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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHEMOURS CO</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>AMC ENTERTAINMENT HLDGS</name>
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        <title>AMC Entertainment Holdings Inc</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOMBARDIER INC</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>NATIONSTAR MTG HLD INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BANK OF AMERICA CORPORATION</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00DHI25EH2PYXCO"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TAYLOR MORR COMM/HLDGS</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>VICI PROPERTIES / NOTE</name>
        <lei>N/A</lei>
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          <isin value="US92564RAA32"/>
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        <balance>75000.00000000</balance>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/CLP FORWARD</title>
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          <ticker value="N/A"/>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>-235000.00000000</amtCurSold>
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      <invstOrSec>
        <name>JP MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>USD/INR FORWARD</title>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00MFI915I8YFVQH"/>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse AG</name>
        <lei>ANGGYXNX0JLX3X63JN86</lei>
        <title>USD/THB FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2004140167913"/>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TRONOX FINANCE PLC</name>
        <lei>N/A</lei>
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          <isin value="US89705PAA30"/>
          <other otherDesc="SEDOL" value="BF97NC9"/>
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        <balance>25000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>LADBROKES GROUP FIN PLC</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>ZAR</curSold>
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                  <curPur>EUR</curPur>
                  <settlementDt>2020-12-21</settlementDt>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BARCLAYS PLC</counterpartyName>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="B8A60RUL9"/>
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        <balance>800000.00000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
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            <principalAmt>800000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-7784.71000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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          <other otherDesc="INTERNAL" value="B8A7Q9826"/>
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        <balance>12000000.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>12000000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>384954.93000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>Petrobras Global Finance BV</title>
        <cusip>000000000</cusip>
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          <isin value="XS0718502007"/>
          <other otherDesc="SEDOL" value="B71QWN2"/>
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        <balance>200000.00000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.79396585"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-14</maturityDt>
          <couponKind>Fixed</couponKind>
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          <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>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>JPY/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B90IHI51H6DWHHPA"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6119.64000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
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            <amtCurSold>-22382575.00000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MEDTRONIC GLOBAL HLDINGS</name>
        <lei>549300JXMTTP8GKYIX14</lei>
        <title>Medtronic Global Holdings SCA</title>
        <cusip>58507LAP4</cusip>
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          <isin value="XS2020670936"/>
          <other otherDesc="SEDOL" value="BK60N04"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91253364"/>
        <valUSD>115123.94000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>COP/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2004150401914"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>297.70000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>-165653464.40000000</amtCurSold>
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            <settlementDt>2020-06-17</settlementDt>
            <unrealizedAppr>297.70000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>USD CALL VERSUS ZAR PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A657HJ8"/>
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        <balance>1750000.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS &amp; CO LLC</name>
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                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>ZAR</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>1750000.00000000</principalAmt>
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            <expDt>2020-07-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-9014.16000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <balance>-3500000.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                    <name>DEUTSCHE BANK AG</name>
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                    <issuerCat>CORP</issuerCat>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>-3500000.00000000</principalAmt>
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            <exercisePrice>1275.00000000</exercisePrice>
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            <expDt>2021-07-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-52428.80000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <balance>8250000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>8250000.00000000</principalAmt>
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            <expDt>2020-05-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-771.72000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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      <invstOrSec>
        <name>OCI NV</name>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <balance>4500000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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      <invstOrSec>
        <name>JP MORGAN CHASE BANK NA</name>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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      <invstOrSec>
        <name>UNITED RENTALS NORTH AM</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <unrealizedAppr>88062.78000000</unrealizedAppr>
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      <invstOrSec>
        <name>TAYLOR MORRISON COMM</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>USD/PHP FORWARD</title>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BEAZER HOMES USA</name>
        <lei>549300DUPYT2T0F60I45</lei>
        <title>Beazer Homes USA Inc</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>USD CALL VERSUS INR PUT</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7KGW45"/>
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        <balance>-2750000.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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      <invstOrSec>
        <name>AMERIGAS PART/FIN CORP</name>
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        <name>BARCLAYS BANK PLC</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DOMINICAN REPUBLIC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ROMANIA</name>
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        <title>Romanian Government International Bond</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Credit Suisse AG</name>
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        <title>USD/IDR FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00UGH94FRBXRYFV"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Credit Suisse AG</counterpartyName>
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            <amtCurSold>-560105.13000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>KAZAKHSTAN TEMIR ZHOLY</name>
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        <title>Kazakhstan Temir Zholy National Co JSC</title>
        <cusip>000000000</cusip>
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          <isin value="CH0246199050"/>
          <other otherDesc="SEDOL" value="BN7ZCW4"/>
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        <balance>100000.00000000</balance>
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        <assetCat>DBT</assetCat>
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        <invCountry>KZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>USD CALL VERSUS BRL PUT</title>
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        <identifiers>
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        <balance>-3600000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                    <name>DEUTSCHE BANK AG</name>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>-3600000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>54453.22000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <balance>-4400000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                    <invOthCountry>US</invOthCountry>
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            <principalAmt>-4400000.00000000</principalAmt>
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            <delta>XXXX</delta>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <delta>XXXX</delta>
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        <name>LONDON CLEARING HOUSE</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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                  <derivAddlInfo>
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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <title>IRS ZAR</title>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <fairValLevel>2</fairValLevel>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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      <invstOrSec>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        </derivativeInfo>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ROMANIA</name>
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        <title>Romanian Government International Bond</title>
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          <isin value="XS1768074319"/>
          <other otherDesc="SEDOL" value="BYWDQH3"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>USD CALL VERSUS GBP PUT</title>
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          <other otherDesc="INTERNAL" value="B8A5RA9H2"/>
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        <balance>1300000.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>HSBC SECURITIES (USA) INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>HSBC SECURITIES (USA) INC.</counterpartyName>
                    <counterpartyLei>CYYGQCGNHMHPSMRL3R97</counterpartyLei>
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                  <derivAddlInfo>
                    <name>HSBC SECURITIES (USA) INC.</name>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="PI61910_B8A5RA9H2_816_S"/>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>1300000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-14932.90000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ENERGIZER GAMMA ACQ BV</name>
        <lei>5493002SUYZDHEQ3JN34</lei>
        <title>Energizer Gamma Acquisition BV</title>
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        <identifiers>
          <isin value="XS1846665534"/>
          <other otherDesc="SEDOL" value="BG106T1"/>
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        <balance>300000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.91253364"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>JPY CALL VERSUS AUD PUT</title>
        <cusip>000000000</cusip>
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        <balance>-32000000.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AG</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>JPY CALL VERSUS AUD PUT</title>
                    <cusip>000000000</cusip>
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                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>AUD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>JPY</curPur>
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            </descRefInstrmnt>
            <principalAmt>-32000000.00000000</principalAmt>
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            <exercisePriceCurCd>AUD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-47867.00000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>CDS REPUBLIC OF UKRAINE</title>
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        <identifiers>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UKRAINE GOVERNMENT</issuerName>
                <issueTitle>Ukraine Government International Bond</issueTitle>
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                  <isin value="XS1577952952"/>
                  <other otherDesc="SEDOL" value="BF226G6"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.00000000"/>
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            <rcptCurCd>USD</rcptCurCd>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00DKI51IJFSWSFS"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00UJJ91EMMXIMAD"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00EJJ94EJ7RPEMM"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO BOARD OF TRADE</name>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>Petroleos Mexicanos</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <cusip>000000000</cusip>
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        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
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        <name>STATE GRID EUROPE DEVELO</name>
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        <name>DEUTSCHE BANK AG</name>
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        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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          <ticker value="N/A"/>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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          <ticker value="N/A"/>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>BARCLAYS BANK PLC</name>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>RUSSIAN FEDERATION</issuerName>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2004090410306"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>KRAFT HEINZ FOODS CO</name>
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        <title>Kraft Heinz Foods Co</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <units>NC</units>
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                <issuerName>MEXICO GOVERNMENT INTERNATIONAL BOND</issuerName>
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                  <isin value="US91087BAC46"/>
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      <invstOrSec>
        <name>ZIGGO BOND CO BV</name>
        <lei>213800JYI4P7V5QDOG59</lei>
        <title>Ziggo Bond Co BV</title>
        <cusip>000000000</cusip>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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      <invstOrSec>
        <name>NATIONSTAR MTG HLD INC</name>
        <lei>N/A</lei>
        <title>Nationstar Mortgage Holdings Inc</title>
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        <balance>55000.00000000</balance>
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          <couponKind>Fixed</couponKind>
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        <name>DIAMOND BC BV</name>
        <lei>549300SWLHWJF3D4N658</lei>
        <title>Diamond BC BV</title>
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        <name>UBS SECURITIES LLC</name>
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        <title>CHF/USD FORWARD</title>
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          <other otherDesc="INTERNAL" value="KI7DC7P001FNBNP2-22"/>
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        <name>MERLIN ENTERTAINMENTS</name>
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        <title>Merlin Entertainments Ltd</title>
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        <issuerCat>CORP</issuerCat>
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        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>KRW/USD FORWARD</title>
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          <ticker value="N/A"/>
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      <invstOrSec>
        <name>UKRAINE GOVERNMENT</name>
        <lei>6354001WLTJXOMEXPY07</lei>
        <title>Ukraine Government International Bond</title>
        <cusip>000000000</cusip>
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          <isin value="XS2015264778"/>
          <other otherDesc="SEDOL" value="BK8LN94"/>
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        <balance>200000.00000000</balance>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>EG GLOBAL FINANCE PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GAZPROM (GAZ CAPITAL SA)</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>DEUTSCHE BANK AG</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citibank, National Association</name>
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      <invstOrSec>
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        <name>SCIENTIFIC GAMES INTERNA</name>
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        <title>Scientific Games International Inc</title>
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      <invstOrSec>
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        <name>Radnor Re LTD</name>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>Citibank, National Association</name>
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        <name>CITIBANK NA</name>
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        <name>BARCLAYS PLC</name>
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        <name>ADIENT GLOBAL HOLDINGS</name>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>REPUBLIC OF SOUTH AFRICA</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse AG</name>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Credit Suisse AG</counterpartyName>
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            <unrealizedAppr>4837.34000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
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          <other otherDesc="INTERNAL" value="B8A7RV8U4"/>
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        <balance>1300000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BANK OF AMERICA, NATIONAL ASSOCIATION</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>1300000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-757.78000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>DISH DBS CORP</name>
        <lei>N/A</lei>
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          <isin value="US25470XAY13"/>
          <other otherDesc="SEDOL" value="BYVR0K7"/>
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        <balance>75000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>73875.00000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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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>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>USD CALL VERSUS TWD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A76BVS0"/>
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        <balance>4400000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>10860.15000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <name>BNP PARIBAS SECURITIES CORP.</name>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>TWD</curSold>
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            <principalAmt>4400000.00000000</principalAmt>
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            <expDt>2020-11-25</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-18487.85000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CNAC HK FINBRIDGE CO LTD</name>
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          <isin value="XS1791704189"/>
          <other otherDesc="SEDOL" value="BFZ10R9"/>
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        <balance>200000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.91253364"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>HK</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AMC ENTERTAINMENT HOLDIN</name>
        <lei>549300ZO77UNR6NRBR11</lei>
        <title>AMC Entertainment Holdings Inc</title>
        <cusip>00165CAB0</cusip>
        <identifiers>
          <isin value="US00165CAB00"/>
          <other otherDesc="SEDOL" value="BYTY5S3"/>
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        <balance>225000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>50135.31000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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          <ticker value="N/A"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <title>USD CALL VERSUS KRW PUT</title>
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        <balance>-3300000.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>-3300000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-40944.36000000</unrealizedAppr>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>JPMorgan Chase Bank, National Association</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>GENON HLDGS CLASS A</name>
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        <name>Citibank, National Association</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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          <ticker value="N/A"/>
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      <invstOrSec>
        <name>VIRGIN MEDIA FINANCE PLC</name>
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        <title>Virgin Media Finance PLC</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>CITIBANK NA</name>
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        <name>DEUTSCHE BANK AG</name>
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        <name>CITIBANK NA</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <name>UNITED RENTALS NORTH AM</name>
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        <name>DEUTSCHE BANK AG</name>
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        <name>INTELSAT JACKSON HLDG</name>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>DEUTSCHE BANK AG</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <name>UKRAINE GOVERNMENT</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <principalAmt>3500000.00000000</principalAmt>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>MKT 2020-525M Mortgage Trust</name>
        <lei>N/A</lei>
        <title>MKT 2020-525M Mortgage Trust</title>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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      <invstOrSec>
        <name>GAZPROM (GAZ CAPITAL SA)</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>Citibank, National Association</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>GBP/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B912UJ54OOLNMRMV"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>USD/ZAR FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B91BFI54LR5JBPAE"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <amtCurSold>-38509.34000000</amtCurSold>
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            <curPur>ZAR</curPur>
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        <securityLending>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PHP/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00UFI70G8MPAAPI"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <amtCurSold>-651000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>33514661.10000000</amtCurPur>
            <curPur>PHP</curPur>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>USD CALL VERSUS TRY PUT</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="B8A552JC4"/>
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        <balance>-2000000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS &amp; CO LLC</name>
                    <lei>FOR8UP27PHTHYVLBNG30</lei>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="PI61910_B8A552JC4_5_GS_O_S"/>
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                    <balance>0.00000000</balance>
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                    <currencyConditional curCd="TRY" exchangeRt="0.00000000"/>
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                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>TRY</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2020-04-29</settlementDt>
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            <principalAmt>-2000000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>7.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-04-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>84567.52000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>MXN/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2004230491980"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <amtCurSold>-18153450.00000000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>ZAR/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00DEH20HIYCXMFE"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CDS REPUBLIC OF INDONESIA</title>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>REPUBLIC OF INDONESIA</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/TWD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>IRS ILS</title>
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          <other otherDesc="INTERNAL" value="SWB8A367S52"/>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>CSWAP EUR VS USD</title>
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      <invstOrSec>
        <name>NABORS INDUSTRIES INC</name>
        <lei>549300VFQWRKICUFNU92</lei>
        <title>Nabors Industries Inc</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD CALL VERSUS ZAR PUT</title>
        <cusip>000000000</cusip>
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        <balance>3200000.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Morgan Stanley Capital I Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <delta>XXXX</delta>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>Citibank, National Association</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>MATTERHORN TELECOM SA</name>
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        <securityLending>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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        <name>LONDON CLEARING HOUSE</name>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>NIDDA BONDCO GMBH</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS</name>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <notionalAmt>-6400000.00000000</notionalAmt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>-1800000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>17278.36000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>TRANSOCEAN INC</name>
        <lei>DOL4HJ22ADYSIWES4H94</lei>
        <title>Transocean Inc</title>
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          <isin value="US893830BK41"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC SECURITIES (USA) INC.</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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            <terminationDt>2029-10-07</terminationDt>
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            <rcptCurCd>USD</rcptCurCd>
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            <unrealizedAppr>6787.70000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <identifiers>
          <other otherDesc="INTERNAL" value="B8A55NH63"/>
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        <balance>1500000.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS &amp; CO LLC</name>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>EUR</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>1500000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-27881.84000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <balance>4500000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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      <invstOrSec>
        <name>Legacy Mortgage Asset Trust</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>1800000.00000000</principalAmt>
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      </invstOrSec>
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        <name>JP MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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            <principalAmt>-1250000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-25977.54000000</unrealizedAppr>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JP MORGAN CHASE BANK NA</name>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>REPUBLIC OF TURKEY</name>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <title>IRS HUF</title>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>ITALY GOV'T INT BOND</name>
        <lei>815600DE60799F5A9309</lei>
        <title>Republic of Italy Government International Bond</title>
        <cusip>000000000</cusip>
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          <isin value="XS0089572316"/>
          <other otherDesc="SEDOL" value="5512878"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.79396585"/>
        <valUSD>771417.83000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</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>MORGAN STANLEY &amp; COMPANY LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>JPY CALL VERSUS AUD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7K22G2"/>
        </identifiers>
        <balance>-400000.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>MORGAN STANLEY &amp; COMPANY LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>MORGAN STANLEY &amp; COMPANY LLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="PIPDLP0_B8A7K22G2_50_S"/>
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                    <units>NC</units>
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                    <assetCat>DFE</assetCat>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>AUD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>JPY</curPur>
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                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>-400000.00000000</principalAmt>
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            <exercisePrice>62.00000000</exercisePrice>
            <exercisePriceCurCd>AUD</exercisePriceCurCd>
            <expDt>2021-05-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3850.20000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>USD/BRL FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00MAH94JBNQETMT"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>259433.19000000</valUSD>
        <pctVal>0.445399752798</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <amtCurSold>-6391868.32000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>1390141.00000000</amtCurPur>
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            <settlementDt>2022-01-28</settlementDt>
            <unrealizedAppr>259433.19000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>USD CALL VERSUS KRW PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7UFYH5"/>
        </identifiers>
        <balance>1750000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>342.23000000</valUSD>
        <pctVal>0.000587546864</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
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                    <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS &amp; CO. LLC</name>
                    <lei>FOR8UP27PHTHYVLBNG30</lei>
                    <title>USD CALL VERSUS KRW PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_B8A7UFYH5_5_S"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="KRW" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>KRW</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2020-07-20</settlementDt>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1750000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>1800.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>219.45000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>Petrobras Global Finance BV</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS0835891838"/>
          <other otherDesc="SEDOL" value="B8FQRK7"/>
        </identifiers>
        <balance>415000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.79396585"/>
        <valUSD>466387.53000000</valUSD>
        <pctVal>0.800702834399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.37500000</annualizedRt>
          <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 CLEARING AG</name>
        <lei>529900LN3S50JPU47S06</lei>
        <title>EURO BOBL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="OEM0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00Q6W87N6"/>
        </identifiers>
        <balance>-90.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91253364"/>
        <valUSD>-29804.20000000</valUSD>
        <pctVal>-0.05116840799</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 CLEARING AG</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BUNDESREPUB. DEUTSCHLAND</issuerName>
                <issueTitle>Bundesrepublik Deutschland Bundesanleihe</issueTitle>
                <identifiers>
                  <cusip value="000000000"/>
                  <isin value="DE0001102374"/>
                  <other otherDesc="SEDOL" value="BVDZM91"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-06-08</expDate>
            <notionalAmt>-13336577.87000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-29804.20000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
        <lei>2138003EKTMKZ5598902</lei>
        <title>Hellenic Republic Government Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GR0133009226"/>
          <other otherDesc="SEDOL" value="B762644"/>
        </identifiers>
        <balance>64000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91253364"/>
        <valUSD>79420.91000000</valUSD>
        <pctVal>0.136351303705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>GR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-24</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.65000000</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>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>INR/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="D651O0Q6GQRBPGA6-22"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4045.06000000</valUSD>
        <pctVal>-0.00694463466</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>GOLDMAN SACHS &amp; CO LLC</counterpartyName>
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            <amtCurSold>-197000.00000000</amtCurSold>
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            <amtCurPur>14912900.00000000</amtCurPur>
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            <settlementDt>2020-10-30</settlementDt>
            <unrealizedAppr>-4045.06000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TH MSR ISSUER TRUST</name>
        <lei>N/A</lei>
        <title>TH MSR issuer Trust</title>
        <cusip>87271AAA4</cusip>
        <identifiers>
          <isin value="US87271AAA43"/>
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        <balance>820000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>668466.38000000</valUSD>
        <pctVal>1.147635583581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.28725000</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>CITIGROUP GLOBAL MARKETS INC.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>USD CALL VERSUS MXN PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A6FAJR0"/>
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        <balance>-3375000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-430987.85000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <counterpartyName>CITIGROUP GLOBAL MARKETS INC.</counterpartyName>
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                  <derivAddlInfo>
                    <name>CITIGROUP GLOBAL MARKETS INC.</name>
                    <lei>MBNUM2BPBDO7JBLYG310</lei>
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                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PIPDLP0_B8A6FAJR0_418_S"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>MXN</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>-3375000.00000000</principalAmt>
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            <exercisePrice>22.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-01-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-290400.44000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS CZK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A7RP7YX"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CZK" exchangeRt="24.71870000"/>
        <valUSD>-1266.59000000</valUSD>
        <pctVal>-0.00217450540</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-12100000.00000000</notionalAmt>
            <curCd>CZK</curCd>
            <unrealizedAppr>-1266.59000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RUSSIAN RAIL(RZD CAP)</name>
        <lei>635400VKMH1VQDFMW392</lei>
        <title>Russian Railways Via RZD Capital PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="CH0419041634"/>
          <other otherDesc="SEDOL" value="BK71942"/>
        </identifiers>
        <balance>50000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CHF" exchangeRt="0.96525000"/>
        <valUSD>49850.41000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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      <invstOrSec>
        <name>TRANSOCEAN INC</name>
        <lei>DOL4HJ22ADYSIWES4H94</lei>
        <title>Transocean Inc</title>
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          <isin value="US893830BL24"/>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>DEUTSCHE BANK AG</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>Pnmac Gmsr Issuer Trust</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK NA</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CNX RESOURCES CORP</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>UKRAINE GOVERNMENT</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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            <curCd>BRL</curCd>
            <unrealizedAppr>25669.58000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>ANTERO RESOURCES CORP</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>58020.61000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>DIAMOND SPORTS GR/DIAMON</name>
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        <title>Diamond Sports Group LLC / Diamond Sports Finance Co</title>
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          <other otherDesc="SEDOL" value="BKKGCN4"/>
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        <balance>510000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NATIONSTAR MTG HLD INC</name>
        <lei>N/A</lei>
        <title>Nationstar Mortgage Holdings Inc</title>
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        <balance>300000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/JPY FORWARD</title>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>RUSSIAN RAIL(RZD CAP)</name>
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        <title>Russian Railways Via RZD Capital PLC</title>
        <cusip>000000000</cusip>
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        <assetCat>DBT</assetCat>
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        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>RITE AID CORP</name>
        <lei>529900W353T1JY1DKT44</lei>
        <title>Rite Aid Corp</title>
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        <balance>169000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>154384.36000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>USD/AUD FORWARD</title>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
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        <curCd>USD</curCd>
        <valUSD>115435.79000000</valUSD>
        <pctVal>0.198182323279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.96400000</annualizedRt>
          <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 Securities LLC</name>
        <lei>T6FIZBDPKLYJKFCRVK44</lei>
        <title>USD/GBP FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2004160490890"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-213.77000000</valUSD>
        <pctVal>-0.00036700433</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS Securities LLC</counterpartyName>
              <counterpartyLei>T6FIZBDPKLYJKFCRVK44</counterpartyLei>
            </counterparties>
            <amtCurSold>-12379.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>15379.30000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-05-29</settlementDt>
            <unrealizedAppr>-213.77000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>

      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-06-23</ncom:dateSigned>
      <ncom:nameOfApplicant>Prudential Investment Portfolios 3</ncom:nameOfApplicant>
      <ncom:signature>Christian J. Kelly</ncom:signature>
      <ncom:signerName>Christian J. Kelly</ncom:signerName>
      <ncom:title>Treasurer and Principal Financial and Accounting Officer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
