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">News
Corp. 144A sr. unsec. notes 3.875%, 5/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,932</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Outfront
Media Capital, LLC/Outfront Media Capital Corp. 144A company guaranty sr. unsec. notes 5.00%, 8/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">246,845</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prime
Security Services Borrower, LLC/Prime Finance, Inc. 144A notes 6.25%, 1/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">202,012</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal
Caribbean Cruises, Ltd. 144A company guaranty sr. unsec. unsub. notes 9.25%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,175</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal
Caribbean Cruises, Ltd. 144A sr. unsec. notes 6.25%, 3/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,210</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six
Flags Entertainment Corp. 144A company guaranty sr. unsec. notes 7.25%, 5/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279,981</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Standard
Industries, Inc. sr. unsec. notes Ser. REGS, 2.25%, 11/21/26</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">271,981</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station
Casinos, LLC 144A sr. unsec. bonds 4.625%, 12/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$285,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">254,021</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Taylor
Morrison Communities, Inc. 144A sr. unsec. bonds 5.125%, 8/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">477,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">456,772</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verisure
Midholding AB company guaranty sr. unsec. notes Ser. REGS, 5.25%, 2/15/29 (Sweden)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">622,942</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Viking
Ocean Cruises Ship VII, Ltd. 144A sr. notes 5.625%, 2/15/29 (Bermuda)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$230,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224,838</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wynn
Resorts Finance, LLC/Wynn Resorts Capital Corp. 144A company guaranty sr. unsec. unsub. notes 7.125%, 2/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,275</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,659,967</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
staples (1.0%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Albertsons
Cos., Inc./Safeway, Inc./New Albertsons LP/Albertsons, LLC 144A company guaranty sr. unsec. notes 3.50%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">271,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,776</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aramark
Services, Inc. 144A company guaranty sr. unsec. notes 5.00%, 2/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,162</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avis
Budget Finance PLC company guaranty sr. unsec. notes Ser. REGS, 7.25%, 7/31/30</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">194,142</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avis
Budget Finance PLC 144A sr. unsec. notes 7.25%, 7/31/30</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,436</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EquipmentShare.com,
Inc. 144A notes 9.00%, 5/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,395</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Herc
Holdings, Inc. 144A company guaranty sr. unsec. bonds 6.625%, 6/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,911</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JBS
USA LUX SA/JBS USA Food Co./JBS USA Finance, Inc. company guaranty sr. unsec. notes 3.00%, 2/2/29 (Luxembourg)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,135</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Loxam
SAS company guaranty sr. notes Ser. EMTN, 6.375%, 5/15/28 (France)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,528</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 4.00%, 7/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$88,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,580</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">VM
Consolidated, Inc. 144A company guaranty sr. unsec. notes 5.50%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,141</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,701,206</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy
(3.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Antero
Resources Corp. 144A sr. unsec. notes 5.375%, 3/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">241,938</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chesapeake
Energy Corp. 144A company guaranty sr. unsec. notes 6.75%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">207,398</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Civitas
Resources, Inc. 144A company guaranty sr. unsec. unsub. notes 8.75%, 7/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449,799</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ecopetrol
SA sr. unsec. unsub. bonds 8.875%, 1/13/33 (Colombia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">547,363</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Endeavor
Energy Resources LP/EER Finance, Inc. 144A sr. unsec. bonds 5.75%, 1/30/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,842</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energo-Pro
a.s. 144A sr. unsec. notes 11.00%, 11/2/28 (Czech Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317,925</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hess
Midstream Operations LP 144A company guaranty sr. unsec. notes 4.25%, 2/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,836</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetik
Holdings LP 144A company guaranty sr. unsec. notes 5.875%, 6/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">448,362</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Matador
Resources Co. 144A company guaranty sr. unsec. unsub. notes 6.875%, 4/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,128</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petrobras
Global Finance BV company guaranty sr. unsec. unsub. bonds 6.50%, 7/3/33 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">146,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,399</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petrobras
Global Finance BV company guaranty sr. unsec. unsub. notes 5.299%, 1/27/25 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">409,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">407,042</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petroleos
Mexicanos company guaranty sr. unsec. unsub. FRB 5.95%, 1/28/31 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">686,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">552,823</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.70%, 2/16/32 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,450</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Petroleos
Mexicanos company guaranty sr. unsec. unsub. notes 6.49%, 1/23/27 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,165</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rockcliff
Energy II, LLC 144A sr. unsec. notes 5.50%, 10/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,123</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SM
Energy Co. sr. unsec. unsub. notes 6.50%, 7/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">195,306</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southwestern
Energy Co. company guaranty sr. unsec. notes 5.375%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,862</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transocean
Poseidon, Ltd. 144A company guaranty sr. notes 6.875%, 2/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,375</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,202</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Venture
Global LNG, Inc. 144A sr. notes 8.375%, 6/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">466,754</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,532,717</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financials
(3.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Air
Lease Corp. sr. unsec. sub. notes 5.85%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,632</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aircastle,
Ltd. 144A sr. unsec. notes 5.25%, 8/11/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,422</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ares
Capital Corp. sr. unsec. sub. notes 7.00%, 1/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416,876</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America Corp. sr. unsec. notes 6.204%, 11/10/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">442,826</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of Nova Scotia (The) sr. unsec. unsub. notes 5.35%, 12/7/26 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,322</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Elanco
Animal Health, Inc. 144A sr. notes 7.50%, 11/6/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,139</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford
Motor Co. sr. unsec. unsub. notes 5.80%, 3/5/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,005</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jefferson
Capital Holdings, LLC 144A sr. unsec. notes 9.50%, 2/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">463,871</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jones
Deslauriers Insurance Management, Inc. 144A sr. notes 8.50%, 3/15/30 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,146</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase &amp; Co. sr. unsec. unsub. notes 6.07%, 10/22/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">820,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834,346</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley sr. unsec. notes 5.123%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403,399</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nationstar
Mortgage Holdings, Inc. 144A company guaranty sr. unsec. notes 5.75%, 11/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">469,958</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Protective
Life Global Funding 144A 5.467%, 12/8/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,079</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RHP
Hotel Properties LP/RHP Finance Corp. 144A company guaranty sr. unsec. sub. notes 6.50%, 4/1/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toronto-Dominion
Bank (The) sr. unsec. notes 5.264%, 12/11/26 (Canada)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,950</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
Group AG 144A sr. unsec. bonds 5.428%, 2/8/30 (Switzerland)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,603</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wells
Fargo &amp; Co. sr. unsec. unsub. FRN Ser. MTN, 5.574%, 7/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,860</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,583,434</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health
care (1.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 4.00%, 3/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">274,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,860</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charles
River Laboratories International, Inc. 144A company guaranty sr. unsec. notes 3.75%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,188</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Elanco
Animal Health, Inc. sr. unsec. notes Ser. WI, 6.65%, 8/28/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">235,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">238,212</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kedrion
SpA 144A company guaranty sr. notes 6.50%, 9/1/29 (Italy)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">466,331</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmacia,
LLC company guaranty sr. unsec. notes 6.60%, 12/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,849</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Service
Corp. International sr. unsec. sub. notes 4.00%, 5/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,450</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet
Healthcare Corp. company guaranty sr. notes 6.75%, 5/15/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">461,831</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Teva
Pharmaceutical Finance Netherlands III BV company guaranty sr. unsec. unsub. notes 8.125%, 9/15/31 (Israel)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498,951</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,476,672</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Broadcom
Corp./Broadcom Cayman Finance, Ltd. company guaranty sr. unsec. unsub. notes 3.875%, 1/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,348</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Imola
Merger Corp. 144A sr. notes 4.75%, 5/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">273,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255,212</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seagate
HDD Cayman company guaranty sr. unsec. notes 9.625%, 12/1/32 (Cayman Islands)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">177,940</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twilio,
Inc. company guaranty sr. unsec. notes 3.625%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">275,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,359</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">878,859</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transportation
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Air
France-KLM sr. unsec. notes 8.125%, 5/31/28 (France)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">236,408</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">236,408</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aegea
Finance SARL 144A company guaranty sr. unsec. notes 9.00%, 1/20/31 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$240,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">248,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ameren
Corp. sr. unsec. unsub. notes 5.00%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,293</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diamond
II, Ltd. 144A company guaranty sr. notes 7.95%, 7/28/26 (India)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">567,700</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Georgia
Power Co. sr. unsec. unsub. notes 5.004%, 2/23/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144,542</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinder
Morgan, Inc. company guaranty sr. unsec. unsub. notes 5.00%, 2/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">247,223</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PG&amp;E
Corp. sr. sub. notes 5.25%, 7/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">453,637</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southern
Co. (The) sr. unsec. notes 5.50%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">260,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">263,422</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vistra
Operations Co., LLC 144A company guaranty sr. unsec. notes 6.875%, 4/15/32</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,150</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vistra
Operations Co., LLC 144A company guaranty sr. unsec. unsub. notes 4.375%, 5/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">251,406</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,558,073</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total corporate bonds and notes (cost $33,458,692)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$33,597,582</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FOREIGN
GOVERNMENT AND AGENCY BONDS AND NOTES (8.0%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Benin
(Republic of) sr. unsec. bonds Ser. REGS, 4.95%, 1/22/35 (Benin)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$260,543</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Benin
(Republic of) sr. unsec. notes Ser. REGS, 4.875%, 1/19/32 (Benin)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562,240</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brazil
(Federal Republic of) sr. unsec. unsub. notes 6.125%, 3/15/34 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,060,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,018,728</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brazil
(Federal Republic of) sr. unsec. unsub. notes 6.00%, 10/20/33 (Brazil)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">192,201</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chile
(Republic of) sr. unsec. unsub. notes 4.95%, 1/5/36 (Chile)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">574,860</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Colombia
(Republic of) sr. unsec. unsub. notes 8.00%, 11/14/35 (Colombia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,715</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Costa
Rica (Government of) sr. unsec. unsub. notes Ser. REGS, 6.125%, 2/19/31 (Costa Rica)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,200</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cote
d'lvoire (Republic of) sr. unsec. notes Ser. REGS, 5.875%, 10/17/31 (Cote d'lvoire)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">945,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">908,546</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 6.875%, 1/29/26 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$336,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">339,360</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 6.00%, 7/19/28 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">178,126</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dominican
(Republic of) sr. unsec. unsub. notes Ser. REGS, 5.95%, 1/25/27 (Dominican Republic)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">284,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">281,336</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Egypt
(Arab Republic of) sr. unsec. notes Ser. REGS, 7.60%, 3/1/29 (Egypt)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380,100</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gabon
(Republic of) sr. unsec. notes Ser. REGS, 6.625%, 2/6/31 (Gabon)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">276,575</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) sr. unsec. unsub. bonds Ser. REGS, 4.35%, 1/8/27 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,710</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Indonesia
(Republic of) 144A sr. unsec. unsub. notes 4.35%, 1/8/27 (Indonesia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,324</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kenya
(Republic of) 144A sr. unsec. notes 9.75%, 2/16/31 (Kenya)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,600</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mongolia
(Government of) sr. unsec. notes Ser. REGS, 5.125%, 4/7/26 (Mongolia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">261,900</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Panama
(Republic of) sr. unsec. unsub. bonds 7.50%, 3/1/31 (Panama)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">730,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">764,675</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Paraguay
(Republic of) sr. unsec. notes Ser. REGS, 3.849%, 6/28/33 (Paraguay)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">382,102</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Philippines
(Republic of) sr. unsec. unsub. notes 3.556%, 9/29/32 (Philippines)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355,211</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Romania
(Government of) sr. unsec. unsub. notes 7.125%, 1/17/33 (Romania)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">420,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">442,092</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Romania
(Government of) 144A sr. unsec. notes 6.375%, 1/30/34 (Romania)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">533,595</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Serbia
(Republic of) sr. unsec. notes 6.25%, 5/26/28 (Serbia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434,300</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Serbia
(Republic of) sr. unsec. notes Ser. REGS, 6.50%, 9/26/33 (Serbia)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374,625</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">South
Africa (Republic of) sr. unsec. unsub. notes 5.875%, 6/22/30 (South Africa)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">569,250</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Turkey
(Republic of) sr. unsec. unsub. notes 9.125%, 7/13/30 (Turkey)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,875</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United
Mexican States sr. unsec. unsub. bonds 3.50%, 2/12/34 (Mexico)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,250,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,015,541</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vietnam
(Socialist Republic of) sr. unsec. notes Ser. REGS, 4.80%, 11/19/24 (Vietnam)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">903,630</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total foreign government and agency bonds and notes (cost $13,306,174)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$13,183,960</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SENIOR
LOANS (5.9%)<B><I><SUP>(a)(c)</SUP></I></B></FONT></td>
</tr>

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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Basic
materials (0.3%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nouryon
Finance BV bank term loan FRN (EURIBOR 3 Month ACT/360 + 4.25%), 7.215%, 4/3/28 (Netherlands)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$212,817</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Quikrete
Holdings, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.25%), 7.594%, 3/26/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$203,967</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,967</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">416,784</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chart
Industries, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.678%, 3/17/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430,086</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431,161</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CPM
Holdings, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.50%), 9.843%, 9/28/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,267</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166,830</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Madison
IAQ, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 8.094%, 6/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,974</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,016</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TK
Elevator US Newco, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.791%, 4/15/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">132,864</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">133,460</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm,
Inc. bank term loan FRN Ser. J, (CME Term SOFR 1 Month + 3.25%), 8.595%, 2/28/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,939</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,050,406</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communication
services (0.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSC
Holdings, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.50%), 7.943%, 4/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,453</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,584</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DIRECTV
Financing, LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 5.25%), 10.708%, 8/2/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">454,192</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">451,612</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">625,196</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
cyclicals (1.5%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">APi
Group DE, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.00%), 7.344%, 1/3/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,896</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banijay
Group US Holding, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.58%, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,547</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,569</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars
Entertainment, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.097%, 1/24/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,580</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,375</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carnival
Corp. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.75%), 8.094%, 10/18/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360,664</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">361,115</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EMRLD
Borrower LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.50%), 7.842%, 6/18/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,975</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Flutter
Financing BV bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.25%), 7.585%, 11/18/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,450</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">109,382</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gray
Television, Inc. bank term loan FRN Ser. D, (CME Term SOFR 1 Month + 3.00%), 8.458%, 10/27/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">236,345</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212,488</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hunter
Douglas, Inc. bank term loan FRN Ser. B, (CME Term SOFR 3 Month + 3.50%), 8.836%, 2/25/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,985</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,067</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Neptune
Bidco US, Inc. bank term loan FRN Class C, (CME Term SOFR 1 Month + 5.00%), 10.406%, 4/11/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,017</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PetSmart,
LLC bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.194%, 1/29/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">201,658</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,817</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PG
Investment Co. 59 SARL bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.50%), 8.835%, 3/24/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,488</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Robertshaw
US Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 8.00%), 13.313%, 2/28/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Scientific
Games Holdings LP bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.00%), 8.306%, 4/4/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,481</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,970</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station
Casinos, LLC bank term loan FRN (CME Term SOFR 1 Month + 2.25%), 7.594%, 3/7/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,875</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,817</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">White
Cap Buyer, LLC bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.25%), 8.595%, 10/19/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">468,801</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">469,415</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,461,131</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IRB
Holding Corp. bank term loan FRN (CME Term SOFR 1 Month + 2.75%), 8.179%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,198</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">266,909</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">266,909</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy
(0.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CQP
Holdco LP bank term loan FRN (CME Term SOFR 1 Month + 2.25%), 7.593%, 12/31/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,048</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">692,798</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">692,798</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Alliant
Holdings Intermediate, LLC bank term loan FRN Ser. B6, (CME Term SOFR 1 Month + 3.50%), 8.831%, 11/6/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,998</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,423</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WEC
US Holdings, Ltd. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.094%, 1/20/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,044</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399,467</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health
care (0.9%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bausch
+ Lomb Corp. bank term loan FRN (CME Term SOFR 1 Month + 4.00%), 9.344%, 9/29/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,368</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">124,977</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bausch
+ Lomb Corp. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.689%, 5/5/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">338,932</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,035</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita,
Inc. bank term loan FRN Ser. B1, (CME Term SOFR 1 Month + 2.00%), 7.344%, 5/6/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,626</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medline
Borrower LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.094%, 10/23/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,258</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,501</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pacific
Dental Services, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.579%, 3/10/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,550</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,663</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Phoenix
Guarantor, Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.25%), 8.594%, 2/13/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,488</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,850</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Phoenix
Newco, Inc. bank term loan FRN (CME Term SOFR 3 Month + 3.25%), 8.708%, 8/11/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,418</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">252,811</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Waystar
Technologies, Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 4.00%), 8.096%, 10/31/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,685</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,685</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,495,148</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Technology
(0.9%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cloud
Software Group, Inc. bank term loan FRN (CME Term SOFR 1 Month + 4.00%), 9.335%, 3/29/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">462,830</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">462,136</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dun
&amp; Bradstreet Corp. (The) bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 2.75%), 8.096%, 1/18/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,500</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Idera,
Inc. bank term loan FRN (CME Term SOFR 1 Month + 3.50%), 8.843%, 3/2/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198,350</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">McAfee
Corp. bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.25%), 8.593%, 3/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">219,485</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Proofpoint,
Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 3.00%), 8.332%, 8/31/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,577</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">237,668</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UKG,
Inc. bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.25%), 8.576%, 1/31/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,683</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,527,822</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American
Airlines, Inc. bank term loan FRN (CME Term SOFR 3 Month + 4.75%), 10.336%, 4/20/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,190</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,761</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Genesee
&amp; Wyoming, Inc. bank term loan FRN Class B, (CME Term SOFR 1 Month + 2.00%), 7.335%, 4/5/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,814</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WestJet
Loyalty LP bank term loan FRN Ser. B, (CME Term SOFR 1 Month + 3.75%), 9.082%, 2/14/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,680</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">746,255</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
senior loans (cost $9,794,451)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$9,681,916</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONVERTIBLE
BONDS AND NOTES (2.8%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Axon
Enterprise, Inc. company guaranty cv. sr. unsec. notes 0.50%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$70,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$96,045</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fluor
Corp. 144A cv. sr. unsec. notes 1.125%, 8/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,232</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Middleby
Corp. (The) cv. sr. unsec. notes 1.00%, 9/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,695</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tetra
Tech, Inc. 144A cv. sr. unsec. notes 2.25%, 8/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,011</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,983</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Block,
Inc. cv. sr. unsec. sub. notes 0.25%, 11/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,042</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Booking
Holdings, Inc. cv. sr. unsec. notes 0.75%, 5/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,228</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carnival
Corp. company guaranty cv. sr. unsec. unsub. notes 5.75%, 12/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104,384</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DraftKings,
Inc. cv. sr. unsec. unsub. notes zero %, 3/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,766</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Global
Payments, Inc. 144A cv. sr. unsec. notes 1.50%, 3/1/31</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,635</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liberty
Media Corp.-Liberty Formula One cv. sr. unsec. notes 2.25%, 8/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,884</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Live
Nation Entertainment, Inc. 144A cv. sr. unsec. notes 3.125%, 1/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,876</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Meritage
Homes Corp. 144A company guaranty cv. sr. unsec. notes 1.75%, 5/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,545</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Patrick
Industries, Inc. company guaranty cv. sr. unsec. notes 1.75%, 12/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,610</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rivian
Automotive, Inc. cv. sr. unsec. sub. notes 4.625%, 3/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,268</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shift4
Payments, Inc. cv. sr. unsec. sub. notes 0.50%, 8/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,004</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spectrum
Brands, Inc. 144A company guaranty cv. sr. unsec. notes 3.375%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,816</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">882,058</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer
staples (0.3%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Airbnb,
Inc. cv. sr. unsec. sub. notes zero %, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,322</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chefs'
Warehouse, Inc. (The) cv. sr. unsec. unsub. notes 2.375%, 12/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,374</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Etsy,
Inc. cv. sr. unsec. notes 0.25%, 6/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,295</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lyft,
Inc. 144A cv. sr. unsec. sub. notes 0.625%, 3/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,609</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shake
Shack, Inc. cv. sr. unsec. notes zero %, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,630</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uber
Technologies, Inc. 144A cv. sr. unsec. notes 0.875%, 12/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,821</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wayfair,
Inc. cv. sr. unsec. unsub. notes 3.25%, 9/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,747</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zillow
Group, Inc. cv. sr. unsec. sub. notes 1.375%, 9/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,561</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575,359</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nabors
Industries, Inc. company guaranty cv. sr. unsec. unsub. notes 1.75%, 6/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,888</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Northern
Oil and Gas, Inc. cv. sr.unsec. notes 3.625%, 4/15/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,721</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">126,609</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financials
(0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Welltower
OP, LLC 144A company guaranty cv. sr. unsec. notes 2.75%, 5/15/28<B><I><SUP>(R)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,406</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,406</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health
care (0.4%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Alnylam
Pharmaceuticals, Inc. cv. sr. unsec. unsub. notes 1.00%, 9/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,883</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BioMarin
Pharmaceutical, Inc. cv. sr. unsec. sub. notes 1.25%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,781</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BridgeBio
Pharma, Inc. cv. sr. unsec. notes 2.50%, 3/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,364</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONMED
Corp. cv. sr. unsec. notes 2.25%, 6/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,293</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dexcom,
Inc. cv. sr. unsec. unsub. notes 0.375%, 5/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">137,757</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exact
Sciences Corp. cv. sr. unsec. sub. notes 0.375%, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,947</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Haemonetics
Corp. 144A cv. sr. unsec. sub. notes 2.50%, 6/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,996</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Insulet
Corp. cv. sr. unsec. notes 0.375%, 9/1/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,340</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Integer
Holdings Corp. cv. sr. unsec. unsub. notes 2.125%, 2/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,100</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lantheus
Holdings, Inc. company guaranty cv. sr. unsec. unsub. notes 2.625%, 12/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,207</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Repligen
Corp. 144A cv. sr. unsec. notes 1.00%, 12/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,527</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sarepta
Therapeutics, Inc. cv. sr. unsec. unsub. notes 1.25%, 9/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,017</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">708,212</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Technology
(1.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Akamai
Technologies, Inc. cv. sr. unsec. notes 0.375%, 9/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,681</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Altair
Engineering, Inc. cv. sr. unsec. sub. notes 1.75%, 6/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">74,113</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bentley
Systems, Inc. cv. sr. unsec. sub. notes 0.375%, 7/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,296</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Datadog,
Inc. cv. sr. unsec. notes 0.125%, 6/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,503</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dropbox,
Inc. cv. sr. unsec. sub. notes zero %, 3/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,563</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Envestnet,
Inc. company guaranty cv. sr. unsec. notes 2.625%, 12/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,648</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Evolent
Health, Inc. 144A cv. sr. unsec. notes 3.50%, 12/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,416</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HubSpot,
Inc. cv. sr. unsec. notes 0.375%, 6/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,886</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Impinj,
Inc. cv. sr. unsec. notes 1.125%, 5/15/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,498</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lumentum
Holdings, Inc. cv. sr. unsec. notes 0.50%, 12/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,258</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Microchip
Technology, Inc. 144A cv. sr. unsec. notes 0.75%, 6/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,406</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MKS
Instruments, Inc. 144A cv. sr. unsec. notes 1.25%, 6/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">65,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,205</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MongoDB,
Inc. cv. sr. unsec. notes 0.25%, 1/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,749</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nutanix,
Inc. cv. sr. unsec. notes 0.25%, 10/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,122</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Okta,
Inc. cv. sr. unsec. notes 0.375%, 6/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107,759</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ON
Semiconductor Corp. company guaranty cv. sr. unsec. notes 0.50%, 3/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,304</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Palo
Alto Networks, Inc. cv. sr. unsec. notes 0.375%, 6/1/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,258</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Parsons
Corp. 144A cv. sr. unsec. notes 2.625%, 3/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">66,185</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Progress
Software Corp. cv. sr. unsec. notes 1.00%, 4/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,285</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Progress
Software Corp. 144A cv. sr. unsec. sub. notes 3.50%, 3/1/30</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,916</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seagate
HDD Cayman 144A company guaranty cv. sr. unsec. notes 3.50%, 6/1/28 (Cayman Islands)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,273</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Snap,
Inc. cv. sr. unsec. notes zero %, 5/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,964</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Super
Micro Computer, Inc. 144A cv. sr. unsec. sub. notes zero %, 3/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69,114</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tyler
Technologies, Inc. cv. sr. unsec. sub. notes 0.25%, 3/15/26</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,550</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wolfspeed,
Inc. cv. sr. unsec. notes 1.875%, 12/1/29</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,182</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Workiva,
Inc. 144A cv. sr. unsec. sub. notes 1.25%, 8/15/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">82,212</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,691,346</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Utilities
and power (0.1%)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMS
Energy Corp. cv. sr. unsec. notes 3.375%, 5/1/28</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,904</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG
Energy, Inc. company guaranty cv. sr. unsec. bonds 2.75%, 6/1/48</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,278</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PG&amp;E
Corp. 144A cv. sr. notes 4.25%, 12/1/27</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,408</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Southern
Co. (The) cv. sr. unsec. unsub. notes 3.875%, 12/15/25</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">59,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,266</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,856</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="5" STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total convertible bonds and notes (cost $4,743,216)</FONT>    </td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$4,613,829</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ASSET-BACKED
SECURITIES (0.7%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 21-3, Class E, (CME Term SOFR 1 Month + 3.36%), 8.71%, 10/22/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$585,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$586,188</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB
Ser. 21-3, Class D, (CME Term SOFR 1 Month + 2.11%), 7.46%, 10/22/24</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">499,271</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
asset-backed securities (cost $1,023,847)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,085,459</FONT></td>
</tr><br></table>
<br><br><br><br>


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

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SHORT-TERM
INVESTMENTS (25.7%)<B><I><SUP>(a)</SUP></I></B></FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BNP
Paribas SA/New York, NY commercial paper 5.423%, 8/2/24 (France)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$750,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$746,142</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BPCE
SA commercial paper 5.412%, 8/13/24 (France)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">744,887</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRW.Bank
commercial paper 5.405%, 9/30/24 (Germany)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739,573</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Government Money Market Fund Class P 5.07%<B><I><SUP>(AFF)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,780,074</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,780,074</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Short Term Investment Fund Class P 5.48%<B><I><SUP>(AFF)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,133,672</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,133,672</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State
Street Institutional U.S. Government Money Market Fund, Premier Class 5.25%<B><I><SUP>(P)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,412,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,412,000</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 5.379%, 8/27/24<B><I><SUP>(SEG)(SEGSF)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$600,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595,017</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Bills 5.373%, 7/23/24<B><I><SUP>(SEGSF)</SUP></I></B></FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">199,358</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
short-term investments (cost $42,351,739)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$42,350,723</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 18; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TOTAL
INVESTMENTS</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
investments (cost $238,573,815)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$234,091,237</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=10%></td>
   <td width=14%></td>
   <td width=10%></td>
   <td width=10%></td>
   <td width=9%></td>
   <td width=14%></td>
   <td width=17%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FORWARD
CURRENCY CONTRACTS at 6/30/24 (aggregate face value $21,922,246) (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Currency</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contract
type*</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delivery
date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aggregate
face value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$242,213</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$244,600</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,387</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">297</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">293</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184,031</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">187,266</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,235</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/21/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">403,947</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">423,983</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(20,036)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,999</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,030</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,999</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,890</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(109)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,999</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,029</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320,958</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,841</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,883</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,696</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,607</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">911</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,995</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,049</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays
Bank PLC</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,472</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,461</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,472</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,429</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">957</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,604</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,589</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,975</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,804</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">829</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,767</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,890</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,395</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,812</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(417)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank,
N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">236,774</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">239,249</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,475</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">509,094</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518,082</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,988</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,173</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,199</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,026</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,897</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,966</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,768</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,716</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,768</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,674</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(94)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,581</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,579</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,581</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,684</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,595</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,593</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexican
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,969</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">389,915</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,946)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexican
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,969</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">393,402</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,433</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">193,290</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,053</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,763</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">354,898</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">356,862</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,964)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HSBC
Bank USA, National Association</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413,713</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">587</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">414,300</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">411,013</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,287)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">382,361</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">382,139</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(222)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">378,699</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">378,723</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(24)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">378,699</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,641</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,942</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,005</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,902</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(103)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,969</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">212,655</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,686</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,711</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,405</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(694)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,711</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321,998</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,713)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313,793</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">314,479</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">686</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,441</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,609</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,154</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,891</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">737</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,165</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,305</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(140)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,173</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,119</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,173</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,425</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,252</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,486</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">143,422</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(64)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,619</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,716</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,986</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,506</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,986</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">556,908</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,078)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">524,684</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">524,359</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(325)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">208,948</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,948</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,476</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,147</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">329</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,476</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,427</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,014,963</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,338</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,375</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexican
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">786,241</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">812,425</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26,184)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexican
Peso</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">786,241</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">783,792</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,449)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,687</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">302,480</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(793)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,687</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,701</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(986)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,673</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">302,442</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">769</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NatWest
Markets PLC</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,672</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,517</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,672</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,658</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">78,545</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,478</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">933</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,367</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,342</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,367</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,485</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,604</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">108,568</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,330</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,833</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,503</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,995</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,250</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(255)</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State
Street Bank and Trust Co.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,750</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,733</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,750</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,625</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(125)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,784</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,768</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(16)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,462</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,695</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(233)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,641,156</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,710,125</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,969</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,295</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(195)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,100</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,905</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(195)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,177</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,510</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(333)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">358,438</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,481</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,043</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toronto-Dominion
Bank</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,189</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,014</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,189</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">242,282</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,907)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,719</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,570</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(149)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,328</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,815</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">487</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,403</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,262</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,403</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,416</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,013</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,648</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,539</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(109)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,245</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,407</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">162</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/21/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,833</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,022</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(189)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Norwegian
Krone</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">203,302</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,401</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,099</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Franc</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">79,428</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,180</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">752</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
AG</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,549</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,538</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,549</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,434</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(115)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,580</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,571</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,462</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,623</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(161)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,506</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,504</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,506</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,655</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,527</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,524</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">322,806</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">328,507</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,701</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Japanese
Yen</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/21/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">754,582</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">791,982</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(37,400)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,170</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,290</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(120)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,170</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,780</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(390)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,168</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46,284</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swedish
Krona</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,645</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,725</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=7 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WestPac
Banking Corp.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British
Pound</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,383</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,497</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,415</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,011</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,596</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buy</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,910</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,172</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(262)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,910</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">60,391</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(519)</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sell</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,748</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,818</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70</FONT></td>
</tr>

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

<tr>
<td></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">163,875</FONT></td>
</tr>

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

<tr>
<td></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(109,514)</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$54,361</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">*</FONT></td>
<td COLSPAN=7 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
exchange currency for all contracts listed is the United States Dollar.</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=30%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FUTURES
CONTRACTS OUTSTANDING at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Number
of contracts</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional
amount</FONT></P></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Bobl
5 yr (Short)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,616,341</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,616,343</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(26,734)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Note 2 yr (Short)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,471,719</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,471,719</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,198)</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Note 5 yr (Long)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">104</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,084,125</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,084,125</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,467</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
Treasury Note Ultra 10 yr (Long)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,720,125</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,720,125</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 10"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">81,316</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,783</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(33,932)</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$118,851</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 95%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 35%"></td>
   <TD STYLE="width: 15%"></td>
   <TD STYLE="width: 3%"></td>
   <TD STYLE="width: 15%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FORWARD
PREMIUM SWAP OPTION CONTRACTS OUTSTANDING at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty
Fixed right or obligation % to receive or (pay)/Floating rate index/Maturity date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration
date/strike</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional/<BR>
Contract
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Premium
receivable/<BR>
(payable)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4.225)/US
SOFR/Nov-36 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-26/4.225</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,843,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(358,420)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(45,396)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.725/US
SOFR/Nov-36 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-26/3.725</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,843,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(342,320)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">423</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.925)/US
SOFR/Apr-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-27/3.925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,178,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">314,146</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,585)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.925/US
SOFR/Apr-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-27/3.925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,178,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">314,146</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,379</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays
Bank PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.00/US
SOFR/Dec-48 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-38/3.00</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,769,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,111,805)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,254</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.10/US
SOFR/Dec-42 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-32/3.10</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,498,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(655,733)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">85,241</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citibank,
N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.75/US
SOFR/Sep-34 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24/3.75</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,386,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224,231</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(86,613)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.85)/US
SOFR/Sep-34 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24/3.85</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,386,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(207,664)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,475</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.85/US
SOFR/Sep-34 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24/3.85</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,386,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(207,664)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(35,743)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.75)/US
SOFR/Sep-34 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-24/3.75</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,386,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224,231</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92,637</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.945/US
SOFR/Apr-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-27/3.945</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,717,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,369</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,392</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.945)/US
SOFR/Apr-37 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-27/3.945</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,717,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,369</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,167)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche
Bank AG</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4.8525)/6
month AUD-BBR-BBSW/May-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-29/4.8525</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,201,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(362,821)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,322)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.8525/6
month AUD-BBR-BBSW/May-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-29/4.8525</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,201,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(362,821)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,008</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.239/6
month EUR-EURIBOR/May-58 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-28/2.239</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">714,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,218</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,789)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.239)/6
month EUR-EURIBOR/May-58 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">May-28/2.239</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">714,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,218</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,965</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.25/6
month EUR-EURIBOR/Apr-54 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-34/2.25</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">486,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,447</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,211)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.25)/6
month EUR-EURIBOR/Apr-54 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-34/2.25</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">486,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,447</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,654</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.85)/3
month EUR-EURIBOR/Mar-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-28/2.85</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,519,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(174,199)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(58,904)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.85/3
month EUR-EURIBOR/Mar-29 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-28/2.85</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,519,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(174,199)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,892)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.35/US
SOFR/Mar-59 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-29/2.35</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$7,494,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,320,856)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,599)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.495)/6
month AUD-BBR-BBSW/Nov-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-26/2.495</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,376,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(147,789)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">287,997</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.495/6
month AUD-BBR-BBSW/Nov-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nov-26/2.495</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,376,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(147,789)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(116,334)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.445)/6
month AUD-BBR-BBSW/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/1.445</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,940,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,744)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,779</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.445/6
month AUD-BBR-BBSW/Mar-40 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-30/1.445</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,940,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72,744)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,211)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.692/6
month AUD-BBR-BBSW/Jan-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.692</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,387,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43,285)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(41,640)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.692)/6
month AUD-BBR-BBSW/Jan-35 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jan-25/1.692</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,387,400</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(43,285)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167,142</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.441/6
month AUD-BBR-BBSW/Jul-45 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-25/1.441</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54,979)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(50,950)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.441)/6
month AUD-BBR-BBSW/Jul-45 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jul-25/1.441</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54,979)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,565</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.201/6
month EUR-EURIBOR/Apr-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-29/1.201</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,999,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(119,351)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(14,199)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4.201)/6
month EUR-EURIBOR/Apr-39 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-29/4.201</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,999,100</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(150,318)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,461</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.665/6
month EUR-EURIBOR/Apr-43 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-33/2.665</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,286,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,494</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,131)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.665)/6
month EUR-EURIBOR/Apr-43 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-33/2.665</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,286,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">190,494</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,094</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.515)/US
SOFR/Dec-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-30/3.515</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10,834,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">764,923</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,735</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.515/US
SOFR/Dec-40 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-30/3.515</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,834,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">812,595</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(153,093)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.475/US
SOFR/Dec-38 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-28/3.475</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,164,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480,725</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(104,527)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.475)/US
SOFR/Dec-38 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dec-28/3.475</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,164,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480,725</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">93,351</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.0925/US
SOFR/Mar-43 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-33/3.0925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,473,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,749</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(36,462)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3.0925)/US
SOFR/Mar-43 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mar-33/3.0925</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,473,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">123,749</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">35,430</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.492)/6
month EUR-EURIBOR/Jun-51 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-31/2.492</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,821,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">742,480</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,304</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.492/6
month EUR-EURIBOR/Jun-51 (Written)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-31/2.492</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,821,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">742,480</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,053)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.952)/6
month EUR-EURIBOR/Jun-49 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-29/2.952</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,537,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(439,649)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,018</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.634/6
month EUR-EURIBOR/Jun-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/2.634</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,657,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(424,385)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,581)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.634)/6
month EUR-EURIBOR/Jun-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jun-27/2.634</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,657,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(424,385)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,945)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS
AG</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.00)/6
month AUD-BBR-BBSW/Sep-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-36/2.00</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,078,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(110,618)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,845</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.00/6
month AUD-BBR-BBSW/Sep-46 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sep-36/2.00</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,078,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(110,618)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(49,094)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.70/6
month AUD-BBR-BBSW/Apr-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-37/2.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,554)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22,733)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2.70)/6
month AUD-BBR-BBSW/Apr-47 (Purchased)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Apr-37/2.70</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(60,554)</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,638</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,555,787</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(977,174)</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$578,613</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=54%></td>
   <td width=2%></td>
   <td width=13%></td>
   <td width=13%></td>
   <td width=13%></td>
   </tr>

<tr>
<td></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA
SALE COMMITMENTS OUTSTANDING at 6/30/24 (proceeds receivable $28,153,691) (Unaudited)</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Government
National Mortgage Association, 3.50%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/22/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$898,783</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 6.50%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,266,007</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 5.50%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">986,289</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 4.50%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,713,085</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 4.00%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,659,375</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 3.50%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">885,078</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 3.00%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850,938</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Uniform
Mortgage-Backed Securities, 2.50%, 7/1/54</FONT></td>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000,000</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/15/24</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 40"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">816,445</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<td></td>
<td></td>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$28,076,000</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<br>
<br><TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="padding-left: 6pt; width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>


<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/<BR>
notional amount</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-</FONT></P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">nation<BR>date</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; padding: 6 6 3 15; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
made by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: bottom"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received by fund</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Chase Bank N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MYR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,060,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,578</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(434)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3 15; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
Negara Malaysia Klibor Interbank Offered Rate Fixing 3 Month&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.6725%&nbsp;&mdash;
Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,144</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium received</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,144</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium (paid)</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(434)</FONT></td>
<TD></td>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized (depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(434)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$5,144</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Extended
effective date.</I></B></FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></TD>
   <TD STYLE="width: 5%"></TD>
   <TD STYLE="width: 10%"></TD>
   <TD STYLE="width: 8%"></TD>
   <TD STYLE="width: 1%"></TD>
   <TD STYLE="width: 8%"></TD>
   <TD STYLE="width: 1%"></TD>
   <TD STYLE="width: 8%"></TD>
   <TD STYLE="padding-left: 6pt; width: 10%"></TD>
   <TD STYLE="width: 1%"></TD>
   <TD STYLE="width: 18%"></TD>
   <TD STYLE="width: 12%"></TD>
</tr>


<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CENTRALLY
CLEARED INTEREST RATE SWAP CONTRACTS OUTSTANDING at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional
amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-</FONT></P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">nation<BR>date</FONT></P></td>
<TD STYLE="border-bottom: Black 1.5pt solid; padding: 6 6 3 6pt; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
made by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; padding: 6 6 3; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,184,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$10,770</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(74)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/13/57</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.524%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(10,844)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,965,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,467</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/18/36</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.757%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,437</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,088,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,964</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(71)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/20/59</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.485%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,893</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,177,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,637</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(109)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/18/26</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.413%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(208,043)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,045,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,947</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(46)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/21/39</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.815%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,902</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">793,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,627</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/31/38</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.93%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,615</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,616,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,769</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(54)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/21/39</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.958%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,714</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,736,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,495</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/14/59</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.57%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,436</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,299</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/20/59</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.642%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,295</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,682</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/18/58</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.455%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,667</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,141,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,577</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(39)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/14/59</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.456%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,616)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,428,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,496</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">302,082</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/26</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,586</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,182,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">663,948</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">889,790</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.30%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,842</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,297,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">589,455</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">919,967</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.10%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,512</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,922,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">187,372</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(304,699)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/54</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.90%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(117,327)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,979,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">117,333</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">156,876</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/26</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.55%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,543</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,435,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,437,436</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,866,144)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.35%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(409,264)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,145,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,884</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,578</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.15%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(305)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,264,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495,466</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">751,525</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/54</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.95%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">256,060</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,852,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,840</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(149)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/25/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.99%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US
SOFR&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,691</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">653,200</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">815</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/27/43</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.91%&nbsp;&mdash;
Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(823)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,155,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">44,576</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(53)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/15/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.226%&nbsp;&mdash;
Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(50,594)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,398,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,785</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/7/40</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.092%&nbsp;&mdash;
Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,803)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,225,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,209</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,333</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month AUD-BBR-BBSW&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.47%&nbsp;&mdash;
Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,876)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AUD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,673,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,645</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,063)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/26</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.20%&nbsp;&mdash;
Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month AUD-BBR-BBSW&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(418)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BRL</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,030,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,237</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,284</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/2/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brazil
Cetip Interbank Deposit Rate&nbsp;&mdash; At maturity</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%&nbsp;&mdash;
At maturity</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(23,841)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">982,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,821</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,759</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.45%&nbsp;&mdash;
Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Overnight Repo Rate&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,062)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,378,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,133</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,004)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/26</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian
Overnight Repo Rate&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.96%&nbsp;&mdash;
Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(871)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHF</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,411,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,258</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,422</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swiss
Average Rate Overnight&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.28%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">83,681</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CLP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">536,810,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,684</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/23/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CLICP
(Chilean Pesos Indice Camara Promedio) &mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.94%&nbsp;&mdash;
Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,644)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNY</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">41,610,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,797</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,782</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">China
Fixing Repo Rates 7 Day&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.98%&nbsp;&mdash;
Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,578</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">COP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">778,160,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">270</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">323</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.01%&nbsp;&mdash;
Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Colombia
IBR Overnight Rate&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CZK</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,910,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,460</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,079)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month CZK-PRIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.97%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,381</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,004,800</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,333</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(284,631)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/13/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.18%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(147,717)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,455</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/24/48</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.545%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,482)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,245,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,347</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(26)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2/23/44</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.69%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,374)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,054,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,194</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(72)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/8/44</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.54%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(71,265)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,450,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,414</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(120)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/8/44</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.70%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,294</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">286,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">166</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/2/46</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.675%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(176)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,891,700</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,669</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,162</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.88%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,507)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,620,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,782</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,090</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.86%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,309</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,701,300</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,122</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(59)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/20/49</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.452%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,181)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">479,600</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,286</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/2/46</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.456%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(9,303)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">622,900</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(22)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/30/47</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.634%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">726</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,094,500</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,371</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(40)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/2/51</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month EUR-EURIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.492%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,411)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,851</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(863)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling
Overnight Index Average&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.98%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,987</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,535</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,828)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/26</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling
Overnight Index Average&nbsp;&mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.68%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,707</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HUF</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">392,500,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,416</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,107</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month HUF-BUBOR-NATIONAL BANK OF HUNGARY&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.32%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,524</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ILS</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,437</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(519)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Israeili
Shekel 3 Month TELIBOR&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.40%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,730,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,561</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">119,482</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/19/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INR-FBIL-MIBOR-OIS-COMPOUND&nbsp;&mdash;
Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.285%&nbsp;&mdash;
Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(79)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130,770,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,787</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(566)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INR-FBIL-MIBOR-OIS-COMPOUND&nbsp;&mdash;
Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.325%&nbsp;&mdash;
Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,353)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KRW</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,042,540,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,780</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(937)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month KRW-CD-KSDA-BLOOMBERG&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.20%&nbsp;&mdash;
Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,842</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MXN</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,180,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,489</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,317)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mexico
Interbank TIIE 28 Day&nbsp;&mdash; 28 Days</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.87%&nbsp;&mdash;
28 Days</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,171</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NOK</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,384,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,565</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,496</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.82%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month NOK-NIBOR-NIBR&nbsp;&mdash; Semiannually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,069)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NZD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">457,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,781</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.60%&nbsp;&mdash;
Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month NZD-BBR-FRA&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,040)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PLN</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,190,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,253</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,157)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6
month WIBOR&nbsp;&mdash; Semiannually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.05%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,095</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SEK</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,409,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,423</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,963</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/34</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.75%&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month SEK-STIBOR-SIDE&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(24,460)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SGD</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(619)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Compounded
Singapore Overnight Rate Average &mdash; Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.94%&nbsp;&mdash;
Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,057)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">THB</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,160,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,212</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,066</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding-top: 6pt; padding-bottom: 3pt; padding-left: 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Thailand
Overnight Repo Rate ON&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.47%&nbsp;&mdash;
Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,279</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ZAR</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">54,750,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,606</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/18/29</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3
month ZAR-JIBAR-SAFEX&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%&nbsp;&mdash;
Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,609</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(195,084)</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="padding-left: 6pt"></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$162,081</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(E)</SUP></I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Extended
effective date.</I></B></FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 10%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="padding-left: 6pt; width: 18%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
TOTAL RETURN SWAP CONTRACTS OUTSTANDING at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/<BR>notional amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-</FONT></P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">nation<BR>date</FONT></P></td>
<TD STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: bottom"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments received</FONT></P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(paid) by fund</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; padding: 6 6 3; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
return received by or paid by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
depreciation</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,075,356</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,017,945</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/29/25</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.165%)&nbsp;&mdash;
Annually</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ephesus
Funding DAC, 3.80%, Series 2020-01, 9/22/2025&nbsp;&mdash; Annually</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(26,317)</FONT></td>
</tr>

<tr>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,032,736</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">944,076</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/17/24</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; padding: 6 6 3 6pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.825%
(US SOFR plus 0.14161%)&nbsp;&mdash; Quarterly</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pera
Funding DAC, 3.825%, Series 2019-01, 07/10/24&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(92,550)</FONT></td>
</tr>

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

<tr>
<TD COLSPAN="5" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium received</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<td COLSPAN=3 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(118,867)</FONT></td>
</tr>

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

<tr>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<TD></td>
<TD></td>
<TD STYLE="padding-left: 6pt"></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; padding: 6 6 3; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(118,867)</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="padding-left: 15pt; width: 25%"></td>
   <TD STYLE="padding-left: 6pt; width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
CREDIT DEFAULT CONTRACTS OUTSTANDING&nbsp;&mdash; PROTECTION SOLD at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="padding: 6 6 3 15pt; font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/referenced debt*</FONT></P></td>
<TD STYLE="border-bottom: Black 1.5pt solid; padding: 6 6 3 6pt; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rating***</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)**</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-</FONT></P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">nation<BR>date</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received by fund</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bank
of America N.A.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$4,375</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$28,492</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$3,795</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$594</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,933</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,718</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,092</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(143)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,424</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,067</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,337</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">107</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup
Global Markets, Inc.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">449,790</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,052,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">377,668</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,999</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,554</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">147,636</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">38,326</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,351</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">50,794</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159,679</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">52,215</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,310)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">316,861</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747,268</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,357</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,126</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73,195</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">174,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,434</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,906</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.11 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,020</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,544</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,507</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.16 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,689</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">179,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,182</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/17/65</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,597</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,951</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365,559</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,594</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(461)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">28,991</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">86,510</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,458</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,606</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,401</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,326</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,723</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">42,218</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,596</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.16 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,464</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,090</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/17/65</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,724</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">437,264</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">77,265</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,678</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Securities LLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,629</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">120,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">49,152</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(39,423)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,787</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">127,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">29,299</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,449)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,933</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">115,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,431</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,559</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Merrill
Lynch International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,425</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,421</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,068</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA A.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">A-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,894</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">191,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,421</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,538</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,977</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,753</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,810</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,779)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.13 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,177</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,693</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,507</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6pt 6pt 3pt 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.6 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCC-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100,044</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,128</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,577</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,710</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.16 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,319</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,310</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/17/65</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,019</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.9 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BB-/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">874</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,530</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300
bp&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(652)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td COLSPAN=3 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,495,948</FONT></td>
<TD></td>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,932</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<td COLSPAN=3 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD></td>
<td COLSPAN=5 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
(depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(57,217)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,495,948</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$226,715</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>*</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Payments
related to the referenced debt are made upon a credit default event.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>**</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Upfront
premium is based on the difference between the original spread on issue and the market spread on day of execution.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>***</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Ratings
for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard &amp;
Poor's or Fitch ratings are believed to be the most recent ratings available at June 30,&nbsp;2024. Securities rated by Fitch are indicated
by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard &amp; Poor&#8217;s
classifications.</I></B></FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="width: 25%; padding-left: 15pt"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="text-align: left; width: 18%; vertical-align: bottom"></td>
   <TD STYLE="width: 12%"></td>
</tr>


<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
CREDIT DEFAULT CONTRACTS OUTSTANDING&nbsp;&mdash; PROTECTION PURCHASED at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<td COLSPAN=2 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Swap
counterparty/<BR>referenced debt*</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)**</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional<BR>amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-<BR>
nation<BR>date</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
(paid) by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized<BR>appreciation/<BR>(depreciation)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup
Global Markets, Inc.</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(420,443)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$906,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$371,098</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(50,101)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(116,872)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,784</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,671</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(116,469)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,374</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,665</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(61,257)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">152,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,259</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">876</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(74,631)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234,616</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">76,719</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,925</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,461)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,310</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,641</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">167</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(64,084)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">142,338</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,242</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(12,960)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(139,762)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">465,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,490</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(51,505)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(234,412)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">826,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,212</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(61,613)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(56,118)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">196,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,217</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(10,999)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.6 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(41,772)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99,278</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,224</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/63</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,598)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,193)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">89,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,847</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,390)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,129)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,530</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(604)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman
Sachs International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.8 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,149)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,393</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,542</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/57</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,641)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(8,966)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">34,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,130</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,854)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan
Securities LLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(311,421)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445,420</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145,652</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(166,141)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.11 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(6,829)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">62,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,544</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/18/54</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,684</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(214,338)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,891</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">75,608</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(138,944)</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Merrill
Lynch International</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(15,875)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114,278</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,171</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(32,451)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,591</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">32,794</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 12; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan
Stanley &amp; Co. International PLC</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29,898)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">25,805</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(4,146)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(89,199)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206,602</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">67,559</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,812)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BB.9 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(78,352)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,761</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/58</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(500
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(5,746)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.10 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(166,855)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">516,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">98,195</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/17/59</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(68,918)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.12 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(318)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/17/61</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(109)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.13 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(7,316)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,306</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/16/72</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,021)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CMBX
NA BBB-.7 Index</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(53,275)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">189,341</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,456</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/17/47</FONT></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(300
bp)&nbsp;&mdash; Monthly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(19,914)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="text-align: left; vertical-align: bottom"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium received</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized appreciation</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">106,409</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="text-align: left; vertical-align: bottom"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront premium (paid)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,383,845)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized (depreciation)</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(657,016)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="text-align: left; vertical-align: bottom"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 15pt; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(2,383,845)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="border-bottom: Black 0pt solid; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(550,607)</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>*</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Payments
related to the referenced debt are made upon a credit default event.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>**</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Upfront
premium is based on the difference between the original spread on issue and the market spread on day of execution.</I></B></FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<TABLE BORDER="0" CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%">
<tr>
   <TD STYLE="width: 5%"></td>
   <TD STYLE="padding-left: 15pt; width: 25%"></td>
   <TD STYLE="width: 8%; padding-left: 6pt"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 8%"></td>
   <TD STYLE="width: 1%"></td>
   <TD STYLE="width: 18%"></td>
   <TD STYLE="width: 12%"></td>
</tr>

<tr>
<TD></td>
<td COLSPAN=11 STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CENTRALLY
CLEARED CREDIT DEFAULT CONTRACTS OUTSTANDING&nbsp;&mdash; PROTECTION SOLD at 6/30/24 (Unaudited)</FONT></td>
</tr>

<tr>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="padding: 6 6 3 15pt; font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Referenced
debt*</FONT></td>
<TD STYLE="border-bottom: Black 1.5pt solid; padding: 6 6 3 6pt; font-weight: bold; font-size: 11pt; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rating***</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Upfront
premium received (paid)**</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional amount</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Termi-</FONT></P>
                                                                                <P STYLE="margin-top: 0; margin-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">nation<BR>date</FONT></P></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Payments
received by fund</FONT></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized
depreciation</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CDX
NA HY Series 42 Index</FONT></td>
<TD STYLE="border-bottom: Black 0pt solid; padding: 6 6 3 6pt; font-size: 11pt; text-align: left; vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B+/P</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(765,392)</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$11,238,000</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$705,185</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/20/29</FONT></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500
bp&nbsp;&mdash; Quarterly</FONT></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(44,084)</FONT></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding-left: 15pt"></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 0"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT><HR SIZE="2" NOSHADE ALIGN="RIGHT" WIDTH="60%"></td>
</tr>

<tr>
<TD></td>
<TD STYLE="padding: 6 6 3 15pt; font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></td>
<TD STYLE="padding-left: 6pt"></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(765,392)</FONT></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD></td>
<TD STYLE="font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(44,084)</FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>*</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Payments
related to the referenced debt are made upon a credit default event.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>**</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Upfront
premium is based on the difference between the original spread on issue and the market spread on day of execution.</I></B></FONT></td>
</tr>

<tr>
<TD STYLE="font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>***</I></B></FONT></td>
<td COLSPAN=11 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I>Ratings
for an underlying index represent the average of the ratings of all the securities included in that index. The Moody's, Standard &amp;
Poor's or Fitch ratings are believed to be the most recent ratings available at June 30,&nbsp;2024. Securities rated by Fitch are indicated
by "/F." Securities rated by Putnam are indicated by "/P." The Putnam rating categories are comparable to the Standard &amp; Poor&#8217;s
classifications.</I></B></FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<br>
<br>
<Table style="WIDTH: 85%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=35%></td>
   <td width=12%></td>
   <td width=12%></td>
   <td width=12%></td>
   <td width=12%></td>
   <td width=12%></td>
   </tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 14pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><I>Key
to holding's currency abbreviations</I></FONT></td>
</tr>

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

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

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

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

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNY</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chinese
Yuan (Onshore)</FONT></td>
</tr>

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

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

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

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

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

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

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KRW</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">South
Korean Won</FONT></td>
</tr>

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

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

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NZD</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New
Zealand Dollar</FONT></td>
</tr>

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

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

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

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ZAR</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">South
African Rand</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 14pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><I>Key
to holding's abbreviations</I></FONT></td>
</tr>

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CME</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago
Mercantile Exchange</FONT></td>
</tr>

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EMTN</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro
Medium Term Notes</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRB</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
Rate Bonds: The rate shown is the current interest rate at the close of the reporting period. Rates may be subject to a cap or floor.
For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FRN</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating
Rate Notes: The rate shown is the current interest rate or yield at the close of the reporting period. Rates may be subject to a cap
or floor. For certain securities, the rate may represent a fixed rate currently in place at the close of the reporting period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IFB</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Inverse
Floating Rate Bonds, which are securities that pay interest rates that vary inversely to changes in the market interest rates. As interest
rates rise, inverse floaters produce less current income. The rate shown is the current interest rate at the close of the reporting period.
Rates may be subject to a cap or floor.</FONT></td>
</tr>

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

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

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Over-the-counter</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REGS</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Securities
sold under Regulation S may not be offered, sold or delivered within the United States except pursuant to an exemption from, or in a
transaction not subject to, the registration requirements of the Securities Act of 1933.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">REMICs</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real
Estate Mortgage Investment Conduits</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SOFR</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Secured
Overnight Financing Rate</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA</FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
Be Announced Commitments</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-weight: bold; font-size: 14pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 36; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notes
to the fund's portfolio</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unless
noted otherwise, the notes to the fund's portfolio are for the close of the fund's reporting period, which ran from October 1,&nbsp;2023
through June 30,&nbsp;2024 (the reporting period). Within the following notes to the portfolio, references to "Putnam Management" represent
Putnam Investment Management, LLC, the fund's manager, an indirect wholly-owned subsidiary of Franklin Resources, Inc., references to
"ASC 820" represent Accounting Standards Codification 820 <I>Fair Value Measurements and Disclosures</I> and references to "OTC", if
any, represent over-the-counter.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(a)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Percentages
indicated are based on net assets of $164,627,961.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(NON)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security is non-income-producing.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(STP)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
interest rate and date shown parenthetically represent the new interest rate to be paid and the date the fund will begin accruing interest
at this rate.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(AFF)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affiliated
company. For investments in Putnam Government Money Market Fund and Putnam Short Term Investment Fund, the rate quoted in the security
description is the annualized 7-day yield of the fund at the close of the reporting period. Transactions during the period with any company
which is under common ownership or control were as follows:</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Name
of affiliate</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Fair
value<BR>as of<BR>9/30/23</B></FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchase<BR>cost</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sale<BR>proceeds</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investment<BR>income</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 0; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Shares
outstanding<BR>and fair<BR>value as of<BR>6/30/24</B></FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-term
investments</FONT></td>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Government Money Market Fund Class G&#8224;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$47,345,439</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$47,345,439</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$368,348</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Government Money Market Fund Class P&#8224;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,928,315</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,148,241</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">319,523</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,780,074</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Putnam
Short Term Investment Fund Class P&#8225;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,473,951</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,007,943</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,348,222</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">638,116</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,133,672</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
Short-term investments</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$15,473,951</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$83,281,697</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$60,841,902</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,325,987</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$37,913,746</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#8224;
Management fees paid by the fund are reduced by an amount equal to the management fees paid by Putnam Government Money Market Fund with
respect to assets invested by the fund in Putnam Government Money Market Fund. There were no realized or unrealized gains or losses during
the period.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#8225;
Management fees charged to Putnam Short Term Investment Fund have been waived by Putnam Management. There were no realized or unrealized
gains or losses during the period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(SEG)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security, in part or in entirety, was pledged and segregated with the broker to cover margin requirements for futures contracts at the
close of the reporting period. Collateral at period end totaled $393,506.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(SEGSF)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security, in part or in entirety, was pledged and segregated with the custodian for collateral on certain derivative contracts at the
close of the reporting period. Collateral at period end totaled $267,116.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(c)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senior
loans are exempt from registration under the Securities Act of 1933, as amended, but contain certain restrictions on resale and cannot
be sold publicly. These loans pay interest at rates which adjust periodically. The interest rates shown for senior loans are the current
interest rates at the close of the reporting period. Senior loans are also subject to mandatory and/or optional prepayment which cannot
be predicted. As a result, the remaining maturity may be substantially less than the stated maturity shown. Senior loans are purchased
or sold on a when-issued or delayed delivery basis and may be settled a month or more after the trade date, which from time to time can
delay the actual investment of available cash balances; interest income is accrued based on the terms of the securities.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senior
loans can be acquired through an agent, by assignment from another holder of the loan, or as a participation interest in another holder&#8217;s
portion of the loan. When the fund invests in a loan or participation, the fund is subject to the risk that an intermediate participant
between the fund and the borrower will fail to meet its obligations to the fund, in addition to the risk that the borrower under the
loan may default on its obligations.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(i)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(P)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">This
security was pledged, or purchased with cash that was pledged, to the fund for collateral on certain derivative contracts and TBA commitments.
The rate quoted in the security description is the annualized 7-day yield of the fund at the close of the reporting period.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(R)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real
Estate Investment Trust.</FONT></td>
</tr>

<tr>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B><I><SUP>(WAC)</SUP></I></B></FONT></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
rate shown represents the weighted average coupon associated with the underlying mortgage pools. Rates may be subject to a cap or floor.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unless
otherwise noted, the rates quoted in Short-term investments security descriptions represent the weighted average yield to maturity.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Debt
obligations are considered secured unless otherwise indicated.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">144A
after the name of an issuer represents securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended.
These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
dates shown on debt obligations are the original maturity dates.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Security
valuation:</B> Portfolio securities and other investments are valued using policies and procedures adopted by the Board of Trustees (Trustees).
The Trustees have formed a Pricing Committee to oversee the implementation of these procedures. Under compliance policies and procedures
approved by the Trustees, the Trustees have designated the fund&#8217;s investment manager as the valuation designee and has responsibility
for oversight of valuation. The investment manager is assisted by the fund&#8217;s administrator in performing this responsibility, including
leading the cross-functional Valuation Committee (VC). The VC is responsible for making fair value determinations, evaluating the effectiveness
of the pricing policies of the fund and reporting to the Trustees.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
for which market quotations are readily available are valued at the last reported sales price on their principal exchange, or official
closing price for certain markets, and are classified as Level 1 securities under ASC 820. If no sales are reported, as in the case of
some securities that are traded OTC, a security is valued at its last reported bid price and is generally categorized as a Level 2 security.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments
in open-end investment companies (excluding exchange-traded funds), if any, which can be classified as Level 1 or Level 2 securities,
are valued based on their net asset value. The net asset value of such investment companies equals the total value of their assets less
their liabilities and divided by the number of their outstanding shares.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Market
quotations are not considered to be readily available for certain debt obligations (including short-term investments with remaining maturities
of 60 days or less) and other investments; such investments are valued on the basis of valuations furnished by an independent pricing
service approved by the Trustees or dealers selected by Putnam Management. Such services or dealers determine valuations for normal institutional-size
trading units of such securities using methods based on market transactions for comparable securities and various relationships, generally
recognized by institutional traders, between securities (which consider such factors as security prices, yields, maturities and ratings).
These securities will generally be categorized as Level 2.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Many
securities markets and exchanges outside the U.S. close prior to the scheduled close of the New York Stock Exchange and therefore the
closing prices for securities in such markets or on such exchanges may not fully reflect events that occur after such close but before
the scheduled close of the New York Stock Exchange. Accordingly, on certain days, the fund will fair value certain foreign equity securities
taking into account multiple factors including movements in the U.S. securities markets, currency valuations and comparisons to the valuation
of American Depository Receipts, exchange-traded funds and futures contracts. The foreign equity securities, which would generally be
classified as Level 1 securities, will be transferred to Level 2 of the fair value hierarchy when they are valued at fair value. The
number of days on which fair value prices will be used will depend on market activity and it is possible that fair value prices will
be used by the fund to a significant extent. Securities quoted in foreign currencies, if any, are translated into U.S. dollars at the
current exchange rate.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
the extent a pricing service or dealer is unable to value a security or provides a valuation that Putnam Management does not believe
accurately reflects the security's fair value, the security will be valued at fair value by Putnam Management, which has been designated
as valuation designee pursuant to Rule 2a-5 under the Investment Company Act of 1940, in accordance with policies and procedures approved
by the Trustees. Certain investments, including certain restricted and illiquid securities and derivatives, are also valued at fair value
following procedures approved by the Trustees. These valuations consider such factors as significant market or specific security events
such as interest rate or credit quality changes, various relationships with other securities, discount rates, U.S. Treasury, U.S. swap
and credit yields, index levels, convexity exposures, recovery rates, sales and other multiples and resale restrictions. These securities
are classified as Level 2 or as Level 3 depending on the priority of the significant inputs.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
assess the continuing appropriateness of fair valuations, the Valuation Committee reviews and affirms the reasonableness of such valuations
on a regular basis after considering all relevant information that is reasonably available. Such valuations and procedures are reviewed
periodically by the Trustees. Certain securities may be valued on the basis of a price provided by a single source. The fair value of
securities is generally determined as the amount that the fund could reasonably expect to realize from an orderly disposition of such
securities over a reasonable period of time. By its nature, a fair value price is a good faith estimate of the value of a security in
a current sale and does not reflect an actual market price, which may be different by a material amount.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Stripped
securities:</B> The fund may invest in stripped securities which represent a participation in securities that may be structured in classes
with rights to receive different portions of the interest and principal. Interest-only securities receive all of the interest and principal-only
securities receive all of the principal. If the interest-only securities experience greater than anticipated prepayments of principal,
the fund may fail to recoup fully its initial investment in these securities. Conversely, principal-only securities increase in value
if prepayments are greater than anticipated and decline if prepayments are slower than anticipated. The fair value of these securities
is highly sensitive to changes in interest rates.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Options
contracts:</B> The fund used options contracts for hedging duration and convexity, for isolating prepayment risk and for managing downside
risks.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
potential risk to the fund is that the change in value of options contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. Realized gains
and losses on purchased options are included in realized gains and losses on investment securities. If a written call option is exercised,
the premium originally received is recorded as an addition to sales proceeds. If a written put option is exercised, the premium originally
received is recorded as a reduction to the cost of investments.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exchange-traded
options are valued at the last sale price or, if no sales are reported, the last bid price for purchased options and the last ask price
for written options. OTC traded options are valued using prices supplied by dealers.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Options
on swaps are similar to options on securities except that the premium paid or received is to buy or grant the right to enter into a previously
agreed upon interest rate or credit default contract. Forward premium swap options contracts include premiums that have extended settlement
dates. The delayed settlement of the premiums is factored into the daily valuation of the option contracts. In the case of interest rate
cap and floor contracts, in return for a premium, ongoing payments between two parties are based on interest rates exceeding a specified
rate, in the case of a cap contract, or falling below a specified rate in the case of a floor contract.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average contract amount on options contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Futures
contracts:</B> The fund used futures contracts for hedging treasury term structure risk and for yield curve positioning.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
potential risk to the fund is that the change in value of futures contracts may not correspond to the change in value of the hedged instruments.
In addition, losses may arise from changes in the value of the underlying instruments, if there is an illiquid secondary market for the
contracts, if interest or exchange rates move unexpectedly or if the counterparty to the contract is unable to perform. With futures,
there is minimal counterparty credit risk to the fund since futures are exchange traded and the exchange&#8217;s clearinghouse, as counterparty
to all exchange traded futures, guarantees the futures against default. When the contract is closed, the fund records a realized gain
or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures
contracts are valued at the quoted daily settlement prices established by the exchange on which they trade. The fund and the broker agree
to exchange an amount of cash equal to the daily fluctuation in the value of the futures contract. Such receipts or payments are known
as &#8220;variation margin&#8221;.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average number of futures contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Forward
currency contracts:</B> The fund buys and sells forward currency contracts, which are agreements between two parties to buy and sell
currencies at a set price on a future date. These contracts were used for hedging currency exposures and for gaining exposure to currencies.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service.
The fair value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the
change in fair value is recorded as an unrealized gain or loss. The fund records a realized gain or loss equal to the difference between
the value of the contract at the time it was opened and the value at the time it was closed when the contract matures or by delivery
of the currency. The fund could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts
are unable to meet the terms of their contracts or if the fund is unable to enter into a closing position.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average contract amount on forward currency contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Interest
rate swap contracts:</B> The fund entered into OTC and/or centrally cleared interest rate swap contracts, which are arrangements between
two parties to exchange cash flows based on a notional principal amount, for hedging term structure risk, for yield curve positioning
and for gaining exposure to rates in various countries.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">An
OTC and centrally cleared interest rate swap can be purchased or sold with an upfront premium. For OTC interest rate swap contracts,
an upfront payment received by the fund is recorded as a liability on the fund's books. An upfront payment made by the fund is recorded
as an asset on the fund's books. OTC and centrally cleared interest rate swap contracts are marked to market daily based upon quotations
from an independent pricing service or market makers. Any change is recorded as an unrealized gain or loss on OTC interest rate swaps.
Daily fluctuations in the value of centrally cleared interest rate swaps are settled through a central clearing agent and are recorded
as unrealized gain or loss. Payments, including upfront premiums, received or made are recorded as realized gains or losses at the reset
date or the closing of the contract. Certain OTC and centrally cleared interest rate swap contracts may include extended effective dates.
Payments related to these swap contracts are accrued based on the terms of the contract.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
fund could be exposed to credit or market risk due to unfavorable changes in the fluctuation of interest rates or if the counterparty
defaults, in the case of OTC interest rate contracts, or the central clearing agency or a clearing member defaults, in the case of centrally
cleared interest rate swap contracts, on its respective obligation to perform under the contract. The fund&#8217;s maximum risk of loss
from counterparty risk or central clearing risk is the fair value of the contract. This risk may be mitigated for OTC interest rate swap
contracts by having a master netting arrangement between the fund and the counterparty and for centrally cleared interest rate swap contracts
through the daily exchange of variation margin. There is minimal counterparty risk with respect to centrally cleared interest rate swap
contracts due to the clearinghouse guarantee fund and other resources that are available in the event of a clearing member default.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average notional amount on interest rate swap contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
the close of the reporting period, the fund has deposited cash valued at $1,555,568 in a segregated account to cover margin requirements
on open centrally cleared interest rate swap contracts.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total
return swap contracts:</B> The fund entered into OTC and/or centrally cleared total return swap contracts, which are arrangements to
exchange a market-linked return for a periodic payment, both based on a notional principal amount, for hedging sector exposure, for gaining
exposure to specific sectors, for hedging inflation and for gaining exposure to inflation.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To
the extent that the total return of the security, index or other financial measure underlying the transaction exceeds or falls short
of the offsetting interest rate obligation, the fund will receive a payment from or make a payment to the counterparty. OTC and/or centrally
cleared total return swap contracts are marked to market daily based upon quotations from an independent pricing service or market maker.
Any change is recorded as an unrealized gain or loss on OTC total return swaps. Daily fluctuations in the value of centrally cleared
total return swaps are settled through a central clearing agent and are recorded as unrealized gain or loss. Payments received or made
are recorded as realized gains or losses. Certain OTC and/or centrally cleared total return swap contracts may include extended effective
dates. Payments related to these swap contracts are accrued based on the terms of the contract. The fund could be exposed to credit or
market risk due to unfavorable changes in the fluctuation of interest rates or in the price of the underlying security or index, the
possibility that there is no liquid market for these agreements or that the counterparty may default on its obligation to perform. The
fund&#8217;s maximum risk of loss from counterparty risk or central clearing risk is the fair value of the contract. This risk may be
mitigated for OTC total return swap contracts by having a master netting arrangement between the fund and the counterparty and for centrally
cleared total return swap contracts through the daily exchange of variation margin. There is minimal counterparty risk with respect to
centrally cleared total return swap contracts due to the clearinghouse guarantee fund and other resources that are available in the event
of a clearing member default.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average notional amount on total return swap contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Credit
default contracts:</B> The fund entered into OTC and/or centrally cleared credit default contracts for hedging credit risk, for gaining
liquid exposure to individual names, for hedging market risk and for gaining exposure to specific sectors.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">In
OTC and centrally cleared credit default contracts, the protection buyer typically makes a periodic stream of payments to a counterparty,
the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference
obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy,
failure to pay, restructuring and obligation acceleration. For OTC credit default contracts, an upfront payment received by the fund
is recorded as a liability on the fund&#8217;s books. An upfront payment made by the fund is recorded as an asset on the fund&#8217;s
books. Centrally cleared credit default contracts provide the same rights to the protection buyer and seller except the payments between
parties, including upfront premiums, are settled through a central clearing agent through variation margin payments. Upfront and periodic
payments received or paid by the fund for OTC and centrally cleared credit default contracts are recorded as realized gains or losses
at the reset date or close of the contract. The OTC and centrally cleared credit default contracts are marked to market daily based upon
quotations from an independent pricing service or market makers. Any change in value of OTC credit default contracts is recorded as an
unrealized gain or loss. Daily fluctuations in the value of centrally cleared credit default contracts are recorded as unrealized gain
or loss. Upon the occurrence of a credit event, the difference between the par value and fair value of the reference obligation, net
of any proportional amount of the upfront payment, is recorded as a realized gain or loss.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">In
addition to bearing the risk that the credit event will occur, the fund could be exposed to market risk due to unfavorable changes in
interest rates or in the price of the underlying security or index or the possibility that the fund may be unable to close out its position
at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, the fund
may enter into offsetting OTC and centrally cleared credit default contracts which would mitigate its risk of loss. The fund&#8217;s
maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract.
This risk may be mitigated for OTC credit default contracts by having a master netting arrangement between the fund and the counterparty
and for centrally cleared credit default contracts through the daily exchange of variation margin. Counterparty risk is further mitigated
with respect to centrally cleared credit default swap contracts due to the clearinghouse guarantee fund and other resources that are
available in the event of a clearing member default. Where the fund is a seller of protection, the maximum potential amount of future
payments the fund may be required to make is equal to the notional amount.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
the fund's average notional amount on credit default contracts, see the appropriate table at the end of these footnotes.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
the close of the reporting period, the fund has deposited cash valued at $911,121 in a segregated account to cover margin requirements
on open centrally cleared credit default contracts.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>TBA
commitments:</B> The fund may enter into TBA (to be announced) commitments to purchase securities for a fixed unit price at a future
date beyond customary settlement time. Although the unit price and par amount have been established, the actual securities have not been
specified. However, it is anticipated that the amount of the commitments will not significantly differ from the principal amount. The
fund holds, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price,
or the fund may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be
earned until settlement date.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
fund may also enter into TBA sale commitments to hedge its portfolio positions to sell mortgage-backed securities it owns under delayed
delivery arrangements or to take a short position in mortgage-backed securities. Proceeds of TBA sale commitments are not received until
the contractual settlement date. During the time a TBA sale commitment is outstanding, either equivalent deliverable securities, or an
offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as "cover" for the transaction, or other
liquid assets in an amount equal to the notional value of the TBA sale commitment are segregated. If the TBA sale commitment is closed
through the acquisition of an offsetting TBA purchase commitment, the fund realizes a gain or loss. If the fund delivers securities under
the commitment, the fund realizes a gain or a loss from the sale of the securities based upon the unit price established at the date
the commitment was entered into.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA
commitments, which are accounted for as purchase and sale transactions, may be considered securities themselves, and involve a risk of
loss due to changes in the value of the security prior to the settlement date as well as the risk that the counterparty to the transaction
will not perform its obligations. Counterparty risk is mitigated by having a master agreement between the fund and the counterparty.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unsettled
TBA commitments are valued at their fair value according to the procedures described under "Security valuation" above. The contract is
marked to market daily and the change in fair value is recorded by the fund as an unrealized gain or loss. Based on market circumstances,
Putnam Management will determine whether to take delivery of the underlying securities or to dispose of the TBA commitments prior to
settlement.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Master
agreements:</B> The fund is a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements that govern OTC
derivative and foreign exchange contracts and Master Securities Forward Transaction Agreements that govern transactions involving mortgage-backed
and other asset-backed securities that may result in delayed delivery (Master Agreements) with certain counterparties entered into from
time to time. The Master Agreements may contain provisions regarding, among other things, the parties' general obligations, representations,
agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with
the terms of the Master Agreements, collateral posted to the fund is held in a segregated account by the fund's custodian and, with respect
to those amounts which can be sold or repledged, are presented in the fund's portfolio.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateral
pledged by the fund is segregated by the fund&#8217;s custodian and identified in the fund&#8217;s portfolio. Collateral can be in the
form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the fund and the
applicable counterparty. Collateral requirements are determined based on the fund&#8217;s net position with each counterparty.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">With
respect to ISDA Master Agreements, termination events applicable to the fund may occur upon a decline in the fund&#8217;s net assets
below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon a decline in
the counterparty&#8217;s long-term or short-term credit ratings below a specified level. In each case, upon occurrence, the other party
may elect to terminate early and cause settlement of all derivative and foreign exchange contracts outstanding, including the payment
of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one
or more of the fund&#8217;s counterparties to elect early termination could impact the fund&#8217;s future derivative activity.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=6 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">At
the close of the reporting period, the fund had a net liability position of $293,519 on open derivative contracts subject to the Master
Agreements. Collateral posted by the fund at period end for these agreements totaled $267,116 and may include amounts related to unsettled
agreements.</FONT></td>
</tr><br></table>
<br><br><br><br>


<BR><BR>
<HR noshade align="center" width=100% size=2>
<BR><BR>
<Table style="WIDTH: 95%" border=0 cellSpacing=0  cellPadding=0>
<tr>
   <td width=5%></td>
   <td width=50%></td>
   <td width=15%></td>
   <td width=15%></td>
   <td width=15%></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ASC
820 establishes a three-level hierarchy for disclosure of fair value measurements. The valuation hierarchy is based upon the transparency
of inputs to the valuation of the fund's investments. The three levels are defined as follows:</FONT></td>
</tr>

<tr>
<td></td>
<td  COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
1:</B> Valuations based on quoted prices for identical securities in active markets.</FONT></td>
</tr>

<tr>
<td></td>
<td  COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
2:</B> Valuations based on quoted prices in markets that are not active or for which all significant inputs are observable, either directly
or indirectly.</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td  COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Level
3:</B> Valuations based on inputs that are unobservable and significant to the fair value measurement.</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
following is a summary of the inputs used to value the fund's net assets as of the close of the reporting period:</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; text-align: center; vertical-align: bottom; padding-right: 6pt; padding-top: 18pt; padding-bottom: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
inputs</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-backed
securities</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$1,085,459</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Convertible
bonds and notes</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,613,829</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate
bonds and notes</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,597,582</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign
government and agency bonds and notes</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,183,960</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mortgage-backed
securities</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">57,913,523</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Senior
loans</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,681,916</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
government and agency mortgage obligations</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,528,028</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">U.S.
treasury obligations</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">136,217</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-term
investments</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">26,192,074</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,158,649</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Totals
by level</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$26,192,074</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$207,899,163</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 6"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 1.5pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></td>
<TD COLSPAN="3" STYLE="border-bottom: Black 1.5pt solid; font-weight: bold; font-size: 11pt; text-align: center; vertical-align: bottom; padding-right: 6pt; padding-top: 18pt; padding-bottom: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valuation
inputs</FONT></td>
</tr>

<tr>
<td></td>
<td></td>
<td></td>
<td></td>
<td></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward
currency contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$54,361</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures
contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">118,851</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward
premium swap option contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">578,613</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA
sale commitments</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(28,076,000)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest
rate swap contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">362,743</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total
return swap contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(118,867)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit
default contracts</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285,313</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></td>
</tr>

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

<tr>
<td></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Totals
by level</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$118,851</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$(25,913,837)</FONT></td>
<td STYLE= "font-weight: bold; font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$&mdash;</FONT></td>
</tr>

<tr>
<td></td>
<td COLSPAN=4 STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: top; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The
volume of activity for the reporting period for any derivative type that was held at the close of the period is listed below and was
based on an average of the holdings of that derivative at the end of each fiscal quarter in the reporting period:</FONT></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased
swap option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$227,400,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Written
swap option contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$166,700,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Futures
contracts (number of contracts)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forward
currency contracts (contract amount)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$25,700,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
interest rate swap contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,100,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centrally
cleared interest rate swap contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$514,800,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
total return swap contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$2,100,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTC
credit default contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$12,700,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: left; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3; padding-left: 15"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Centrally
cleared credit default contracts (notional)</FONT></td>
<td STYLE= "font-size: 11pt; border-bottom: Black 0pt solid; text-align: right; vertical-align: bottom; padding-right: 6; padding-top: 6; padding-bottom: 3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$9,500,000</FONT></td>
<td></td>
<td></td>
</tr>

<tr>
<td></td>
<TD COLSPAN="4" STYLE="border-bottom: Black 0pt solid; font-size: 11pt; text-align: left; vertical-align: top; padding-right: 6pt; padding-top: 18pt; padding-bottom: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For
additional information regarding the fund please see the fund's most recent annual or semiannual shareholder report filed on the Securities
and Exchange Commission's Web site, www.sec.gov, or visit Putnam's Individual Investor Web site at www.putnam.com</FONT></td>
</tr><br></table><BR><BR>

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