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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243299"/>
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        <name>NEW RUSSIAN ROUBLE</name>
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          <other otherDesc="FX Forwards" value="CCTRUB__00235759"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>N/A</name>
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          <ticker value="CDX-NAHY"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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      <invstOrSec>
        <name>JAPANESE YEN</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTJPY__00245136"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
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        <title>DAX INDEX FUTURE  SEP20 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="FDXU0"/>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00247144"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>Carnival Corporation</name>
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        <name>MEXICAN PESO</name>
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      <invstOrSec>
        <name>FACEBOOK, INC.</name>
        <lei>BQ4BKCS1HXDV9HN80Z93</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CNY/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Federal Home Loan Banks</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>KOREAN WON</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTKRW__00244736"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>STANDARD BANK</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00243465"/>
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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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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>ROYAL CARIBBEAN CRUISES LTD.</name>
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        <title>ROYAL CARIBBEAN CRUISES LTD COMMON STOCK</title>
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          <isin value="LR0008862868"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ENGIE S.A.</name>
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        <title>ENGIE COMMERCIAL PAPER (ISITC)</title>
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          <isin value="US29287AGN46"/>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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        <assetCat>DIR</assetCat>
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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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <identifiers>
          <isin value="US912828H458"/>
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        <balance>2093200.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name> SOUTH AFRICAN RAND</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: ZAR/USD SETTLE 2020-07-17</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTZAR__00247146"/>
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        <currencyConditional curCd="ZAR" exchangeRt="17.37500000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <cusip>912810RF7</cusip>
        <identifiers>
          <isin value="US912810RF75"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/ZAR SETTLE 2020-07-17</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246028"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>INDIA RUPEE</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTINR__00240701"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
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          <isin value="US9128287D64"/>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/NZD SETTLE 2020-08-06</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244088"/>
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      <invstOrSec>
        <name>CZECH REPUBLIC KORUNA</name>
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          <other otherDesc="FX Forwards" value="CCTCZK__00246301"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTUSD__00245315"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>ALPHABET INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>INDIA RUPEE</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTINR__00241215"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>STANDARD BANK</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246719"/>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>N/A</name>
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        <cusip>CDS103941</cusip>
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          <ticker value="CDX-NAHY"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BRK: CREDIT SUISSE INTERNATIONAL</counterpartyName>
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      <invstOrSec>
        <name>United States of America</name>
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        <cusip>912828QV5</cusip>
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          <isin value="US912828QV50"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00245316"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>Materials Select Sector SPDR</name>
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          <isin value="US81369Y1001"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <ticker value="CDX-NAIG"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BRK: CREDIT SUISSE INTERNATIONAL</counterpartyName>
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        <name>NORWEGIAN CRUISE LINE HOLDINGS LTD.</name>
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      <invstOrSec>
        <name>N/A</name>
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          <ticker value="CDX-NAHY"/>
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              <counterpartyName>BRK: JPMORGAN CHASE BANK, N.A.</counterpartyName>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244556"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>U.S. DOLLARS</name>
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        <name>Japan</name>
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        <name>AMERICAN ELECTRIC POWER COMPANY, INC.</name>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <other otherDesc="FX Forwards" value="CCTUSD__00245318"/>
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      <invstOrSec>
        <name>Japan</name>
        <lei>353800WZS8AXZXFUC241</lei>
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          <isin value="JP1120211G41"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2026-03-10</maturityDt>
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      <invstOrSec>
        <name>Federal National Mortgage Association</name>
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          <isin value="US01F0506760"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
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          <other otherDesc="All Others" value="9294195"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <swapDeriv derivCat="SWP">
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912810PV44"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244252"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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          <other otherDesc="All Others" value="9275951"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>N/A</name>
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        <title>SPI 200 FUTURES   SEP20 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="YAPU0"/>
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        <name>WALGREENS BOOTS ALLIANCE, INC.</name>
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        <name>United States of America</name>
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      <invstOrSec>
        <name>N/A</name>
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          <ticker value="OMXS30N0"/>
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        <name>U.S. DOLLARS</name>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>United States of America</name>
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        <name>CANADIAN DOLLAR</name>
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        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>FTSE 100 IDX FUT  SEP20 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="FFIU0"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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        <name>United States of America</name>
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      <invstOrSec>
        <name>KOREAN WON</name>
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          <other otherDesc="FX Forwards" value="CCTKRW__00241905"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>STANDARD BANK</counterpartyName>
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      <invstOrSec>
        <name>TAIWAN DOLLAR</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTTWD__00246168"/>
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        <currencyConditional curCd="TWD" exchangeRt="29.50450000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>ROYAL BANK OF SCOTLAND</counterpartyName>
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            <amtCurSold>495962.55000000</amtCurSold>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242900"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>991000.00000000</amtCurSold>
            <curSold>CAD</curSold>
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            <settlementDt>2020-08-06</settlementDt>
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        <securityLending>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/ILS SETTLE 2020-08-19</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00247008"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>LYONDELLBASELL INVESTMENT LLC</name>
        <lei>N/A</lei>
        <title>LYONDELLBASELL INVT LLC COMMERCIAL PAPER (ISITC)</title>
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        <identifiers>
          <isin value="US55208UGP66"/>
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        <balance>13500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>BRK: CITIBANK, N.A.</name>
        <lei>N/A</lei>
        <title>BRK: CITIBANK, N.A. PAY: 3-MONTH NZD - BKBM</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="All Others" value="9294285"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BRK: CITIBANK, N.A.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>EURO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: EUR/NOK SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTEUR__00245311"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89035000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TSY INFL IX N/B 0.125000% 04/15/2025</title>
        <cusip>912828ZJ2</cusip>
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          <isin value="US912828ZJ22"/>
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      <invstOrSec>
        <name>APPLE INC.</name>
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          <isin value="US0378331005"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>COLOMBIA PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: COP/USD SETTLE 2020-07-15</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCOP__00246581"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="COP" exchangeRt="3739.28000000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>JP MORGAN</counterpartyName>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912828UH11"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 3-5/8% 04/15/28</title>
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          <isin value="US912810FD55"/>
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        <balance>380800.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>812257.96000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CANADIAN DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CAD/USD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCAD__00245847"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
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          <ticker value="FFIU0"/>
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          <futrDeriv derivCat="FUT">
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        <name>LAS VEGAS SANDS CORP.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246441"/>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244251"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTUSD__00230226"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <other otherDesc="FX Forwards" value="CCTEUR__00246578"/>
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      <invstOrSec>
        <name>MICROSOFT CORPORATION</name>
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        <title>MICROSOFT CORP COMMON STOCK</title>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>KOREAN WON</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTKRW__00242903"/>
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        <name>United States of America</name>
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        <name>U.S. DOLLARS</name>
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        <name>Industrial Select Sector SPDR Fund</name>
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            <rcptCurCd>NZD</rcptCurCd>
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            <curCd>NZD</curCd>
            <unrealizedAppr>31065.00000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/ZAR SETTLE 2020-07-17</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00243129"/>
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        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>9288400.00000000</amtCurSold>
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            <amtCurPur>519187.71000000</amtCurPur>
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            <unrealizedAppr>-14461.19000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TAIWAN DOLLAR</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTTWD__00245314"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.50450000"/>
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        <pctVal>0.001217095536</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>ROYAL BANK OF SCOTLAND</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1109571.57000000</amtCurSold>
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            <amtCurPur>32632500.00000000</amtCurPur>
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            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>9332.99000000</unrealizedAppr>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-3/8% 01/15/25</title>
        <cusip>912810FR4</cusip>
        <identifiers>
          <isin value="US912810FR42"/>
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        <balance>1056900.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1654073.91000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
        <title>BRK: UBS AG PAY: 3-MONTH NZD - BKBM</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="All Others" value="9275980"/>
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        <balance>2240000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.55340000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BRK: UBS AG</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.65000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>NZD</rcptCurCd>
            <notionalAmt>-2240000.00000000</notionalAmt>
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            <unrealizedAppr>137212.73000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUTHWEST AIRLINES CO.</name>
        <lei>UDTZ87G0STFETI6HGH41</lei>
        <title>SOUTHWEST AIRLINES CO COMMON STOCK</title>
        <cusip>844741108</cusip>
        <identifiers>
          <isin value="US8447411088"/>
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        <balance>11032.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>377073.76000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Ishares S&amp;P 500</name>
        <lei>N/A</lei>
        <title>ISHARES CORE S&amp;P 500 ETF MUTUAL FUND</title>
        <cusip>464287200</cusip>
        <identifiers>
          <isin value="US4642872000"/>
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        <balance>53136.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>16455687.84000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW RUSSIAN ROUBLE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: RUB/USD SETTLE 2020-07-14</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTRUB__00246576"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.25440000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>248461.30000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>17088100.00000000</amtCurPur>
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            <settlementDt>2020-07-14</settlementDt>
            <unrealizedAppr>-9011.96000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FMC TECHNOLOGIES, INC.</name>
        <lei>EMQFUEY7DV1MVNKAUT87</lei>
        <title>FMC TECHNOLOGIES INC COMMERCIAL PAPER (ISITC)</title>
        <cusip>3024X2G75</cusip>
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          <isin value="US3024X2G753"/>
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        <balance>10150000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-APCP</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-07</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FTSE/MIB IDX FUT  SEP20 PHYSICAL INDEX FUTURE.</title>
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        <identifiers>
          <ticker value="IFSU0"/>
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        <balance>5.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89035000"/>
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        <assetCat>DE</assetCat>
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        <invCountry>IT</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>HARLEY-DAVIDSON FINANCIAL SERVICES, INC.</name>
        <lei>RLUFFFFW4GRYU77BTS24</lei>
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          <isin value="US41282JH464"/>
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        <assetCat>ABS-APCP</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>DUPONT DE NEMOURS, INC.</name>
        <lei>5493004JF0SDFLM8GD76</lei>
        <title>DUPONT DE NEMOURS INC. COMMERCIAL PAPER (ISITC)</title>
        <cusip>26082MGL5</cusip>
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          <isin value="US26082MGL54"/>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-20</maturityDt>
          <couponKind>None</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/HKD SETTLE 2020-08-31</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243471"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>COLOMBIA PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: COP/USD SETTLE 2020-07-15</title>
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          <other otherDesc="FX Forwards" value="CCTCOP__00243574"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JP MORGAN</counterpartyName>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
        <lei>N/A</lei>
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        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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        <securityLending>
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      <invstOrSec>
        <name>COLOMBIA PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: COP/USD SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCOP__00243297"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3739.28000000"/>
        <valUSD>-487.24000000</valUSD>
        <pctVal>-0.00006353994</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JP MORGAN</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>250700.90000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>936743900.00000000</amtCurPur>
            <curPur>COP</curPur>
            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>-487.24000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KB HOME</name>
        <lei>549300LGUCWQURMWLG09</lei>
        <title>KB HOME COMMON STOCK</title>
        <cusip>48666K109</cusip>
        <identifiers>
          <isin value="US48666K1097"/>
        </identifiers>
        <balance>6761.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>207427.48000000</valUSD>
        <pctVal>0.027050180058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/GBP SETTLE 2020-07-17</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00244415"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9370.88000000</valUSD>
        <pctVal>0.001222036691</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>394900.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>497301.12000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>9370.88000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CNY/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCNH__00246585"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.06775000"/>
        <valUSD>-1022.49000000</valUSD>
        <pctVal>-0.00013334076</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP SECURITIES</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>492554.39000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3482000.00000000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>-1022.49000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW RUSSIAN ROUBLE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: RUB/USD SETTLE 2020-07-09</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTRUB__00232006"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.25440000"/>
        <valUSD>-53083.31000000</valUSD>
        <pctVal>-0.00692248246</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>498703.18000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>31783800.00000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-09</settlementDt>
            <unrealizedAppr>-53083.31000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TAIWAN DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: TWD/USD SETTLE 2020-08-20</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTTWD__00246302"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.50450000"/>
        <valUSD>2096.05000000</valUSD>
        <pctVal>0.000273341458</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>ROYAL BANK OF SCOTLAND</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>420678.95000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>12330100.00000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>2096.05000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: NOK/USD SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTNOK__00245846"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="9.64700000"/>
        <valUSD>-2665.02000000</valUSD>
        <pctVal>-0.00034753963</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>492016.79000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4719800.00000000</amtCurPur>
            <curPur>NOK</curPur>
            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>-2665.02000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)SEP20 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TYU0"/>
        </identifiers>
        <balance>34.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4731843.75000000</valUSD>
        <pctVal>0.617069760688</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>U.S. Treasury Futures</issuerName>
                <issueTitle>US 10 Year Treasury Note Future (consolidated) Sep 2020</issueTitle>
                <identifiers>
                  <isin value="US912828X885"/>
                  <ticker value="TZU0"/>
                  <other otherDesc="Other" value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-24</expDate>
            <notionalAmt>4722343.30000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>9500.45000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDIA RUPEE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: INR/USD SETTLE 2020-07-23</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTINR__00246031"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="INR" exchangeRt="75.50375000"/>
        <valUSD>11488.21000000</valUSD>
        <pctVal>0.001498153229</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD BANK</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>983749.18000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>75306000.00000000</amtCurPur>
            <curPur>INR</curPur>
            <settlementDt>2020-07-23</settlementDt>
            <unrealizedAppr>11488.21000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8%  01/15/2027</title>
        <cusip>912828V49</cusip>
        <identifiers>
          <isin value="US912828V491"/>
        </identifiers>
        <balance>1417100.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1620653.90000000</valUSD>
        <pctVal>0.211346056012</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MSCI EAFE         SEP20 PHYSICAL INDEX FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="MFSU0"/>
        </identifiers>
        <balance>135.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>12004200.00000000</valUSD>
        <pctVal>1.565442396794</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO, INC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>MSCI EAFE MINI FUTURE Sep 2020</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>11974421.70000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>29778.30000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EURO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: EUR/NOK SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTEUR__00247007"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89035000"/>
        <valUSD>-3578.96000000</valUSD>
        <pctVal>-0.00046672462</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>4772900.00000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>437289.19000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>-3578.96000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMAZON.COM, INC.</name>
        <lei>ZXTILKJKG63JELOEG630</lei>
        <title>AMAZON.COM INC COMMON STOCK</title>
        <cusip>023135106</cusip>
        <identifiers>
          <isin value="US0231351067"/>
        </identifiers>
        <balance>571.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1575286.22000000</valUSD>
        <pctVal>0.205429752576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDIA RUPEE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: INR/USD SETTLE 2020-07-23</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTINR__00241104"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="INR" exchangeRt="75.50375000"/>
        <valUSD>10175.11000000</valUSD>
        <pctVal>0.001326914628</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD BANK</counterpartyName>
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            <amtCurSold>982495.75000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>75111800.00000000</amtCurPur>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Spdr S&amp;P Homebuilders Etf</name>
        <lei>N/A</lei>
        <title>XHB US 09/18/20 C50 LONG</title>
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        <identifiers>
          <ticker value="XHB US 09/18/20 C50 Equity"/>
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        <balance>309.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Spdr S&amp;P Homebuilders Etf</issuerName>
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                  <ticker value="XHB-09/2020-C-50"/>
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            <shareNo>30900.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-18540.00000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-5/8% 02/15/2043</title>
        <cusip>912810RA8</cusip>
        <identifiers>
          <isin value="US912810RA88"/>
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        <balance>526300.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>690198.47000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/MXN SETTLE 2020-08-07</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00246029"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8387.13000000</valUSD>
        <pctVal>0.001093747929</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>5487300.00000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>244680.15000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-07</settlementDt>
            <unrealizedAppr>8387.13000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN AIRLINES GROUP INC.</name>
        <lei>N/A</lei>
        <title>AAL US 11/20/20 P10 SHORT</title>
        <cusip>00G992FC9</cusip>
        <identifiers>
          <ticker value="AAL US 11/20/20 P10 Equity"/>
        </identifiers>
        <balance>-1839.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-399063.00000000</valUSD>
        <pctVal>-0.05204096392</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>AMERICAN AIRLINES GROUP INC.</issuerName>
                <issueTitle>AAL Put 10 Nov 2020</issueTitle>
                <identifiers>
                  <cusip value="02376R102"/>
                  <ticker value="AAL-11/2020-P-10"/>
                  <other otherDesc="Other" value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>-183900.00000000</shareNo>
            <exercisePrice>10.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-11-23</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>29424.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/INR SETTLE 2020-07-23</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242901"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1647.16000000</valUSD>
        <pctVal>-0.00021480266</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>16916200.00000000</amtCurSold>
            <curSold>INR</curSold>
            <amtCurPur>221915.83000000</amtCurPur>
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            <settlementDt>2020-07-23</settlementDt>
            <unrealizedAppr>-1647.16000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>N/A</lei>
        <title>US LONG BOND(CBT) SEP20 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="USU0"/>
        </identifiers>
        <balance>2.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>357125.00000000</valUSD>
        <pctVal>0.046571917825</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>U.S. Treasury Futures</issuerName>
                <issueTitle>US Long Bond (CBT) Sep 2020</issueTitle>
                <identifiers>
                  <isin value="US912810FT08"/>
                  <ticker value="UPU0"/>
                  <other otherDesc="Other" value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-24</expDate>
            <notionalAmt>357379.10000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-254.10000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENBRIDGE (U.S.) INC.</name>
        <lei>5493003FRODSVHJWFS32</lei>
        <title>ENBRIDGE U S INC DISC COML PAP COMMERCIAL PAPER (ISITC)</title>
        <cusip>29251UG77</cusip>
        <identifiers>
          <isin value="US29251UG779"/>
        </identifiers>
        <balance>13850000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13849272.88000000</valUSD>
        <pctVal>1.806054458533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-APCP</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-07</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: MYR/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTMYR__00239424"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MYR" exchangeRt="4.28500000"/>
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        <pctVal>0.000812555915</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>306454.57000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1338900.00000000</amtCurPur>
            <curPur>MYR</curPur>
            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>6230.88000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/RUB SETTLE 2020-07-09</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00228450"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>125284.26000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>68648782.88000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>1087763.95000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-09</settlementDt>
            <unrealizedAppr>125284.26000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>S&amp;P/TSX 60 IX FUT SEP20 PHYSICAL INDEX FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SXFU0"/>
        </identifiers>
        <balance>-1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.36200000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P/TSE 60 IX FUT Sep 2020</indexName>
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            <expDate>2020-09-20</expDate>
            <notionalAmt>-135969.16000000</notionalAmt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
        <lei>N/A</lei>
        <title>BRK: JPMORGAN CHASE BANK, N.A. PAY: 3-MONTH NZD - BKBM</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="All Others" value="8932831"/>
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        <balance>3990000.00000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>BRK: JPMORGAN CHASE BANK, N.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <swapFlag>Y</swapFlag>
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                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CHILEAN PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CLP/USD SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCLP__00241692"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
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            <amtCurSold>506707.25000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/TWD SETTLE 2020-08-20</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00243123"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>N/A</lei>
        <title>US 5YR NOTE (CBT) SEP20 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="FVU0"/>
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        <balance>295.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>MORGAN STANLEY &amp; CO, INC</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>U.S. Treasury Futures</issuerName>
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                  <isin value="US912828YV68"/>
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              </otherRefInst>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLOMBIA PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: COP/USD SETTLE 2020-07-15</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCOP__00242781"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CO</invCountry>

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          <other otherDesc="FX Forwards" value="CCTUSD__00244096"/>
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        <name>United States of America</name>
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          <isin value="US912810PS15"/>
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      <invstOrSec>
        <name>N/A</name>
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          <ticker value="JNMU0"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243126"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTNOK__00242645"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>Financial Select Sector SPDR Fund</name>
        <lei>N/A</lei>
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          <isin value="US81369Y6059"/>
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        <balance>59317.00000000</balance>
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        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTNOK__00244253"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="NOK" exchangeRt="9.64700000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00246166"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5707.74000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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        <name>United States of America</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <ticker value="FCEN0"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>N/A</name>
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          <ticker value="MFXIN0"/>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
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          <other otherDesc="FX Forwards" value="CCTNOK__00243021"/>
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        <name>N/A</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00245133"/>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244957"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19397.99000000</valUSD>
        <pctVal>0.002529650952</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>8635500.00000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>515535.65000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>19397.99000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LAS VEGAS SANDS CORP.</name>
        <lei>549300DUOO1KXOHPM605</lei>
        <title>LVS US 09/18/20 P40 SHORT</title>
        <cusip>30P994CN1</cusip>
        <identifiers>
          <ticker value="LVS US 09/18/20 P40 Equity"/>
        </identifiers>
        <balance>-566.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-148292.00000000</valUSD>
        <pctVal>-0.01933844686</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>LAS VEGAS SANDS CORP.</issuerName>
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                <identifiers>
                  <cusip value="517834107"/>
                  <ticker value="LVS-09/2020-P-40"/>
                  <other otherDesc="Other" value="N/A"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>-56600.00000000</shareNo>
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            <expDt>2020-09-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>46678.02000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/CAD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00243470"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7430.55000000</valUSD>
        <pctVal>-0.00096900234</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>718900.00000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>520528.62000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-06</settlementDt>
            <unrealizedAppr>-7430.55000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Energy Select Sector SPDR Fund</name>
        <lei>N/A</lei>
        <title>ENERGY SELECT SECTOR SPDR MUTUAL FUND</title>
        <cusip>81369Y506</cusip>
        <identifiers>
          <isin value="US81369Y5069"/>
        </identifiers>
        <balance>3721.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>140839.85000000</valUSD>
        <pctVal>0.018366627709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/TWD SETTLE 2020-08-20</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242905"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17985.06000000</valUSD>
        <pctVal>-0.00234539373</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>29645600.00000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>998504.55000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>-17985.06000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>iShares MSCI Brazil ETF</name>
        <lei>N/A</lei>
        <title>EWZ US 08/21/20 P20 SHORT</title>
        <cusip>9W09979Q2</cusip>
        <identifiers>
          <ticker value="EWZ US 08/21/20 P20 Equity"/>
        </identifiers>
        <balance>-487.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12175.00000000</valUSD>
        <pctVal>-0.00158771606</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>iShares MSCI Brazil ETF</issuerName>
                <issueTitle>EWZ Put 20 Aug 2020</issueTitle>
                <identifiers>
                  <cusip value="464286400"/>
                  <ticker value="EWZ-08/2020-P-20"/>
                  <other otherDesc="Other" value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>-48700.00000000</shareNo>
            <exercisePrice>20.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8279.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/MYR SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00234412"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>771.32000000</valUSD>
        <pctVal>0.000100586213</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>3182600.00000000</amtCurSold>
            <curSold>MYR</curSold>
            <amtCurPur>744032.73000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>771.32000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CZECH REPUBLIC KORUNA</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CZK/USD SETTLE 2020-07-29</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCZK__00243460"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CZK" exchangeRt="23.72125000"/>
        <valUSD>21344.39000000</valUSD>
        <pctVal>0.002783476869</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CZ</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BANK OF AMERICA</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>517564.26000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>12775939.12000000</amtCurPur>
            <curPur>CZK</curPur>
            <settlementDt>2020-07-29</settlementDt>
            <unrealizedAppr>21344.39000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/INR SETTLE 2020-07-23</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00244741"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-747.27000000</valUSD>
        <pctVal>-0.00009744990</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>37708800.00000000</amtCurSold>
            <curSold>INR</curSold>
            <amtCurPur>497608.87000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-23</settlementDt>
            <unrealizedAppr>-747.27000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
        <title>BRK: UBS AG PAY: 6-MONTH AUD - BBSW</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="All Others" value="8904149"/>
        </identifiers>
        <balance>2860000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.45243000"/>
        <valUSD>108183.33000000</valUSD>
        <pctVal>0.014107959831</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BRK: UBS AG</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.38250000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="N/A" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="0"/>
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            <terminationDt>2030-01-10</terminationDt>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>AUD</rcptCurCd>
            <notionalAmt>-2860000.00000000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>108183.33000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/RUB SETTLE 2020-07-09</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00236684"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6782.20000000</valUSD>
        <pctVal>-0.00088445239</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>17864700.00000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>243687.08000000</amtCurPur>
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            <settlementDt>2020-07-09</settlementDt>
            <unrealizedAppr>-6782.20000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/CLP SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00246577"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>123.58000000</valUSD>
        <pctVal>0.000016115807</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurPur>490954.78000000</amtCurPur>
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            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>123.58000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NIEUW AMSTERDAM RECEIVABLES CORPORATION</name>
        <lei>N/A</lei>
        <title>NIEUW AMSTERDAM RECEIVABLES CO COMMERCIAL PAPER (ISITC)</title>
        <cusip>65409RHH6</cusip>
        <identifiers>
          <isin value="US65409RHH66"/>
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        <balance>13700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13696127.42000000</valUSD>
        <pctVal>1.786083082185</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-APCP</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-17</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 07/15/28</title>
        <cusip>912828Y38</cusip>
        <identifiers>
          <isin value="US912828Y388"/>
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        <balance>675000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>777286.27000000</valUSD>
        <pctVal>0.101364262633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRK: CITIBANK, N.A.</name>
        <lei>N/A</lei>
        <title>BRK: CITIBANK, N.A. PAY: 3-MONTH NZD - BKBM</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="All Others" value="9325167"/>
        </identifiers>
        <balance>1580000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.55340000"/>
        <valUSD>24490.68000000</valUSD>
        <pctVal>0.003193777910</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243128"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name> SOUTH AFRICAN RAND</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTZAR__00242312"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MOTIVA ENTERPRISES LLC</name>
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        <title>MOTIVA ENTERPRISES LLC COMMERCIAL PAPER (ISITC)</title>
        <cusip>61981FGD7</cusip>
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          <isin value="US61981FGD78"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-APCP</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00245138"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTNOK__00242188"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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            <amtCurSold>499960.21000000</amtCurSold>
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            <amtCurPur>5070300.00000000</amtCurPur>
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            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>25731.61000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>iShares MSCI Brazil ETF</name>
        <lei>N/A</lei>
        <title>EWZ US 08/21/20 C34 LONG</title>
        <cusip>3U0997A49</cusip>
        <identifiers>
          <ticker value="EWZ US 08/21/20 C34 Equity"/>
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        <balance>487.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>21428.00000000</valUSD>
        <pctVal>0.002794380273</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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              <otherRefInst>
                <issuerName>iShares MSCI Brazil ETF</issuerName>
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                  <cusip value="464286400"/>
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            <delta>XXXX</delta>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>United States of America</name>
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          <isin value="US912828K338"/>
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        <balance>1260000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BRK: TORONTO DOMINION BANK - NY BRANCH</name>
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          <other otherDesc="All Others" value="8932161"/>
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        <balance>4330000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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          <swapDeriv derivCat="SWP">
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              <counterpartyName>BRK: TORONTO DOMINION BANK - NY BRANCH</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW RUSSIAN ROUBLE</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTRUB__00233021"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244098"/>
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      <invstOrSec>
        <name>EURO</name>
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          <other otherDesc="FX Forwards" value="CCTEUR__00243575"/>
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      <invstOrSec>
        <name>United States of America</name>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>499542.06000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>32071100.00000000</amtCurPur>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN AIRLINES GROUP INC.</name>
        <lei>N/A</lei>
        <title>AMERICAN AIRLINES GROUP INC COMMON STOCK</title>
        <cusip>02376R102</cusip>
        <identifiers>
          <isin value="US02376R1023"/>
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        <balance>21782.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>284690.74000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW RUSSIAN ROUBLE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: RUB/USD SETTLE 2020-07-14</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTRUB__00245849"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.25440000"/>
        <valUSD>-8860.60000000</valUSD>
        <pctVal>-0.00115549215</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>492408.68000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>34508000.00000000</amtCurPur>
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            <unrealizedAppr>-8860.60000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/RUB SETTLE 2020-07-09</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00231348"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>49318.16000000</valUSD>
        <pctVal>0.006431477199</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>36868200.00000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>566223.08000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-09</settlementDt>
            <unrealizedAppr>49318.16000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Vanguard 500 Index Fund</name>
        <lei>N/A</lei>
        <title>VANGUARD S&amp;P 500 ETF MUTUAL FUND</title>
        <cusip>922908363</cusip>
        <identifiers>
          <isin value="US9229083632"/>
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        <balance>58148.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>16480887.64000000</valUSD>
        <pctVal>2.149237787479</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EURO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: EUR/USD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTEUR__00244742"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89035000"/>
        <valUSD>-7424.10000000</valUSD>
        <pctVal>-0.00096816121</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1248816.09000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1104496.99000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-08-06</settlementDt>
            <unrealizedAppr>-7424.10000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MSCI EMGMKT       SEP20 PHYSICAL INDEX FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="MEMU0"/>
        </identifiers>
        <balance>57.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2809245.00000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US MSCI Emerging Markets Equity Index Future Sep 2020</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>2811839.64000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2594.64000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: MYR/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTMYR__00244737"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MYR" exchangeRt="4.28500000"/>
        <valUSD>-2066.14000000</valUSD>
        <pctVal>-0.00026944095</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>239505.30000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1016700.00000000</amtCurPur>
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            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>-2066.14000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW RUSSIAN ROUBLE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: RUB/USD SETTLE 2020-07-14</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTRUB__00243294"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.25440000"/>
        <valUSD>-664.96000000</valUSD>
        <pctVal>-0.00008671603</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>249816.65000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>17780500.00000000</amtCurPur>
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            <settlementDt>2020-07-14</settlementDt>
            <unrealizedAppr>-664.96000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>N/A</lei>
        <title>US 5YR NOTE (CBT) SEP20 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="FVU0"/>
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        <balance>9.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1131679.69000000</valUSD>
        <pctVal>0.147579960873</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>U.S. Treasury Futures</issuerName>
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                  <isin value="US912828YV68"/>
                  <ticker value="FVU0"/>
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            </descRefInstrmnt>
            <expDate>2020-10-03</expDate>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AUSTRALIAN DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: AUD/NZD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTAUD__00245131"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.45243000"/>
        <valUSD>-1347.16000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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            <amtCurSold>762411.95000000</amtCurSold>
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            <amtCurPur>710700.00000000</amtCurPur>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SWEDISH KRONE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: SEK/USD SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTSEK__00243741"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="SEK" exchangeRt="9.31665000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>251754.78000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/COP SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00241697"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19519.51000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>1209575400.00000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912828S505"/>
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        <balance>1762400.00000000</balance>
        <units>PA</units>
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        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/CAD SETTLE 2020-08-06</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00246718"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>664700.00000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW ZEALAND DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: NZD/USD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTNZD__00244087"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>NZ</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1284532.54000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2020900.00000000</amtCurPur>
            <curPur>NZD</curPur>
            <settlementDt>2020-08-06</settlementDt>
            <unrealizedAppr>15940.23000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/RUB SETTLE 2020-07-09</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00244558"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4382.83000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>8769800.00000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>127338.46000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-09</settlementDt>
            <unrealizedAppr>4382.83000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/GBP SETTLE 2020-07-17</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242426"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6243.72000000</valUSD>
        <pctVal>-0.00081423035</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>400900.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>489100.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>-6243.72000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRAZILIAN REAL</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: BRL/USD SETTLE 2020-07-02</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTBRL__00244093"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.49080000"/>
        <valUSD>-24590.29000000</valUSD>
        <pctVal>-0.00320676784</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>538358.78000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2821000.00000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-24590.29000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Republique Francaise</name>
        <lei>N/A</lei>
        <title>EURO-OAT FUTURE   SEP20 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="FOATU0"/>
        </identifiers>
        <balance>2.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89035000"/>
        <valUSD>376593.47000000</valUSD>
        <pctVal>0.049110759925</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>France Govt. Bond Future</issuerName>
                <issueTitle>Eurex Long Term Euro OAT Bond Future Sep 2020</issueTitle>
                <identifiers>
                  <isin value="FR0013407236"/>
                  <ticker value="FOATU0"/>
                  <other otherDesc="Other" value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-11</expDate>
            <notionalAmt>374357.59000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>2235.88000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CANADIAN DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CAD/USD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCAD__00242895"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.36200000"/>
        <valUSD>21627.06000000</valUSD>
        <pctVal>0.002820339268</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1169262.73000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1621585.00000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-08-06</settlementDt>
            <unrealizedAppr>21627.06000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 2-1/2% 01/15/29</title>
        <cusip>912810PZ5</cusip>
        <identifiers>
          <isin value="US912810PZ57"/>
        </identifiers>
        <balance>605100.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>926133.98000000</valUSD>
        <pctVal>0.120775178471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/MYR SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00240493"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-44682.23000000</valUSD>
        <pctVal>-0.00582691534</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>5358100.00000000</amtCurSold>
            <curSold>MYR</curSold>
            <amtCurPur>1206643.40000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>-44682.23000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KOREAN WON</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: KRW/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTKRW__00241570"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1202.85000000"/>
        <valUSD>7632.95000000</valUSD>
        <pctVal>0.000995396906</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD BANK</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>492905.85000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>599965000.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>7632.95000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/CAD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00246027"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1870.78000000</valUSD>
        <pctVal>0.000243964473</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1004800.00000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>739794.51000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-06</settlementDt>
            <unrealizedAppr>1870.78000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TOLL BROTHERS, INC.</name>
        <lei>529900JB6IS9MSZGVR44</lei>
        <title>TOLL BROTHERS INC COMMON STOCK</title>
        <cusip>889478103</cusip>
        <identifiers>
          <isin value="US8894781033"/>
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        <balance>6823.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>222361.57000000</valUSD>
        <pctVal>0.028997703228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HOVNANIAN ENTERPRISES, INC.</name>
        <lei>549300805N4EF0ROBT53</lei>
        <title>HOVNANIAN ENTERPRISES-A COMMON STOCK</title>
        <cusip>442487401</cusip>
        <identifiers>
          <isin value="US4424874018"/>
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        <balance>9507.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>222368.73000000</valUSD>
        <pctVal>0.028998636949</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CNY/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCNH__00246863"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.06775000"/>
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        <pctVal>0.000143033982</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP SECURITIES</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>643018.89000000</amtCurSold>
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            <amtCurPur>4562900.00000000</amtCurPur>
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            <settlementDt>2020-08-13</settlementDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MGM RESORTS INTERNATIONAL</name>
        <lei>54930066VBP7DZEGGJ87</lei>
        <title>MGM RESORTS INTERNATIONAL COMMON STOCK</title>
        <cusip>552953101</cusip>
        <identifiers>
          <isin value="US5529531015"/>
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        <balance>9532.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/INR SETTLE 2020-07-23</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00239555"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17243.91000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>46517700.00000000</amtCurSold>
            <curSold>INR</curSold>
            <amtCurPur>597529.87000000</amtCurPur>
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            <settlementDt>2020-07-23</settlementDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Canada</name>
        <lei>N/A</lei>
        <title>CAN 10YR BOND FUT SEP20 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="CGBU0"/>
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        <balance>112.00000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.36200000"/>
        <valUSD>12648928.05000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Canada Govt. Bond Futures</issuerName>
                <issueTitle>Canadian Govt 10 Year Bond Future Sep 2020</issueTitle>
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                  <isin value="CA135087J397"/>
                  <ticker value="CGBU0"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-24</expDate>
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        <name> SOUTH AFRICAN RAND</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243296"/>
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        <name>AMERICAN AIRLINES GROUP INC.</name>
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        <name> SOUTH AFRICAN RAND</name>
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        <name>N/A</name>
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          <isin value="NLENX8728109"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246861"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>N/A</name>
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          <ticker value="NKU0"/>
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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        <name>United States of America</name>
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          <isin value="US912810QV35"/>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>United Kingdom of Great Britain and Northern Ireland</name>
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        <title>LONG GILT FUTURE  SEP20 FINANCIAL COMMODITY FUTURE.</title>
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          <ticker value="FLGU0"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <futrDeriv derivCat="FUT">
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              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>U.K. Gilt Futures</issuerName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243022"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912828B253"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246169"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BRITISH STERLING POUND</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTGBP__00243937"/>
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      <invstOrSec>
        <name>SPDR S&amp;P 500 ETF Trust</name>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246030"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <other otherDesc="FX Forwards" value="CCTUSD__00230606"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
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          <ticker value="OMXS30N0"/>
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        <name>United States of America</name>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00247145"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>DELTA AIR LINES, INC.</name>
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        <name>HYUNDAI CAPITAL AMERICA</name>
        <lei>549300RIPPWJB5Z0FK07</lei>
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        <name>THE WALT DISNEY COMPANY</name>
        <lei>549300GZKULIZ0WOW665</lei>
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        <name>N/A</name>
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        <name>United States of America</name>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTCAD__00244738"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BROWN BROTHERS</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00243573"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>7459100.00000000</amtCurSold>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <cusip>912810FD5</cusip>
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          <isin value="US912810FD55"/>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/8% 07/15/2025</title>
        <cusip>912828XL9</cusip>
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          <isin value="US912828XL95"/>
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        <payoffProfile>Long</payoffProfile>
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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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTMYR__00241006"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="MYR" exchangeRt="4.28500000"/>
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        <pctVal>0.000511342378</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>246689.66000000</amtCurSold>
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            <unrealizedAppr>3921.10000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      <invstOrSec>
        <name>TRI POINTE GROUP, INC.</name>
        <lei>N/A</lei>
        <title>TRI POINTE GROUP INC COMMON STOCK</title>
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          <isin value="US87265H1095"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
        <title>BRK: UBS AG PAY: 3-MONTH NZD - BKBM</title>
        <cusip>N/A</cusip>
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          <other otherDesc="All Others" value="9601147"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BRK: UBS AG</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>NETFLIX, INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>LAS VEGAS SANDS CORP.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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        <name>LAS VEGAS SANDS CORP.</name>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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      <invstOrSec>
        <name>ISRAELI SHEKEL</name>
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          <other otherDesc="FX Forwards" value="CCTILS__00245853"/>
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        <name>United States of America</name>
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        <name>TAIWAN DOLLAR</name>
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      <invstOrSec>
        <name>N/A</name>
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        <title>EURO STOXX 50     SEP20 PHYSICAL INDEX FUTURE.</title>
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      </invstOrSec>
      <invstOrSec>
        <name> SOUTH AFRICAN RAND</name>
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          <other otherDesc="FX Forwards" value="CCTZAR__00245132"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>INTESA SANPAOLO FUNDING LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00243125"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>SPDR S&amp;P 500 ETF Trust</name>
        <lei>N/A</lei>
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          <ticker value="SPY US 07/10/20 C320 Equity"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <putOrCall>Call</putOrCall>
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      </invstOrSec>
      <invstOrSec>
        <name>EURO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: EUR/JPY SETTLE 2020-08-07</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTEUR__00245686"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BROWN BROTHERS</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/EUR SETTLE 2020-07-15</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00244739"/>
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      <invstOrSec>
        <name>N/A</name>
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        <title>Credit Default Swap</title>
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          <ticker value="ITRAXX-XOVER"/>
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        <assetCat>DCR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>E-MINI RUSS 2000  SEP20 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="RTYU0"/>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/TWD SETTLE 2020-11-10</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00228230"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>BRAZILIAN REAL</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTBRL__00245684"/>
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      <invstOrSec>
        <name>KOREAN WON</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTKRW__00245135"/>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTCZK__00242640"/>
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      <invstOrSec>
        <name>JAPANESE YEN</name>
        <lei>N/A</lei>
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        <name>GILEAD SCIENCES, INC.</name>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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            <amtCurSold>2425700.00000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTMYR__00242785"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>498997.58000000</amtCurSold>
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            <amtCurPur>2165400.00000000</amtCurPur>
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      </invstOrSec>
      <invstOrSec>
        <name>EURO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: EUR/NOK SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTEUR__00243122"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89035000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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            <amtCurSold>7413000.00000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>678345.28000000</amtCurPur>
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            <unrealizedAppr>-6488.54000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SWISS FRANC</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CHF/EUR SETTLE 2020-08-28</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="CHF-OLD"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.94755000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO, INC</counterpartyName>
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            <amtCurSold>1131266.30000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1208400.00000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-08-28</settlementDt>
            <unrealizedAppr>5956.39000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
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        <title>BRK: JPMORGAN CHASE BANK, N.A. PAY: 6-MONTH AUD - BBSW</title>
        <cusip>N/A</cusip>
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          <other otherDesc="All Others" value="9595661"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BRK: JPMORGAN CHASE BANK, N.A.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <unrealizedAppr>5460.88000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/SEK SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242650"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10998.43000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>2441500.00000000</amtCurSold>
            <curSold>SEK</curSold>
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            <unrealizedAppr>-10998.43000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CANADIAN DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CAD/USD SETTLE 2020-08-06</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCAD__00243935"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.36200000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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            <amtCurSold>501781.53000000</amtCurSold>
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            <amtCurPur>683300.00000000</amtCurPur>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>PULTEGROUP, INC.</name>
        <lei>N/A</lei>
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          <isin value="US7458671010"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SWISS FRANC</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CHF/USD SETTLE 2020-08-28</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="CHF-OLD"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>MORGAN STANLEY &amp; CO, INC</counterpartyName>
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            <amtCurSold>249773.45000000</amtCurSold>
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        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-3/4% 02/15/2045</title>
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          <isin value="US912810RL44"/>
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        <assetCat>DBT</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SPI 200 FUTURES   SEP20 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="YAPU0"/>
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        <balance>-11.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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                <indexName>SPI 200 Future Sep 2020</indexName>
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      <invstOrSec>
        <name>KOREAN WON</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: KRW/USD SETTLE 2020-08-13</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTKRW__00241801"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>STANDARD BANK</counterpartyName>
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            <amtCurSold>541815.21000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LENNAR CORPORATION</name>
        <lei>529900G61XVRLX5TJX09</lei>
        <title>LENNAR CORP-A COMMON STOCK</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BRAZILIAN REAL</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/KRW SETTLE 2020-08-13</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242033"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: NOK/SEK SETTLE 2020-07-15</title>
        <cusip>N/A</cusip>
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        <assetCat>DFE</assetCat>
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        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>N/A</lei>
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          <ticker value="AULU0"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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                <issuerName>U.S. Treasury Futures</issuerName>
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      <invstOrSec>
        <name>Federal Home Loan Banks</name>
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        <identifiers>
          <isin value="US3130AGLD58"/>
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        <balance>6855000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>

        <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>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00234027"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name> SOUTH AFRICAN RAND</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTZAR__00245848"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.37500000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MSCI SING IX ETS  JUL20 PHYSICAL INDEX FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="SSGN0"/>
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        <balance>64.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.39505000"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>MSCI SING IX ETS Jul 2020</indexName>
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            <expDate>2020-08-01</expDate>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MALAYSIAN RINGGIT</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: MYR/USD SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTMYR__00244094"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MYR" exchangeRt="4.28500000"/>
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        <pctVal>-0.00037830546</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>755620.68000000</amtCurSold>
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            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>-2900.94000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NASDAQ 100 E-MINI SEP20 PHYSICAL INDEX FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="NQU0"/>
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        <balance>10.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2029450.00000000</valUSD>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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              <indexBasketInfo>
                <indexName>NASDAQ 100 E-MINI Sep 2020</indexName>
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            <expDate>2020-09-21</expDate>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Credit Default Swap</title>
        <cusip>CDS939442</cusip>
        <identifiers>
          <ticker value="CDX-NAIG"/>
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        <balance>-1170000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>BRK: MORGAN STANLEY</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>LAS VEGAS SANDS CORP.</name>
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        <title>LVS US 09/18/20 P35 SHORT</title>
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          <ticker value="LVS US 09/18/20 P35 Equity"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <otherRefInst>
                <issuerName>LAS VEGAS SANDS CORP.</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/RUB SETTLE 2020-07-09</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00242427"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTUSD__00239766"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>COLOMBIA PESO</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTCOP__00241910"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JP MORGAN</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00246167"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Spdr S&amp;P Homebuilders Etf</name>
        <lei>N/A</lei>
        <title>XHB US 09/18/20 P37 SHORT</title>
        <cusip>30B99WS64</cusip>
        <identifiers>
          <ticker value="XHB US 09/18/20 P37 Equity"/>
        </identifiers>
        <balance>-309.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-43878.00000000</valUSD>
        <pctVal>-0.00572203741</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Spdr S&amp;P Homebuilders Etf</issuerName>
                <issueTitle>XHB Put 37 Sep 2020</issueTitle>
                <identifiers>
                  <cusip value="78464A888"/>
                  <ticker value="XHB-09/2020-P-37"/>
                  <other otherDesc="Other" value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>-30900.00000000</shareNo>
            <exercisePrice>37.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2781.00000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/MYR SETTLE 2020-08-13</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00233027"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17516.89000000</valUSD>
        <pctVal>0.002284340669</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2614000.00000000</amtCurSold>
            <curSold>MYR</curSold>
            <amtCurPur>627987.99000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>17516.89000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/INR SETTLE 2020-07-23</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00242648"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7214.94000000</valUSD>
        <pctVal>-0.00094088510</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>56095500.00000000</amtCurSold>
            <curSold>INR</curSold>
            <amtCurPur>734138.20000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-23</settlementDt>
            <unrealizedAppr>-7214.94000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <signature>
      <ncom:dateSigned>2020-06-30</ncom:dateSigned>
      <ncom:nameOfApplicant>SEI INSTITUTIONAL MANAGED TRUST</ncom:nameOfApplicant>
      <ncom:signature>James Hoffmayer</ncom:signature>
      <ncom:signerName>James Hoffmayer</ncom:signerName>
      <ncom:title>CFO</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
