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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae - CAS</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>REPUBLIC OF PHILIPPINES</issuerName>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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

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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2008050491610"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
        <lei>2138003EKTMKZ5598902</lei>
        <title>Hellenic Republic Government Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GR0128010676"/>
          <other otherDesc="SEDOL" value="B70G6L9"/>
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        <balance>313000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>GR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS CZK</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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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mor</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS GROUP INC</name>
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        <title>Goldman Sachs Group Inc/The</title>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <assetCat>DCR</assetCat>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <cusip>000000000</cusip>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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      <invstOrSec>
        <name>DIAMOND SPORTS GR/DIAMON</name>
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        <title>Diamond Sports Group LLC / Diamond Sports Finance Co</title>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citibank, National Association</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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                <issuerName>REPUBLIC OF INDONESIA</issuerName>
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                  <isin value="USY20721AQ27"/>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>-1669.91000000</upfrontRcpt>
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            <curCd>USD</curCd>
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      </invstOrSec>
      <invstOrSec>
        <name>TAYLOR MORRISON COMM</name>
        <lei>549300O1Z08HI2MRK572</lei>
        <title>Taylor Morrison Communities Inc</title>
        <cusip>87724RAG7</cusip>
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          <isin value="US87724RAG74"/>
          <other otherDesc="SEDOL" value="BM6X8C4"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOLDEN NUGGET INC</name>
        <lei>91D14OD6M4H1RVBN7R43</lei>
        <title>Golden Nugget Inc</title>
        <cusip>38113YAE9</cusip>
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          <isin value="US38113YAE95"/>
          <other otherDesc="SEDOL" value="BYWL570"/>
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        <curCd>USD</curCd>
        <valUSD>49998.93000000</valUSD>
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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>
          <annualizedRt>6.75000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="SWB8A7Z0M52"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>12899.56000000</valUSD>
        <pctVal>0.012924147655</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 DAY OVERNIGHT FEDS FUNDS EFFECTIVE RATE" floatingRtSpread="0.00000000" pmntAmt="9800000.00000000">
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            <upfrontPmnt>8092.57000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-9800000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4806.99000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS COP</title>
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          <other otherDesc="INTERNAL" value="SWB8A7AT7F1"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3569.00500000"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="COP" fixedOrFloating="Floating" floatingRtIndex="COLOMBIA OVERNIGHT INTERBANK REFERENCE RATE" floatingRtSpread="0.00000000" pmntAmt="-860000000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <curCd>COP</curCd>
            <unrealizedAppr>29713.63000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CDS REPUBLIC OF PANAMA</title>
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          <other otherDesc="INTERNAL" value="SWB8A4HY7Y9"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1299.11000000</valUSD>
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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>CITIBANK NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>REPUBLIC OF PANAMA</issuerName>
                <issueTitle>Panama Government International Bond</issueTitle>
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                  <cusip value="698299AD6"/>
                  <isin value="US698299AD63"/>
                  <other otherDesc="SEDOL" value="5335989"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>RUB/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2012100523522"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3485.40000000</valUSD>
        <pctVal>0.003492043468</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>
              <counterpartyLei>213800LBQA1Y9L22JB70</counterpartyLei>
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            <amtCurPur>119000.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-03-17</settlementDt>
            <unrealizedAppr>3485.40000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS</name>
        <lei>549300CAZKPF4HKMPX17</lei>
        <title>Petroleos Mexicanos</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1568874983"/>
          <other otherDesc="SEDOL" value="BZBXHY5"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.82402867"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS BRL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A8X6EQ2"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.47140000"/>
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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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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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      <invstOrSec>
        <name>CO-OPERATIVE GROUP LTD</name>
        <lei>213800TKR59ER8Z69V16</lei>
        <title>Co-Operative Group Ltd</title>
        <cusip>000000000</cusip>
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          <isin value="XS1910137949"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CCO HLDGS LLC/CAP CORP</name>
        <lei>N/A</lei>
        <title>CCO Holdings LLC / CCO Holdings Capital Corp</title>
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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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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>CDS REPUBLIC OF ITALY</title>
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          <other otherDesc="INTERNAL" value="SWB8A8X5QN8"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>ITALY GOV'T INT BOND</issuerName>
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      <invstOrSec>
        <name>Legacy Mortgage Asset Trust 20</name>
        <lei>N/A</lei>
        <title>Legacy Mortgage Asset Trust 2020-GS1</title>
        <cusip>52474PAA0</cusip>
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        <balance>652087.65000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</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>CHICAGO MERCANTILE EXCHANGE</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS BRL</title>
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        <name>BRINKER INTERNATIONAL IN</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>THYSSENKRUPP AG</name>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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      <invstOrSec>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES 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>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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

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      <invstOrSec>
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        <name>HELLENIC REPUBLIC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>REPUBLIC OF SENEGAL</name>
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        <name>BX Trust</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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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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                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>-8000000.00000000</principalAmt>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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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>SAUDI INTERNATIONAL BOND</issuerName>
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            <upfrontRcpt>-869.95000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>3023.10000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <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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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Call</putOrCall>
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                  <derivAddlInfo>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <name>CHICAGO MERCANTILE EXCHANGE</name>
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        <name>US TREASURY N/B</name>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
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      <invstOrSec>
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        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <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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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
            <unrealizedAppr>-13272.81000000</unrealizedAppr>
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        <name>LUMEN TECHNOLOGIES INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MONTREAL EXCHANGE</name>
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        <name>MEDTRONIC GLOBAL HLDINGS</name>
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        <title>Medtronic Global Holdings SCA</title>
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          <isin value="XS2238792175"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>HELLENIC REPUBLIC</name>
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        <name>DP WORLD PLC</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PETROLEOS MEXICANOS</name>
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        <title>Petroleos Mexicanos</title>
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          <isin value="US71654QDC33"/>
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        <balance>70000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ROYAL CARIBBEAN CRUISES</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <securityLending>
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      <invstOrSec>
        <name>LADBROKES GROUP FIN PLC</name>
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          <isin value="XS1514268165"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <title>IRS CNY</title>
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          <other otherDesc="INTERNAL" value="SWB8A70X466"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>UBS SECURITIES LLC</name>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <name>Citibank, National Association</name>
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        <name>PGIM Core Ultra Short Bond Fund</name>
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        <name>BARCLAYS PLC</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BARCLAYS PLC</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>ITALY GOV'T INT BOND</name>
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          <isin value="US465410BG26"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
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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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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="CZK" fixedOrFloating="Floating" floatingRtIndex="6M PRAGUE INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="6640000.00000000">
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HCA INC</name>
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        <balance>100000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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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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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>iShares iBoxx $ Investment Grade Corporate Bond ETF</name>
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        <name>Bank of America, National Association</name>
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        <name>DEUTSCHE BANK AG</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>CITIBANK NA</name>
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        <name>CITIBANK NA</name>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
        <lei>254900KXN235YISGF415</lei>
        <title>Bellemeade Re 2019-4 Ltd</title>
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          <isin value="US07876LAA70"/>
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        <balance>123986.33000000</balance>
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        <curCd>USD</curCd>
        <valUSD>123920.29000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.53000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="FXB8A7JPPQ6"/>
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        <balance>2650000.00000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  <derivAddlInfo>
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                    <invOthCountry>US</invOthCountry>
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            <principalAmt>2650000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-135622.57000000</unrealizedAppr>
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      <invstOrSec>
        <name>BANCO SANTANDER SA</name>
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          <isin value="US05971KAG40"/>
          <other otherDesc="SEDOL" value="BM8GQM7"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00EII14UK3XIPAO"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ARD FINANCE SA</name>
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          <isin value="XS2079032640"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ROMANIA</name>
        <lei>315700IASY927EDWBK92</lei>
        <title>Romanian Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1892127470"/>
          <other otherDesc="SEDOL" value="BZ06767"/>
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        <balance>300000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.82402867"/>
        <valUSD>453206.16000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <title>CDS RUSSIAN FEDERATION</title>
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          <other otherDesc="INTERNAL" value="SWB8A52QAS8"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4356.29000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</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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                <issuerName>RUSSIAN FEDERATION</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>EVERI PAYMENTS INC</name>
        <lei>5493006Q4MDLHOY1JV70</lei>
        <title>Everi Payments Inc</title>
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        <balance>78000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>USD CALL VERSUS ZAR PUT</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>REGIONALCARE/LIFEPOINT</name>
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        <title>RegionalCare Hospital Partners Holdings Inc / LifePoint Health Inc</title>
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      <invstOrSec>
        <name>REPUBLIC OF INDONESIA</name>
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        <title>Indonesia Government International Bond</title>
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        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Morgan Stanley Capital I Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Capital I Trust 2019-MEAD</title>
        <cusip>61771LAL6</cusip>
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        <balance>650000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS JPY</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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

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            <delta>XXXX</delta>
            <unrealizedAppr>12467.68000000</unrealizedAppr>
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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>INTRADO CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>REPUBLIC OF INDONESIA</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>VEREIT OPERATING PARTNER</name>
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        <title>VEREIT Operating Partnership LP</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>LUMEN TECHNOLOGIES INC</name>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>CHICAGO MERCANTILE EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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          <other otherDesc="INTERNAL" value="C00DKI51IJFSWSFS"/>
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        <fairValLevel>2</fairValLevel>
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            <amtCurSold>-872064.12000000</amtCurSold>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>CNH/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2010200432145"/>
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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>ARAB REPUBLIC OF EGYPT</name>
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        <title>Egypt Government International Bond</title>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>STONEGATE PUB FIN</name>
        <lei>254900L5266ML3505282</lei>
        <title>STONEGATE PUB CO FINANCING 2019 PLC</title>
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      <invstOrSec>
        <name>CITIBANK NA</name>
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      <invstOrSec>
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        <title>Spain Government Bond</title>
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      <invstOrSec>
        <name>Cold Storage Trust</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <title>MXN/USD FORWARD</title>
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      <invstOrSec>
        <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>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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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>TENET HEALTHCARE CORP</name>
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        <assetCat>DBT</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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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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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
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                <issuerName>Indonesia Government International Bond</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
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        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2005200277447"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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            <amtCurSold>-242896.57000000</amtCurSold>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <title>IRS ILS</title>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="ILS" fixedOrFloating="Fixed" fixedRt="1.60000000"/>
            <floatingPmntDesc curCd="ILS" fixedOrFloating="Floating" floatingRtIndex="3M TEL AVIV INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-350000.00000000">
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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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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          <other otherDesc="INTERNAL" value="SWB8A5BHP78"/>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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                    <invOthCountry>US</invOthCountry>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GAZPROM (GAZ CAPITAL SA)</name>
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        <title>Gazprom PJSC Via Gaz Capital SA</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BARCLAYS PLC</counterpartyName>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <balance>-3300000.00000000</balance>
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        <assetCat>DFE</assetCat>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>TPC GROUP INC</name>
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      <invstOrSec>
        <name>ARD FINANCE SA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <balance>200000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ANTERO RESOURCES CORP</name>
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      <invstOrSec>
        <name>REPUBLIC OF PHILIPPINES</name>
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      <invstOrSec>
        <name>Citibank, National Association</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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          <swapDeriv derivCat="SWP">
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <title>Hellenic Republic Government Bond</title>
        <cusip>000000000</cusip>
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          <isin value="GR0138007738"/>
          <other otherDesc="SEDOL" value="B7JVY99"/>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CIM Trust</name>
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      <invstOrSec>
        <name>ESKOM HOLDINGS SOC LTD</name>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS MXN</title>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>Hexion Holdings Corp</name>
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        <name>CONTOURGLOBAL POWER HLDG</name>
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        <title>ContourGlobal Power Holdings SA</title>
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        <name>CREDIT SUISSE INTERNATIONAL</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>CDS KINGDOM OF SPAIN</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>ENERGY TRANSFER OPERATNG</name>
        <lei>5493008K8W3OKZE54J59</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SPCM SA</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>NASDAQ 100 INDEX</title>
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          <ticker value="NQH1"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00R2NN8Z6"/>
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        <curCd>USD</curCd>
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        <assetCat>DE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>NASDAQ</issuerName>
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            <expDate>2021-03-19</expDate>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <title>IRS KRW</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWB8A5GZ0S4"/>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="KRW" fixedOrFloating="Floating" floatingRtIndex="3 MONTH CERTIFICATE OF DEPOSIT RATE" floatingRtSpread="0.00000000" pmntAmt="-50000000.00000000">
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            <notionalAmt>50000000.00000000</notionalAmt>
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            <unrealizedAppr>735.14000000</unrealizedAppr>
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      <invstOrSec>
        <name>CENOVUS ENERGY INC</name>
        <lei>549300EIRQ0Z2B9C1W06</lei>
        <title>Cenovus Energy Inc</title>
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          <isin value="US15135UAP49"/>
          <other otherDesc="SEDOL" value="BFNWDQ4"/>
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        <balance>250000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>280788.07000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>IRS ILS</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWB8A5B8935"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.28375000"/>
        <valUSD>33981.64000000</valUSD>
        <pctVal>0.034046411889</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="ILS" fixedOrFloating="Fixed" fixedRt="2.04500000"/>
            <floatingPmntDesc curCd="ILS" fixedOrFloating="Floating" floatingRtIndex="3 MONTH TEL AVIV INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-950000.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2028-07-16</terminationDt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>950000.00000000</notionalAmt>
            <curCd>ILS</curCd>
            <unrealizedAppr>33981.64000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>JPY CALL VERSUS USD PUT</title>
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          <other otherDesc="INTERNAL" value="FXB8A87UBF5"/>
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        <balance>-16000000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-87493.89000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                      <other otherDesc="INTERNAL" value="PI61910_FXB8A87UBF5_573_S"/>
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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>SUBURBAN PROPANE PARTNRS</name>
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        <title>Suburban Propane Partners LP/Suburban Energy Finance Corp</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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                    <invOthCountry>US</invOthCountry>
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        <name>ALTRIA GROUP INC</name>
        <lei>XSGZFLO9YTNO9VCQV219</lei>
        <title>Altria Group Inc</title>
        <cusip>02209SAZ6</cusip>
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        <name>BROOKFIELD RESID PROPERT</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured P</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <floatingPmntDesc curCd="CLP" fixedOrFloating="Floating" floatingRtIndex="CHILE INTERBANK RATE" floatingRtSpread="0.00000000" pmntAmt="-400000000.00000000">
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>400000000.00000000</notionalAmt>
            <curCd>CLP</curCd>
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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>
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          <other otherDesc="INTERNAL" value="SWB8A3C0S84"/>
        </identifiers>
        <balance>1.00000000</balance>
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        <currencyConditional curCd="HUF" exchangeRt="294.21950000"/>
        <valUSD>19659.32000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="HUF" fixedOrFloating="Floating" floatingRtIndex="6M BUDAPEST INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-100000000.00000000">
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            <upfrontRcpt>-14647.89000000</upfrontRcpt>
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            <curCd>HUF</curCd>
            <unrealizedAppr>34307.21000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UNITED RENTALS NORTH AM</name>
        <lei>NGIZXNT70J2LYT3FBI09</lei>
        <title>United Rentals North America Inc</title>
        <cusip>911365BL7</cusip>
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          <isin value="US911365BL76"/>
          <other otherDesc="SEDOL" value="BJX8NT3"/>
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        <balance>35000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38742.92000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>CDS RUSSIAN FEDERATION</title>
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        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A52C1A8"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>622.32000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</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>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>RUSSIAN FEDERATION</issuerName>
                <issueTitle>RUSSIAN FOREIGN BOND - EUROBOND</issueTitle>
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                  <isin value="XS0114288789"/>
                  <other otherDesc="SEDOL" value="4230814"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <otherPmntDesc fixedOrFloating="Other">Default Event</otherPmntDesc>
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            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-458.06000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>50000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1080.38000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
        <lei>ZBUT11V806EZRVTWT807</lei>
        <title>USD/GBP FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2008030463651"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10157.34000000</valUSD>
        <pctVal>-0.01017670075</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>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
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            <amtCurSold>-156000.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>203718.84000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-05-28</settlementDt>
            <unrealizedAppr>-10157.34000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>JPY CALL VERSUS AUD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="FXB8A8T21J6"/>
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        <balance>5300000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.30847235"/>
        <valUSD>87282.27000000</valUSD>
        <pctVal>0.087448637412</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>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyLei>RCNB6OTYUAMMP879YW96</counterpartyLei>
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                  <derivAddlInfo>
                    <name>BNP PARIBAS SECURITIES CORP.</name>
                    <lei>RCNB6OTYUAMMP879YW96</lei>
                    <title>JPY CALL VERSUS AUD PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_FXB8A8T21J6_BNP_S"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="AUD" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>AUD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>JPY</curPur>
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            <principalAmt>5300000.00000000</principalAmt>
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            <exercisePrice>75.00000000</exercisePrice>
            <exercisePriceCurCd>AUD</exercisePriceCurCd>
            <expDt>2022-01-26</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-22256.11000000</unrealizedAppr>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ROMANIA</name>
        <lei>315700IASY927EDWBK92</lei>
        <title>Romanian Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1313004928"/>
          <other otherDesc="SEDOL" value="BZ163Z7"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.82402867"/>
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        <pctVal>0.148801328366</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>USD/AUD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2012150297459"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2262.08000000</valUSD>
        <pctVal>-0.00226639171</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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            <amtCurSold>-212000.00000000</amtCurSold>
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            <settlementDt>2022-05-31</settlementDt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>ZAR/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2012080461917"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>187.98000000</valUSD>
        <pctVal>0.000188338305</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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            <curSold>ZAR</curSold>
            <amtCurPur>62000.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-03-17</settlementDt>
            <unrealizedAppr>187.98000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UNITED RENTALS NORTH AM</name>
        <lei>NGIZXNT70J2LYT3FBI09</lei>
        <title>United Rentals North America Inc</title>
        <cusip>911365BG8</cusip>
        <identifiers>
          <isin value="US911365BG81"/>
          <other otherDesc="SEDOL" value="BDGSYG2"/>
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        <balance>320000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340042.07000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>IRS CLP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A4VBCN1"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CLP" exchangeRt="734.81000000"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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        <title>CDS KINGDOM OF SPAIN</title>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>21745.50000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <amtCurSold>-304102.46000000</amtCurSold>
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            <unrealizedAppr>-4085.05000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="FXB8A8U19K5"/>
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        <balance>4500000.00000000</balance>
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        <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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                  <derivAddlInfo>
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                      <other otherDesc="INTERNAL" value="PI61910_FXB8A8U19K5_DEUTG_S"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
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            <principalAmt>4500000.00000000</principalAmt>
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            <exercisePrice>1.12000000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>-1184.96000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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      </invstOrSec>
      <invstOrSec>
        <name>CLEAR CHANNEL WORLDWIDE</name>
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        <title>Clear Channel Worldwide Holdings Inc</title>
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          <isin value="US18451QAP37"/>
          <other otherDesc="SEDOL" value="BMCTMK2"/>
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        <balance>50000.00000000</balance>
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        <invCountry>US</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>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAZER HOMES USA</name>
        <lei>549300DUPYT2T0F60I45</lei>
        <title>Beazer Homes USA Inc</title>
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          <isin value="US07556QBT13"/>
          <other otherDesc="SEDOL" value="BLNR565"/>
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        <balance>75000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>84239.08000000</valUSD>
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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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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STATION CASINOS LLC</name>
        <lei>5493004E7Q60TX54WL62</lei>
        <title>Station Casinos LLC</title>
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          <isin value="US857691AF67"/>
          <other otherDesc="SEDOL" value="BDG75R7"/>
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        <balance>75000.00000000</balance>
        <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>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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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>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWB8A6Y63D6"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.75325000"/>
        <valUSD>-32665.11000000</valUSD>
        <pctVal>-0.03272737247</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>LONDON CLEARING HOUSE</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="HKD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH ASSOCIATION OF BANKS HONG KONG DOLLAR FIXING RATE" floatingRtSpread="0.00000000" pmntAmt="4660000.00000000">
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="HKD" fixedOrFloating="Fixed" fixedRt="1.53750000"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-26.20000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-4660000.00000000</notionalAmt>
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            <unrealizedAppr>-32638.91000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS HUF</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWB8A7FQJ93"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="HUF" exchangeRt="294.21950000"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LONDON CLEARING HOUSE</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="HUF" fixedOrFloating="Floating" floatingRtIndex="6 MONTH BUDAPEST INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="-190140000.00000000">
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            <terminationDt>2030-01-23</terminationDt>
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            <rcptCurCd>USD</rcptCurCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>EUR CALL VERSUS USD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="FXB8A8MYPB4"/>
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        <balance>3825000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.82402867"/>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_FXB8A8MYPB4_573_S"/>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>EUR</curPur>
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            <principalAmt>3825000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-451.13000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>JPY/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="C00MHJ63E2UXWGNJ"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS HUF</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A7A5AD4"/>
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        <balance>1.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>CITIBANK NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CDS REPUBLIC OF PORTUGAL</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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            <descRefInstrmnt>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>USD CALL VERSUS TRY PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>2250000.00000000</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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        <name>SCIENTIFIC GAMES INTERNA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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            <principalAmt>5300000.00000000</principalAmt>
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            <delta>XXXX</delta>
            <unrealizedAppr>-880.92000000</unrealizedAppr>
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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>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>UKRAINE GOVERNMENT</issuerName>
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      <invstOrSec>
        <name>CODERE FINANCE 2 LUXEMBO</name>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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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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          <other otherDesc="INTERNAL" value="MDJ2005210432666"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
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      <invstOrSec>
        <name>CREDIT AGRICOLE ASSRNCES</name>
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        <title>Credit Agricole Assurances SA</title>
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          <isin value="FR0012444750"/>
          <other otherDesc="SEDOL" value="BV9HD98"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <fairValLevel>2</fairValLevel>
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                    <invOthCountry>US</invOthCountry>
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        <isRestrictedSec>N</isRestrictedSec>

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        <isRestrictedSec>N</isRestrictedSec>

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                    <invOthCountry>US</invOthCountry>
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            <delta>XXXX</delta>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

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

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>PORTUGAL OBRIGACOES DO TESOURO OT</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>ASSICURAZIONI GENERALI</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</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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        <valUSD>-30228.18000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>LONDON CLEARING HOUSE</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EG GLOBAL FINANCE PLC</name>
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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>BNP PARIBAS SECURITIES CORP.</name>
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      <invstOrSec>
        <name>BARCLAYS CAPITAL INC.</name>
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        <name>DEUTSCHE BANK AG</name>
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        <name>UNITED MEXICAN STATES</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <name>BARCLAYS PLC</name>
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      <invstOrSec>
        <name>VOLKSWAGEN INTL FIN NV</name>
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      <invstOrSec>
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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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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>CITIBANK NA</name>
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        <name>INEOS QUATTRO FINANCE 2</name>
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      <invstOrSec>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>Citibank, National Association</name>
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        <name>LONDON CLEARING HOUSE</name>
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                    <invOthCountry>US</invOthCountry>
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        <name>CHARTER COMM OPT LLC/CAP</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK NA</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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      <invstOrSec>
        <name>TAYLOR MORRISON COMM</name>
        <lei>549300O1Z08HI2MRK572</lei>
        <title>Taylor Morrison Communities Inc</title>
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          <isin value="US87724RAB87"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GRIFFON CORPORATION</name>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>UNITED AIR 2019-2 AA PTT</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>JPMORGAN CHASE &amp; CO</name>
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        <fairValLevel>2</fairValLevel>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>EG GLOBAL FINANCE PLC</name>
        <lei>549300TL8Q5207VYET27</lei>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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            <delta>XXXX</delta>
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        <name>FORD MOTOR COMPANY</name>
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        <fairValLevel>2</fairValLevel>
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        <name>MidOcean Credit CLO</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>BARCLAYS PLC</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO INTERNATIONAL</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>DIGICEL INTL FINANCE LTD</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>BARCLAYS PLC</name>
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        <name>LONDON CLEARING HOUSE</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>LONDON CLEARING HOUSE</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>Citibank, National Association</name>
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        <name>BANK OF AMERICA CORP</name>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
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        <title>Bellemeade Re 2019-3 Ltd</title>
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          <isin value="BM07877GAB52"/>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ONEOK INC</name>
        <lei>2T3D6M0JSY48PSZI1Q41</lei>
        <title>ONEOK Inc</title>
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          <isin value="US682680BB81"/>
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        <curCd>USD</curCd>
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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>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>REPUBLIC OF INDONESIA</name>
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        <title>Indonesia Government International Bond</title>
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      <invstOrSec>
        <name>JPMORGAN CHASE &amp; CO</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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          <ticker value="SFRH2"/>
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        <name>GLP CAPITAL LP / FIN II</name>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BOFA SECURITIES, INC.</name>
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        <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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            <principalAmt>-8000000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-05-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>86018.90000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>TREASURY BILL</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Bill</title>
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          <isin value="US9127963W72"/>
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        <balance>8000000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>DIGICEL LTD</name>
        <lei>N/A</lei>
        <title>Digicel Ltd</title>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN SECURITIES LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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        <invCountry>GR</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>LONDON CLEARING HOUSE</name>
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          <other otherDesc="INTERNAL" value="SWB8A44GM90"/>
        </identifiers>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
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          <isin value="US07876TAB89"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LONDON CLEARING HOUSE</name>
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        <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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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <writtenOrPur>Written</writtenOrPur>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
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        <title>Vector Group Ltd</title>
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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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        <fairValLevel>2</fairValLevel>
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        <name>HELLENIC REPUBLIC</name>
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        <title>Hellenic Republic Government Bond</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CITIBANK NA</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>HELLENIC REPUBLIC</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>KRAFT HEINZ FOODS CO</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <cusip>000000000</cusip>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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            <unrealizedAppr>4971.29000000</unrealizedAppr>
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      <invstOrSec>
        <name>PENN NATIONAL GAMING INC</name>
        <lei>N/A</lei>
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        <balance>125000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS CLP</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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            <floatingPmntDesc curCd="CLP" fixedOrFloating="Floating" floatingRtIndex="CHILE INTERBANK RATE" floatingRtSpread="0.00000000" pmntAmt="-270000000.00000000">
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            <rcptCurCd>USD</rcptCurCd>
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        <securityLending>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <name>Freddie Mac - STACR</name>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>GOLDEN ENTERTAINMENT INC</name>
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        <title>Golden Entertainment Inc</title>
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        <name>HELLENIC REPUBLIC</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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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GENERAL MOTORS CO</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK NA</name>
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        <name>Citibank, National Association</name>
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        <name>Bank of America, National Association</name>
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        <name>DH EUROPE FINANCE</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</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>CHEMOURS CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>Home Re Ltd</name>
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      <invstOrSec>
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        <title>Virgin Media Vendor Financing Notes III DAC</title>
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                    <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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                  <derivAddlInfo>
                    <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
                    <lei>B4TYDEB6GKMZO031MB27</lei>
                    <title>USD CALL VERSUS ILS PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_FXB8A6PZNV0_955_S"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="ILS" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>ILS</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2021-06-28</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>-3200000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.95000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-06-28</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>16324.95000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>KRW/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B90IJJ33JEIPBVBR"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>35188.90000000</valUSD>
        <pctVal>0.035255973029</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>
            </counterparties>
            <amtCurSold>-648000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>763668000.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2021-07-30</settlementDt>
            <unrealizedAppr>35188.90000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTELSAT JACKSON HLDG</name>
        <lei>8XJ8KF85PBKK1TLMFN29</lei>
        <title>Intelsat Jackson Holdings SA</title>
        <cusip>45824TAP0</cusip>
        <identifiers>
          <isin value="US45824TAP03"/>
          <other otherDesc="SEDOL" value="BN7SP46"/>
        </identifiers>
        <balance>440000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>307250.28000000</valUSD>
        <pctVal>0.307835925103</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE BANK NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>USD/AUD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B90IKJ84SBLBJOUB"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>14011.57000000</valUSD>
        <pctVal>0.014038277241</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>J.P. MORGAN CHASE BANK NA</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>-136790.89000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>197000.00000000</amtCurPur>
            <curPur>AUD</curPur>
            <settlementDt>2023-10-31</settlementDt>
            <unrealizedAppr>14011.57000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD CALL VERSUS MXN PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="FXB8A7LBWD5"/>
        </identifiers>
        <balance>5000000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6343.15000000</valUSD>
        <pctVal>0.006355240582</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, NATIONAL ASSOCIATION</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>CITIBANK, NATIONAL ASSOCIATION</name>
                    <lei>E57ODZWZ7FF32TWEFA76</lei>
                    <title>USD CALL VERSUS MXN PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_FXB8A7LBWD5_908_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>US</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>MXN</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>USD</curPur>
                  <settlementDt>2021-04-27</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>5000000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>26.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-04-27</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-12995.55000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A7NJUE6"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12042.45000000</valUSD>
        <pctVal>-0.01206540393</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>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="1 DAY OVERNIGHT FEDS FUNDS EFFECTIVE RATE" floatingRtSpread="0.00000000" pmntAmt="6400000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.26000000"/>
            <terminationDt>2021-09-12</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-6400000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-12042.45000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>MXN CALL VERSUS USD PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="FXB8A7V13K2"/>
        </identifiers>
        <balance>1900000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>317322.35000000</valUSD>
        <pctVal>0.317927193323</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>Put</putOrCall>
            <writtenOrPur>Purchased</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>MXN CALL VERSUS USD PUT</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="PI61910_FXB8A7V13K2_573_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>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <amtCurSold>N/A</amtCurSold>
                  <curSold>USD</curSold>
                  <amtCurPur>N/A</amtCurPur>
                  <curPur>MXN</curPur>
                  <settlementDt>2021-02-24</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>1900000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>24.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-02-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>247168.65000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>KRW/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="B91L0I75IG4ANNXL"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-31358.51000000</valUSD>
        <pctVal>-0.03141828198</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>-744855000.00000000</amtCurSold>
            <curSold>KRW</curSold>
            <amtCurPur>635000.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-07-30</settlementDt>
            <unrealizedAppr>-31358.51000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>

      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2021-03-19</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>
