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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>STATE OF QATAR</name>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>VOLKSWAGEN INTL FIN NV</name>
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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>KAZAKHSTAN TEMIR ZHOLY</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>PICARD BONDCO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SALLY HOLDINGS/SALLY CAP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ONEMAIN FINANCE CORP</name>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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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>
        <name>COTY INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GAZPROM (GAZ CAPITAL SA)</name>
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        <title>Gazprom PJSC Via Gaz Capital SA</title>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <name>Citibank, National Association</name>
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        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <name>DEUTSCHE BANK AG</name>
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        <name>BARCLAYS PLC</name>
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        <name>HELLENIC REPUBLIC</name>
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        <name>INTRADO CORP</name>
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        <name>ITALY GOV'T INT BOND</name>
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        <title>Republic of Italy Government International Bond</title>
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        <debtSec>
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      <invstOrSec>
        <name>ESKOM HOLDINGS SOC LTD</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>RANGE RESOURCES CORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AMC ENTERTAINMENT HLDGS</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</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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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>Credit Suisse AG</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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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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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <balance>-3000000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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      <invstOrSec>
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        <name>DEUTSCHE BANK AG</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
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        <name>DIGICEL GROUP 0.5 LTD</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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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>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
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            <principalAmt>1800000.00000000</principalAmt>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <unrealizedAppr>20203.39000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>FIDELITY NATIONAL INFORM</name>
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      <invstOrSec>
        <name>MORGAN STANLEY</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      </invstOrSec>
      <invstOrSec>
        <name>BRAZIL LOAN TRUST 1</name>
        <lei>N/A</lei>
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          <isin value="USU0952YAA83"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BRINKER INTERNATIONAL IN</name>
        <lei>52990067JY6PBGJNTG76</lei>
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          <isin value="US109641AH39"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Call</putOrCall>
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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>-312.83000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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          <ticker value="N/A"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <identifiers>
          <ticker value="N/A"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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            <amtCurSold>-101000.00000000</amtCurSold>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>11769.41000000</valUSD>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>J.P. MORGAN CHASE BANK NA</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>KINGDOM OF SPAIN</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>JPY/USD FORWARD</title>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <name>CITIBANK NA</name>
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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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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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                  <amtCurSold>N/A</amtCurSold>
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            <delta>XXXX</delta>
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        <fairValLevel>2</fairValLevel>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>AMERIGAS PART/FIN CORP</name>
        <lei>N/A</lei>
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          <isin value="US030981AJ33"/>
          <other otherDesc="SEDOL" value="BYMXB45"/>
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        <balance>275000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="UXYU0"/>
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        <balance>-35.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-88218.49000000</valUSD>
        <pctVal>-0.13389047618</pctVal>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <payOffProf>Short</payOffProf>
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              <otherRefInst>
                <issuerName>US TREASURY N/B</issuerName>
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                  <cusip value="912828Z94"/>
                  <isin value="US912828Z948"/>
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            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>-5485531.51000000</notionalAmt>
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            <unrealizedAppr>-88218.49000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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="B8A7UFYA0"/>
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        <balance>1750000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <pctVal>0.040069285181</pctVal>
        <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>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
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            <putOrCall>Call</putOrCall>
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                      <other otherDesc="INTERNAL" value="PI61910_B8A7UFYA0_5_S"/>
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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>1750000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-30897.37000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2005200227953"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ROMANIA</name>
        <lei>315700IASY927EDWBK92</lei>
        <title>Romanian Government International Bond</title>
        <cusip>000000000</cusip>
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          <isin value="XS1768074319"/>
          <other otherDesc="SEDOL" value="BYWDQH3"/>
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        <balance>103000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.84893246"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-08</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
        <lei>ZBUT11V806EZRVTWT807</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2006160344666"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>USD CALL VERSUS JPY PUT</title>
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          <other otherDesc="INTERNAL" value="B8A80GC54"/>
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        <balance>4000000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <principalAmt>4000000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-17747.68000000</unrealizedAppr>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>10737.24000000</unrealizedAppr>
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      <invstOrSec>
        <name>ASSICURAZIONI GENERALI</name>
        <lei>549300X5UKJVE386ZB61</lei>
        <title>Assicurazioni Generali SpA</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>
        <name>AMC ENTERTAINMENT HLDGS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HILCORP ENERGY I/HILCORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AUSTRALIAN SECURITIES EXCHANGE TRADE24</name>
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          <ticker value="XMU0"/>
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        <balance>2.00000000</balance>
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        <currencyConditional curCd="AUD" exchangeRt="1.39967807"/>
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        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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            <payOffProf>Long</payOffProf>
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                <issuerName>AUSTRALIAN GOVERNMENT</issuerName>
                <issueTitle>Australia Government Bond</issueTitle>
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            <expDate>2020-09-15</expDate>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <title>USD/TRY FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="61C13ILP7NKP42M4-23"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>USD/RUB FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007060291562"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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      <invstOrSec>
        <name>FERL PRT LP/FERL PRT FIN</name>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <invCountry>GR</invCountry>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>1</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>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>DH EUROPE FINANCE</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>ASSICURAZIONI GENERALI SPA</issuerName>
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                  <cusip value="000000000"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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            <rcptCurCd>USD</rcptCurCd>
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        <securityLending>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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          <other otherDesc="INTERNAL" value="B8A80WLN0"/>
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        <balance>11200000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>AUD</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>11200000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-781.83000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <balance>5250000.00000000</balance>
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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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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>MXN</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            </descRefInstrmnt>
            <principalAmt>5250000.00000000</principalAmt>
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            <exercisePrice>38.00000000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>-324.04000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
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        <identifiers>
          <isin value="US35565WAH51"/>
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        <balance>175000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>173690.44000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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          <ticker value="N/A"/>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
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        <title>CDS REPUBLIC OF INDONESIA</title>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <derivativeInfo>
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      <invstOrSec>
        <name>CNX RESOURCES CORP</name>
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        <title>CNX Resources Corp</title>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>BRL</curSold>
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            </descRefInstrmnt>
            <principalAmt>5700000.00000000</principalAmt>
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            <exercisePrice>5.80000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-55750.70000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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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>
                  <curPur>USD</curPur>
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              </nestedDerivInfo>
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            <principalAmt>3000000.00000000</principalAmt>
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            <exercisePrice>20.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-02-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>233874.10000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      <invstOrSec>
        <name>DIGICEL LTD</name>
        <lei>N/A</lei>
        <title>Digicel Ltd</title>
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          <isin value="US25380QAH20"/>
          <other otherDesc="Sedol" value="BW0XTF0"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <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>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS PLN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A55LRY5"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.74535000"/>
        <valUSD>34978.85000000</valUSD>
        <pctVal>0.053087905754</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="PLN" fixedOrFloating="Fixed" fixedRt="2.52000000"/>
            <floatingPmntDesc curCd="PLN" fixedOrFloating="Floating" floatingRtIndex="6M POLAND WARSAW INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-2000000.00000000">
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            <terminationDt>2023-05-24</terminationDt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>USD CALL VERSUS ZAR PUT</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="B8A5RBYU3"/>
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        <balance>1700000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>52638.19000000</valUSD>
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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>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS &amp; CO LLC</name>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_B8A5RBYU3_5_GS_O_S"/>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>ZAR</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2020-09-28</settlementDt>
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              </nestedDerivInfo>
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            <principalAmt>1700000.00000000</principalAmt>
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            <exercisePrice>17.00000000</exercisePrice>
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            <expDt>2020-09-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-94080.31000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <balance>-2500000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <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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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
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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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        <balance>1800000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
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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>

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

        <fairValLevel>2</fairValLevel>
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                  <amtCurSold>N/A</amtCurSold>
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      <invstOrSec>
        <name>BRAZIL MINAS SPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>TAYLOR MORRISON COMM</name>
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          <couponKind>Fixed</couponKind>
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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>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.00000000"/>
            <otherPmntDesc fixedOrFloating="Other">Default Event</otherPmntDesc>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>VOLKSWAGEN INTL FIN NV</name>
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        <title>Volkswagen International Finance NV</title>
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        <name>LSTAR Securities Investment Lt</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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      <invstOrSec>
        <name>VIKING CRUISES LTD</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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      <invstOrSec>
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        <name>ITALY GOV'T INT BOND</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>REPUBLIC OF PERU</issuerName>
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        <name>DEUTSCHE BANK AG</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
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        <name>Morgan Stanley Capital I Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>KB HOME</name>
        <lei>549300LGUCWQURMWLG09</lei>
        <title>KB Home</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>PERUSAHAAN LISTRIK NEGAR</name>
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        <title>Perusahaan Perseroan Persero PT Perusahaan Listrik Negara</title>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ID</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS KRW</title>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS CHF</title>
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        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>ROMANIA</name>
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        <title>Romanian Government International Bond</title>
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        <name>ONEOK INC</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>BARCLAYS BANK PLC</name>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

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

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                  <derivAddlInfo>
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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>
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        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CALPINE CORP</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <fairValLevel>2</fairValLevel>
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        <name>BARCLAYS BANK PLC</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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            <unrealizedAppr>6255.15000000</unrealizedAppr>
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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>
        <lei>RCNB6OTYUAMMP879YW96</lei>
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        <balance>11200000.00000000</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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                    <name>BNP PARIBAS SECURITIES CORP.</name>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>AUD</curSold>
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            <delta>XXXX</delta>
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        <name>DEUTSCHE BANK AG</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
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      <invstOrSec>
        <name>NIDDA BONDCO GMBH</name>
        <lei>391200JPUEK6AMI9PQ76</lei>
        <title>Nidda BondCo GmbH</title>
        <cusip>000000000</cusip>
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          <isin value="XS1690644825"/>
          <other otherDesc="SEDOL" value="BF2YV23"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>Oportun Funding LLC</name>
        <lei>N/A</lei>
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          <isin value="US68377FAC23"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>97310.07000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</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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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>JPY CALL VERSUS AUD PUT</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="B8A7GRJE9"/>
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        <balance>-7800000.00000000</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>MORGAN STANLEY &amp; COMPANY LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>-7800000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>23815.24000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007200419189"/>
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        <curCd>USD</curCd>
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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>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS ZAR</title>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <floatingPmntDesc curCd="ZAR" fixedOrFloating="Floating" floatingRtIndex="3M JOHANNESBURG INTERBANK AGREED RATE" floatingRtSpread="0.00000000" pmntAmt="-7000000.00000000">
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CNX RESOURCES CORP</name>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS DKK</title>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>USD CALL VERSUS BRL PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7905B7"/>
        </identifiers>
        <balance>-3800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-147416.74000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AG</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>USD CALL VERSUS BRL PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_ B8A7905B7_573_S"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="BRL" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>BRL</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
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                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>-3800000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>6.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-99031.34000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>EUR/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B91BFI54D3MJPWXV"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6394.32000000</valUSD>
        <pctVal>-0.00970475180</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC SECURITIES (USA) INC.</counterpartyName>
              <counterpartyLei>CYYGQCGNHMHPSMRL3R97</counterpartyLei>
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            <amtCurSold>-107000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>119728.72000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-31</settlementDt>
            <unrealizedAppr>-6394.32000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DANA INC</name>
        <lei>KVWHW7YLZPFJM8QYNJ51</lei>
        <title>Dana Inc</title>
        <cusip>235825AF3</cusip>
        <identifiers>
          <isin value="US235825AF32"/>
        </identifiers>
        <balance>165000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172897.10000000</valUSD>
        <pctVal>0.262408425379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.37500000</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>CITIBANK, NATIONAL ASSOCIATION</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CDS RUSSIAN FEDERATION</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A86Z2E8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>376.70000000</valUSD>
        <pctVal>0.000571723029</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>RUSSIAN FEDERATION</issuerName>
                <issueTitle>RUSSIAN FOREIGN BOND - EUROBOND</issueTitle>
                <identifiers>
                  <cusip value="000000000"/>
                  <isin value="XS0114288789"/>
                  <other otherDesc="SEDOL" value="4230814"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <otherPmntDesc fixedOrFloating="Other">Default Event</otherPmntDesc>
            <terminationDt>2020-12-20</terminationDt>
            <upfrontPmnt>301.55000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>100000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>75.15000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>BRL/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007280375628"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-557.75000000</valUSD>
        <pctVal>-0.00084650522</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>BNP PARIBAS SECURITIES CORP.</counterpartyName>
              <counterpartyLei>RCNB6OTYUAMMP879YW96</counterpartyLei>
            </counterparties>
            <amtCurSold>-94000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>488142.00000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-09-02</settlementDt>
            <unrealizedAppr>-557.75000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UPJOHN INC</name>
        <lei>N/A</lei>
        <title>Upjohn Inc</title>
        <cusip>91533BAE0</cusip>
        <identifiers>
          <isin value="US91533BAE02"/>
        </identifiers>
        <balance>20000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22861.23000000</valUSD>
        <pctVal>0.034696818897</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.85000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>JPY CALL VERSUS USD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A87UBF5"/>
        </identifiers>
        <balance>-16000000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-207786.26000000</valUSD>
        <pctVal>-0.31536020732</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>JPY CALL VERSUS USD PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_B8A87UBF5_573_S"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>JPY</curPur>
                  <settlementDt>2022-01-26</settlementDt>
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            </descRefInstrmnt>
            <principalAmt>-16000000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>95.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-01-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>28165.74000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A5Z42Z4"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.76394194"/>
        <valUSD>-12738.99000000</valUSD>
        <pctVal>-0.01933414907</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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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP WMBA SONIA 1Y" floatingRtSpread="0.00000000" pmntAmt="100000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            <fixedPmntDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="1.10000000"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-1001.22000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-100000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-11737.77000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>EUR/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2004210464897"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-13521.12000000</valUSD>
        <pctVal>-0.02052119907</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurPur>166368.48000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-30</settlementDt>
            <unrealizedAppr>-13521.12000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
        <lei>5493000F4ZO33MV32P92</lei>
        <title>CDS ITRAXX.XO.33.V1</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="SWZ91ZC0FV8"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.84893246"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>INTERCONTINENTAL EXCHANGE, INC.</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>IHS MARKIT LTD</issuerName>
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                  <other otherDesc="INTERNAL" value="2I667KHL5_INDEX_US"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="5.00000000"/>
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            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-64179.79000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5500000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>451733.62000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>USD/ZAR FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007230323586"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1784.18000000</valUSD>
        <pctVal>-0.00270787575</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>Bank of America, National Association</counterpartyName>
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            <amtCurSold>-56000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>929888.62000000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-08-31</settlementDt>
            <unrealizedAppr>-1784.18000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS NZD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A4LFZB4"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.50784077"/>
        <valUSD>4263.37000000</valUSD>
        <pctVal>0.006470578213</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <name>BAUSCH HEALTH AMERICAS</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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      <invstOrSec>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>LOXAM SAS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>HELLENIC REPUBLIC</issuerName>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <title>IRS HUF</title>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>CITIBANK NA</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-21424.13000000</unrealizedAppr>
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        </derivativeInfo>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
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            </descRefInstrmnt>
            <principalAmt>-2000000.00000000</principalAmt>
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            <exercisePrice>28.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <title>IRS CNY</title>
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        </identifiers>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <floatingPmntDesc curCd="CNY" fixedOrFloating="Floating" floatingRtIndex="7 DAY CHINA FIXING REPO RATES" floatingRtSpread="0.00000000" pmntAmt="-1700000.00000000">
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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>
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          <other otherDesc="INTERNAL" value="B8A7KNS37"/>
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        <balance>6000000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AG</name>
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                    <balance>0.00000000</balance>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            <principalAmt>6000000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-75581.27000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
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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>DEUTSCHE BANK AG</name>
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        <title>CDS REPUBLIC OF CHILE</title>
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        <valUSD>2331.46000000</valUSD>
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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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        <securityLending>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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            <unrealizedAppr>-18372.59000000</unrealizedAppr>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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                    <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>TRONOX FINANCE PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <fairValLevel>2</fairValLevel>
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                  <amtCurSold>N/A</amtCurSold>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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      <invstOrSec>
        <name>OBRIGACOES DO TESOURO</name>
        <lei>549300P6U1FJ3IMP7K42</lei>
        <title>Portugal Obrigacoes do Tesouro OT</title>
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        <invCountry>PT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>BANK OF AMERICA CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BARCLAYS PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SCIENTIFIC GAMES INTERNA</name>
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        <title>Scientific Games International Inc</title>
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        <name>CREDIT SUISSE INTERNATIONAL</name>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>SPAIN GOVERNMENT INTERNATIONAL BOND</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CEC ENTERTAINMENT INC</name>
        <lei>549300MWTY75LB8TRO50</lei>
        <title>CEC Entertainment Inc</title>
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          <isin value="US125137AB57"/>
          <other otherDesc="SEDOL" value="BTC1CG3"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <curCd>USD</curCd>
        <valUSD>-5245.17000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007210335764"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>NZD/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007240365781"/>
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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>

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      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
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        <cusip>000000000</cusip>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <name>LONDON CLEARING HOUSE</name>
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        <assetCat>DIR</assetCat>
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        <name>CITIBANK NA</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="AUD" fixedOrFloating="Floating" floatingRtIndex="6 MONTH AUSTRALIAN BANK BILL RATE" floatingRtSpread="0.00000000" pmntAmt="-420000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>420000.00000000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>23623.09000000</unrealizedAppr>
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        </derivativeInfo>
        <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>58507LAH2</cusip>
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          <isin value="XS1960678255"/>
          <other otherDesc="SEDOL" value="BJR2119"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.84893246"/>
        <valUSD>124960.74000000</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>2027-03-07</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD CALL VERSUS MXN PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7LBWD5"/>
        </identifiers>
        <balance>5000000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>93016.28000000</valUSD>
        <pctVal>0.141172151351</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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>CITIBANK NA</counterpartyName>
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                  <derivAddlInfo>
                    <name>CITIBANK NA</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="PI61910_B8A7LBWD5_908_S"/>
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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>
                  <curPur>USD</curPur>
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            <principalAmt>5000000.00000000</principalAmt>
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            <exercisePrice>26.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>73677.57000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>CDS HELLENIC REPUBLIC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A5J8XN6"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-961.10000000</valUSD>
        <pctVal>-0.00145867534</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>BANK OF AMERICA, NATIONAL ASSOCIATION</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>HELLENIC REPUBLIC</issuerName>
                <issueTitle>HELLENIC REPUBLIC GOVERNMENT BOND</issueTitle>
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                  <cusip value="000000000"/>
                  <isin value="GR0128011682"/>
                  <other otherDesc="SEDOL" value="B5TY1F9"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <terminationDt>2023-06-20</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-300000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-17698.15000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>USD CALL VERSUS RUB PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A75LGZ0"/>
        </identifiers>
        <balance>5000000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>64386.33000000</valUSD>
        <pctVal>0.097720062807</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AG</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
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                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_B8A75LGZ0_573_S"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="RUB" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>RUB</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2021-04-28</settlementDt>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5000000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>90.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>17741.33000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>USD/PHP FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2006250312467"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2394.96000000</valUSD>
        <pctVal>0.003634865376</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>BARCLAYS PLC</counterpartyName>
              <counterpartyLei>213800LBQA1Y9L22JB70</counterpartyLei>
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            <amtCurSold>-119000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>5978560.00000000</amtCurPur>
            <curPur>PHP</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>2394.96000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A7NYG33"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1939.74000000</valUSD>
        <pctVal>-0.00294397140</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>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 DAY OVERNIGHT FEDS FUNDS EFFECTIVE RATE" floatingRtSpread="0.00000000" pmntAmt="3900000.00000000">
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-3900000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1939.74000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ANTERO RESOURCES CORP</name>
        <lei>APVBKPOULHUX7YZLKU17</lei>
        <title>Antero Resources Corp</title>
        <cusip>03674XAJ5</cusip>
        <identifiers>
          <isin value="US03674XAJ54"/>
          <other otherDesc="SEDOL" value="BDRYT42"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63388.45000000</valUSD>
        <pctVal>0.096205565921</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>IRS ILS</title>
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        <balance>1.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>AUD/JPY FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
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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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS BRL</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1707345.91000000</notionalAmt>
            <curCd>BRL</curCd>
            <unrealizedAppr>33834.63000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LADBROKES GROUP FIN PLC</name>
        <lei>213800QOWHF5R9VLL274</lei>
        <title>Ladbrokes Group Finance PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS1514268165"/>
          <other otherDesc="SEDOL" value="BZ1BB81"/>
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        <balance>300000.00000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.76394194"/>
        <valUSD>400958.81000000</valUSD>
        <pctVal>0.608540975956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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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>SUBURBAN PROPANE PARTNRS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MEG ENERGY CORP</name>
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        <balance>45000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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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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        <name>TH MSR ISSUER TRUST</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>ENERGY TRANSFER OPERATNG</name>
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        <fairValLevel>2</fairValLevel>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>THE TORONTO-DOMINION BANK</name>
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      <invstOrSec>
        <name>ASCENT RESOURCES/ARU FIN</name>
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        <name>Hexion Holdings Corp</name>
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        <fairValLevel>1</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>GOLDMAN SACHS &amp; CO 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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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <balance>250000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>269626.59000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>N/A</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        </debtSec>
        <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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                  <derivAddlInfo>
                    <name>BNP PARIBAS SECURITIES CORP.</name>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
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                  <curPur>INR</curPur>
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            <principalAmt>800000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-8279.66000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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          <other otherDesc="INTERNAL" value="B8A801V98"/>
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        <balance>-2800000.00000000</balance>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
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                  <curPur>GBP</curPur>
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            </descRefInstrmnt>
            <principalAmt>-2800000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>41068.73000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>BRL</curSold>
                  <amtCurPur>N/A</amtCurPur>
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            </descRefInstrmnt>
            <principalAmt>1750000.00000000</principalAmt>
            <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-772.65000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LONG GILT</title>
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          <ticker value="G U0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R83PFH6"/>
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        <currencyConditional curCd="GBP" exchangeRt="0.76394194"/>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>UK TSY 4 3/4% 2030</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <floatingPmntDesc curCd="ILS" fixedOrFloating="Floating" floatingRtIndex="3 MONTH TEL AVIV INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-1000000.00000000">
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      </invstOrSec>
      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
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      <invstOrSec>
        <name>BNP PARIBAS SA</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>ILS/USD FORWARD</title>
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        <fairValLevel>2</fairValLevel>
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        <name>BOEING CO</name>
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        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>Pnmac Gmsr Issuer Trust</name>
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      <invstOrSec>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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          <other otherDesc="INTERNAL" value="HL6VJCQ80R1UQS6C-23"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="HEILSV6NJEB0HFBF-23"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Credit Suisse Mortgage Capital Certificates 2019-ICE4</title>
        <cusip>12653VAL0</cusip>
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          <isin value="US12653VAL09"/>
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        <balance>250000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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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>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS HKD</title>
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          <other otherDesc="INTERNAL" value="SWB8A68UA36"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <floatingPmntDesc curCd="HKD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH ASSOCIATION OF BANKS HONG KONG DOLLAR FIXING RATE" floatingRtSpread="0.00000000" pmntAmt="-6850000.00000000">
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>HKD</curCd>
            <unrealizedAppr>10027.90000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>USD/CNH FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007070363039"/>
        </identifiers>
        <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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            <counterparties>
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            <amtCurSold>-70000.00000000</amtCurSold>
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            <settlementDt>2020-08-31</settlementDt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>RUB/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="7HAFKA9KSTGFLQH1-23"/>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>CDS FEDERATIVE REPUBLIC OF BRAZIL</title>
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        <assetCat>DCR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CDS REPUBLIC OF SOUTH AFRICA</title>
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                <issuerName>REPUBLIC OF SOUTH AFRICA GOVERNMENT INTERNATIONAL BOND</issuerName>
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        <name>REPUBLIC OF SERBIA</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS CZK</title>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <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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      </invstOrSec>
      <invstOrSec>
        <name>UKRAINE GOVERNMENT</name>
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          <other otherDesc="SEDOL" value="BZ09DV3"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>UA</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>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>USD CALL VERSUS RUB PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>-5000000.00000000</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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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>-5000000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>44838.67000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</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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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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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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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>CITIBANK NA</name>
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        <name>ROCKIES EXPRESS PIPELINE</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>LONDON CLEARING HOUSE</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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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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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>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <securityLending>
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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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        <isRestrictedSec>N</isRestrictedSec>

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

        <fairValLevel>2</fairValLevel>
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        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
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        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007270453713"/>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC SECURITIES (USA) INC.</counterpartyName>
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        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS SEK</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWB8A7FV5K2"/>
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        <balance>1.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2006100528230"/>
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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>CITIBANK NA</name>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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                <issuerName>TURKEY GOVERNMENT INTERNATIONAL BOND</issuerName>
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      <invstOrSec>
        <name>TRANSOCEAN INC</name>
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        <title>Transocean Inc</title>
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          <isin value="US893830BK41"/>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS HKD</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS USD</title>
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        <name>INVITALIA</name>
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      <invstOrSec>
        <name>NATIONSTAR MTG HLD INC</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>BONOS Y OBLIG DEL ESTADO</name>
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        <title>Spain Government Bond</title>
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        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>HELLENIC REPUBLIC</name>
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      <invstOrSec>
        <name>GOLDEN ENTERTAINMENT INC</name>
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        <title>Golden Entertainment Inc</title>
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        <balance>275000.00000000</balance>
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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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        <fairValLevel>2</fairValLevel>
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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>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>LONDON CLEARING HOUSE</name>
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      <invstOrSec>
        <name>ENERGIZER GAMMA ACQ BV</name>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

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

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            <delta>XXXX</delta>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>1</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>J.P. MORGAN CHASE BANK NA</name>
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        <name>JPMORGAN CHASE &amp; CO</name>
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        <name>BARCLAYS BANK PLC</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
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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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          <other otherDesc="INTERNAL" value="SWB8A5J8XJ5"/>
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        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BANK OF AMERICA, NATIONAL ASSOCIATION</counterpartyName>
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                <issuerName>HELLENIC REPUBLIC</issuerName>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>-18989.71000000</upfrontRcpt>
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            <curCd>USD</curCd>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>USD CALL VERSUS KRW PUT</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="B8A7SEC02"/>
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        <balance>3300000.00000000</balance>
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        <valUSD>14641.05000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="PI61910_B8A7SEC02_50_S"/>
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                    <invOthCountry>US</invOthCountry>
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                  <amtCurPur>N/A</amtCurPur>
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            <delta>XXXX</delta>
            <unrealizedAppr>-78145.05000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>TRY/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00LAI224H4PKNMJ"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <settlementDt>2020-12-23</settlementDt>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS BRL</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A7A5P55"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="BRL" exchangeRt="5.21655000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2687594.01000000</notionalAmt>
            <curCd>BRL</curCd>
            <unrealizedAppr>35602.01000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>BRL CALL VERSUS USD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7904W2"/>
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        <balance>500000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>977.62000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <curCd>USD</curCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-5873.88000000</unrealizedAppr>
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      <invstOrSec>
        <name>DP WORLD PLC</name>
        <lei>549300M3U2DNF4QVSS04</lei>
        <title>DP World PLC</title>
        <cusip>000000000</cusip>
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        <assetCat>DBT</assetCat>
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        <invCountry>AE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS BRL</title>
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      <invstOrSec>
        <name>Laurel Road Prime Student Loan</name>
        <lei>N/A</lei>
        <title>Laurel Road Prime Student Loan Trust 2019-A</title>
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        <balance>2040543.25200000</balance>
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        <curCd>USD</curCd>
        <valUSD>135889.98000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>STATE GRID EUROPE DEVELO</name>
        <lei>529900B2DHSUP1S0V619</lei>
        <title>State Grid Europe Development 2014 PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS1165754851"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>CDS REPUBLIC IRELAND</title>
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          <other otherDesc="INTERNAL" value="SWB8A32SBE9"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20416.60000000</valUSD>
        <pctVal>0.030986568644</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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              <otherRefInst>
                <issuerName>IRISH TSY 4 1/2% 2020</issuerName>
                <issueTitle>Ireland Government Bond</issueTitle>
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                  <cusip value="000000000"/>
                  <isin value="IE0034074488"/>
                  <other otherDesc="SEDOL" value="3407448"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <otherPmntDesc fixedOrFloating="Other">Default Event</otherPmntDesc>
            <terminationDt>2025-12-20</terminationDt>
            <upfrontPmnt>5369.02000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>500000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>15047.58000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>IRS CLP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWB8A551Z20"/>
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        <balance>1.00000000</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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          <swapDeriv derivCat="SWP">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="CLP" fixedOrFloating="Floating" floatingRtIndex="SINACOFI CHILE INTERBANK RATE AVG" floatingRtSpread="0.00000000" pmntAmt="-56000000.00000000">
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>56000000.00000000</notionalAmt>
            <curCd>CLP</curCd>
            <unrealizedAppr>15036.75000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>DIAMOND BC BV</name>
        <lei>549300SWLHWJF3D4N658</lei>
        <title>Diamond BC BV</title>
        <cusip>000000000</cusip>
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          <isin value="XS1654544136"/>
          <other otherDesc="SEDOL" value="BF7TSQ6"/>
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        <balance>200000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.84893246"/>
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        <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 AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>MXN CALL VERSUS USD PUT</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="B8A7V13K2"/>
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        <balance>1900000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>152708.73000000</valUSD>
        <pctVal>0.231768244701</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="PI61910_B8A7V13K2_573_S"/>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>MXN</curPur>
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            <principalAmt>1900000.00000000</principalAmt>
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            <exercisePrice>24.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-02-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>82555.03000000</unrealizedAppr>
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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; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>IRS COP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A4VAU29"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3733.00000000"/>
        <valUSD>16810.02000000</valUSD>
        <pctVal>0.025512810097</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>MORGAN STANLEY &amp; CO INTERNATIONAL</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="COP" fixedOrFloating="Fixed" fixedRt="6.03500000"/>
            <floatingPmntDesc curCd="COP" fixedOrFloating="Floating" floatingRtIndex="COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE" floatingRtSpread="0.00000000" pmntAmt="-405000000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Day" resetDtUnit="1"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>405000000.00000000</notionalAmt>
            <curCd>COP</curCd>
            <unrealizedAppr>16810.02000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/MXN FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00DJI50FSLWAHQD"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>158610.97000000</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>-1508000.00000000</amtCurSold>
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            <amtCurPur>38013664.00000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2021-02-26</settlementDt>
            <unrealizedAppr>158610.97000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>AUD/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00DKI51JK0FCIHA"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-59570.53000000</valUSD>
        <pctVal>-0.09041105360</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>BARCLAYS PLC</counterpartyName>
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            <amtCurSold>-935000.00000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>608694.35000000</amtCurPur>
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            <settlementDt>2021-01-29</settlementDt>
            <unrealizedAppr>-59570.53000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ADIENT GLOBAL HOLDINGS</name>
        <lei>213800VA38VCKE6M8790</lei>
        <title>Adient Global Holdings Ltd</title>
        <cusip>00687YAA3</cusip>
        <identifiers>
          <isin value="US00687YAA38"/>
          <other otherDesc="Sedol" value="BDCSFD0"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>186460.40000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THE TORONTO-DOMINION BANK</name>
        <lei>PT3QB789TSUIDF371261</lei>
        <title>IDR/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2005210432663"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3238.13000000</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>THE TORONTO-DOMINION BANK</counterpartyName>
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            <amtCurPur>2630299633.00000000</amtCurPur>
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            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>3238.13000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>ALTICE FRANCE SA</name>
        <lei>5493001ZMCICV4N02J21</lei>
        <title>Altice France SA/France</title>
        <cusip>000000000</cusip>
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          <isin value="XS2053846262"/>
          <other otherDesc="SEDOL" value="BKMGXK6"/>
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        <balance>400000.00000000</balance>
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        <assetCat>DBT</assetCat>
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        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>DANAHER CORP</name>
        <lei>S4BKK9OTCEWQ3YHPFM11</lei>
        <title>Danaher Corp</title>
        <cusip>235851AT9</cusip>
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          <other otherDesc="SEDOL" value="BL6LK25"/>
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        <balance>100000.00000000</balance>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CREDIT SUISSE AG</name>
        <lei>ANGGYXNX0JLX3X63JN86</lei>
        <title>USD/SGD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2006110374407"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1113.95000000</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>
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            <amtCurSold>-123000.00000000</amtCurSold>
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            <settlementDt>2020-09-16</settlementDt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>5493007222WHFWMBOC78</lei>
        <title>Freddie Mac STACR Trust 2019-DNA1</title>
        <cusip>35563KAH3</cusip>
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          <other otherDesc="SEDOL" value="BJKFM67"/>
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        <balance>35467.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34489.02000000</valUSD>
        <pctVal>0.052344483690</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82163000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B90JE160EH4MHXGO"/>
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        <valUSD>3133.10000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PETSMART INC</name>
        <lei>N/A</lei>
        <title>PetSmart Inc</title>
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        <balance>21000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>DIAMOND SPORTS GR/DIAMON</name>
        <lei>N/A</lei>
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          <isin value="US25277LAC00"/>
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        <balance>510000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>279194.88000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>EG GLOBAL FINANCE PLC</name>
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          <isin value="XS1992088374"/>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-02-07</maturityDt>
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      <invstOrSec>
        <name>CCO HLDGS LLC/CAP CORP</name>
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        <balance>169000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2030-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75000000</annualizedRt>
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      <invstOrSec>
        <name>BEAZER HOMES USA</name>
        <lei>549300DUPYT2T0F60I45</lei>
        <title>Beazer Homes USA Inc</title>
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          <isin value="US07556QBT13"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>UPJOHN INC</name>
        <lei>N/A</lei>
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          <isin value="US91533BAF76"/>
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        <balance>30000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>34430.75000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-06-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>MPT OPER PARTNERSP/FINL</name>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-05</maturityDt>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <title>Hellenic Republic Government Bond</title>
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          <isin value="GR0133006198"/>
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        <balance>280000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.84893246"/>
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        <invCountry>GR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>TAYLOR MORR COMM/HLDGS</name>
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        <title>Taylor Morrison Communities Inc / Taylor Morrison Holdings II Inc</title>
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        <balance>125000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CALPINE CORP</name>
        <lei>43R4VPJBXTU2O15HEF41</lei>
        <title>Calpine Corp</title>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>USD/ZAR FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2007280292964"/>
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        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>USD/ZAR FORWARD</title>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/KRW FORWARD</title>
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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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            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS &amp; CO LLC</counterpartyName>
                    <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS &amp; CO LLC</name>
                    <lei>FOR8UP27PHTHYVLBNG30</lei>
                    <title>RUB CALL VERSUS USD PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_B8A6JUCH1_5_GS_O_S"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>RUB</curPur>
                  <settlementDt>2020-12-22</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>-2250000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>66.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-12-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>68507.83000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>USD CALL VERSUS MXN PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="B8A7N2L37"/>
        </identifiers>
        <balance>-5600000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-106756.08000000</valUSD>
        <pctVal>-0.16202524422</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
                    <lei>7LTWFZYICNSX8D621K86</lei>
                    <title>USD CALL VERSUS MXN PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_B8A7N2L37_573_O_S"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="MXN" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>MXN</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2021-02-24</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>-5600000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>25.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-02-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-11875.28000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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>2020-09-24</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>
  <documents>XXXX</documents>
</edgarSubmission>
