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        <name>BRITISH STERLING POUND</name>
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        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
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          <other otherDesc="FX Forwards" value="CCTGBP__00279247"/>
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          <other otherDesc="FX Forwards" value="CCTGBP__00273477"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>JP MORGAN</counterpartyName>
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        <name>AMAZON.COM, INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>MARKETAXESS HOLDINGS INC.</name>
        <lei>5493002U1CA1XJOVID83</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
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          <isin value="US912810FH69"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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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__00272168"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CHILEAN PESO</name>
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      <invstOrSec>
        <name>N/A</name>
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        <title>MSCI EAFE         MAR21 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="MFSH1"/>
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      <invstOrSec>
        <name>LAS VEGAS SANDS CORP.</name>
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        <name>CNPC FINANCE (HK) LIMITED</name>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00273479"/>
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTUSD__00278733"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTAUD__00275397"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>FX/JPY/USDVARSWAP</name>
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          <other otherDesc="Options" value="FV1096787"/>
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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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                <issuerName>N/A</issuerName>
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        <name>PFIZER INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

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          <isCashCollateral>N</isCashCollateral>
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        <name>AMERICAN EXPRESS COMPANY</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <other otherDesc="FX Forwards" value="CCTTHB__00271063"/>
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        <securityLending>
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTCOP__00270800"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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      <invstOrSec>
        <name>United States of America</name>
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        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
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        <name>AMERICAN HONDA FINANCE CORPORATION</name>
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      <invstOrSec>
        <name>TESLA, INC.</name>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00271905"/>
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        <name>United States of America</name>
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        <name>HYUNDAI CAPITAL AMERICA</name>
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        <name>Xtrackers Hvst CSI 300 China A-Shs ETF</name>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>AU</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>Australia Govt. Bond Futures</issuerName>
                <issueTitle>AUST 3YR BOND FUT (consolidated) Mar 2021</issueTitle>
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                  <ticker value="YTH1"/>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-03-18</expDate>
            <notionalAmt>1602310.82000000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>28874.73000000</unrealizedAppr>
          </futrDeriv>
        </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 2021-03-25</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00272966"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-11182.22000000</valUSD>
        <pctVal>-0.00142391725</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>1556300.00000000</amtCurSold>
            <curSold>MYR</curSold>
            <amtCurPur>377834.43000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-03-25</settlementDt>
            <unrealizedAppr>-11182.22000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SWEDISH KRONE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: SEK/EUR SETTLE 2021-01-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTSEK__00275395"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="8.21255000"/>
        <valUSD>10993.39000000</valUSD>
        <pctVal>0.001399872093</pctVal>
        <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>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>421517.02000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>4325300.00000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2021-01-15</settlementDt>
            <unrealizedAppr>10993.39000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DELTA AIR LINES, INC.</name>
        <lei>Q2CCMS6R0AS67HJMBN42</lei>
        <title>DELTA AIR LINES INC COMMON STOCK</title>
        <cusip>247361702</cusip>
        <identifiers>
          <isin value="US2473617023"/>
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        <balance>1065.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>42823.65000000</valUSD>
        <pctVal>0.005453061572</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>N/A</name>
        <lei>N/A</lei>
        <title>Credit Default Swap</title>
        <cusip>CD1082836</cusip>
        <identifiers>
          <ticker value="CDX-NAIG"/>
        </identifiers>
        <balance>-7250000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>177634.30000000</valUSD>
        <pctVal>0.022619528583</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BRK: BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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            <upfrontPmnt>164483.25000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-7250000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13151.05000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO &amp; CO COMMON STOCK</title>
        <cusip>949746101</cusip>
        <identifiers>
          <isin value="US9497461015"/>
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        <balance>36034.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1087506.12000000</valUSD>
        <pctVal>0.138480438553</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>BioNTech SE</name>
        <lei>894500UZJ5LG1F8J1U58</lei>
        <title>BIONTECH SE-ADR DEPOSITARY RECEIPT</title>
        <cusip>09075V102</cusip>
        <identifiers>
          <isin value="US09075V1026"/>
        </identifiers>
        <balance>2476.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>201843.52000000</valUSD>
        <pctVal>0.025702272984</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>ISRAELI SHEKEL</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: ILS/USD SETTLE 2021-01-21</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTILS__00277045"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.21080000"/>
        <valUSD>6794.86000000</valUSD>
        <pctVal>0.000865241284</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK SECURITIES, INC.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>506995.87000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1648600.00000000</amtCurPur>
            <curPur>ILS</curPur>
            <settlementDt>2021-01-21</settlementDt>
            <unrealizedAppr>6794.86000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LAS VEGAS SANDS CORP.</name>
        <lei>549300DUOO1KXOHPM605</lei>
        <title>LAS VEGAS SANDS CORP COMMON STOCK</title>
        <cusip>517834107</cusip>
        <identifiers>
          <isin value="US5178341070"/>
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        <balance>38816.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>2313433.60000000</valUSD>
        <pctVal>0.294587123327</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>POLISH ZLOTY</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: PLN/USD SETTLE 2021-03-24</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTPZL__00278725"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.72600000"/>
        <valUSD>-15585.33000000</valUSD>
        <pctVal>-0.00198459879</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>PA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO, INC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>1518014.72000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>5591000.00000000</amtCurPur>
            <curPur>PLN</curPur>
            <settlementDt>2021-03-24</settlementDt>
            <unrealizedAppr>-15585.33000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BRITISH STERLING POUND</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: GBP/USD SETTLE 2021-01-21</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTGBP__00277913"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.73156000"/>
        <valUSD>2844.31000000</valUSD>
        <pctVal>0.000362187659</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JP MORGAN</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>255244.20000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>188800.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2021-01-21</settlementDt>
            <unrealizedAppr>2844.31000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLOMBIA PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: COP/USD SETTLE 2021-01-14</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCOP__00273999"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3420.50000000"/>
        <valUSD>26158.39000000</valUSD>
        <pctVal>0.003330947065</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>ROYAL BANK OF SCOTLAND</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>434366.92000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1574580100.00000000</amtCurPur>
            <curPur>COP</curPur>
            <settlementDt>2021-01-14</settlementDt>
            <unrealizedAppr>26158.39000000</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 10YR NOTE (CBT)MAR21 FINANCIAL COMMODITY FUTURE.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <ticker value="TYH1"/>
        </identifiers>
        <balance>30.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4142343.75000000</valUSD>
        <pctVal>0.527476184813</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>
                <issueTitle>US 10 Year Treasury Note Future (consolidated) Mar 2021</issueTitle>
                <identifiers>
                  <isin value="US9128283F58"/>
                  <ticker value="TZH1"/>
                  <other otherDesc="Other" value="N/A"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-03-25</expDate>
            <notionalAmt>4134501.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>7842.75000000</unrealizedAppr>
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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>Credit Default Swap</title>
        <cusip>CD1065168</cusip>
        <identifiers>
          <ticker value="CDX-NAIG"/>
        </identifiers>
        <balance>-1670000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>27310.09000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</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>
              <counterpartyLei>N/A</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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        <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 2021-01-27</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTTWD__00270448"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="TWD" exchangeRt="28.09800000"/>
        <valUSD>1370.45000000</valUSD>
        <pctVal>0.000174509838</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>CITIGROUP GLOBAL MARKETS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>518263.51000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>14534700.00000000</amtCurPur>
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            <settlementDt>2021-01-27</settlementDt>
            <unrealizedAppr>1370.45000000</unrealizedAppr>
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        </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 2021-04-22</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTKRW__00280224"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1086.30000000"/>
        <valUSD>36.21000000</valUSD>
        <pctVal>0.000004610895</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">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>APPLE INC.</name>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00270799"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>United States of America</name>
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      <invstOrSec>
        <name>GILEAD SCIENCES, INC.</name>
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        <name>United States of America</name>
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        <name>BRK: UBS AG</name>
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        <name>U.S. DOLLARS</name>
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        <name>N/A</name>
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        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTUSD__00275646"/>
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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="YAPH1"/>
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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      <invstOrSec>
        <name>BRITISH STERLING POUND</name>
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          <other otherDesc="FX Forwards" value="CCTGBP__00272717"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>JP MORGAN</counterpartyName>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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          <other otherDesc="All Others" value="9851945"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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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__00277049"/>
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        <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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        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>Energy Select Sector SPDR Fund</name>
        <lei>N/A</lei>
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          <isin value="US81369Y5069"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>Ishares S&amp;P 500</name>
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        <title>ISHARES CORE S&amp;P 500 ETF MUTUAL FUND</title>
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          <isin value="US4642872000"/>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US9128282L36"/>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTUSD__00269910"/>
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        <name>BRK: ANZ NATIONAL BANK LIMITED</name>
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      <invstOrSec>
        <name>CATERPILLAR INC.</name>
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      <invstOrSec>
        <name>NORWEIGAN KRONE</name>
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          <other otherDesc="FX Forwards" value="CCTNOK__00273478"/>
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        <cusip>N/A</cusip>
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          <other otherDesc="FX Forwards" value="CCTJPY__00277043"/>
        </identifiers>
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        <pctVal>0.000869544023</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BROWN BROTHERS</counterpartyName>
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            <amtCurSold>1103322.87000000</amtCurSold>
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            <amtCurPur>114523700.00000000</amtCurPur>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <identifiers>
          <ticker value="OMXS30F1"/>
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        <assetCat>DE</assetCat>
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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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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>VISA INC.</name>
        <lei>549300JZ4OKEHW3DPJ59</lei>
        <title>VISA INC-CLASS A SHARES COMMON STOCK</title>
        <cusip>92826C839</cusip>
        <identifiers>
          <isin value="US92826C8394"/>
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        <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>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW RUSSIAN ROUBLE</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTRUB__00271904"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="73.96440000"/>
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        <pctVal>0.003402616496</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>HSBC</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <amtCurSold>499596.72000000</amtCurSold>
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            <unrealizedAppr>26721.22000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Federal Home Loan Banks</name>
        <lei>N/A</lei>
        <title>FEDERAL HOME LOAN BANK 1.375000% 02/17/2023</title>
        <cusip>3130AJ7E3</cusip>
        <identifiers>
          <isin value="US3130AJ7E30"/>
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        <balance>4655000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4775549.56000000</valUSD>
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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>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/NZD SETTLE 2021-03-05</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00278458"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-52279.22000000</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>7415000.00000000</amtCurSold>
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            <amtCurPur>5286316.63000000</amtCurPur>
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            <unrealizedAppr>-52279.22000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <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="9773835"/>
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        <balance>630000.00000000</balance>
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        <currencyConditional curCd="AUD" exchangeRt="1.29592000"/>
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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>
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        <securityLending>
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      <invstOrSec>
        <name>Industrial Select Sector SPDR Fund</name>
        <lei>N/A</lei>
        <title>INDUSTRIAL SELECT SECT SPDR MUTUAL FUND</title>
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          <isin value="US81369Y7040"/>
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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>Agricultural Bank of China (New York Branch)</name>
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          <isin value="US00850UP400"/>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>None</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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          <other otherDesc="All Others" value="9967631"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BRK: CITIBANK, N.A.</name>
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          <other otherDesc="All Others" value="9773833"/>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00276492"/>
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        <name>Federal Home Loan Banks</name>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>KOREAN WON</name>
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          <other otherDesc="FX Forwards" value="CCTKRW__00269900"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>Repubblica Italiana</name>
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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__00278728"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00277050"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>CANADIAN DOLLAR</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="FX Forwards" value="CCTCAD__00276209"/>
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        <isRestrictedSec>N</isRestrictedSec>

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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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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTUSD__00277048"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>INDIA RUPEE</name>
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          <other otherDesc="FX Forwards" value="CCTINR__00270192"/>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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        <name>INTESA SANPAOLO FUNDING LLC</name>
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        <name>N/A</name>
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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        <name>PULTEGROUP, INC.</name>
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      <invstOrSec>
        <name>JAPANESE YEN</name>
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        <name>BRK: CITIBANK, N.A.</name>
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        <name>Invesco QQQ Trust Series 1</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>United States of America</name>
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        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
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        <name>N/A</name>
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        <name>United States of America</name>
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        <name>KB HOME</name>
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      </invstOrSec>
      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
        <title>BRK: UBS AG PAY: 6M AUD BBSW</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="All Others" value="9948711"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>NETFLIX, INC.</name>
        <lei>549300Y7VHGU0I7CE873</lei>
        <title>NETFLIX INC COMMON STOCK</title>
        <cusip>64110L106</cusip>
        <identifiers>
          <isin value="US64110L1061"/>
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        <balance>878.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>474760.94000000</valUSD>
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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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <cusip>912828SA9</cusip>
        <identifiers>
          <isin value="US912828SA95"/>
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        <balance>1943900.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2276389.40000000</valUSD>
        <pctVal>0.289870003150</pctVal>
        <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>
          <annualizedRt>0.12500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/2% 01/15/2028</title>
        <cusip>9128283R9</cusip>
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          <isin value="US9128283R96"/>
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        <balance>2704100.00000000</balance>
        <units>PA</units>
        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NIO INC.</name>
        <lei>549300JBU4TV5OCKJV96</lei>
        <title>NIO INC - ADR DEPOSITARY RECEIPT</title>
        <cusip>62914V106</cusip>
        <identifiers>
          <isin value="US62914V1061"/>
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        <balance>6622.00000000</balance>
        <units>NS</units>
        <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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. TREASURY INFLATION-PROTECTED SECURITIES 0-1/8% 04/15/22</title>
        <cusip>912828X39</cusip>
        <identifiers>
          <isin value="US912828X398"/>
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        <balance>3563600.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3895547.18000000</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>2022-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/INR SETTLE 2021-01-15</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="FX Forwards" value="CCTUSD__00275642"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-9413.46000000</valUSD>
        <pctVal>-0.00119868757</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>55640700.00000000</amtCurSold>
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            <settlementDt>2021-01-15</settlementDt>
            <unrealizedAppr>-9413.46000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>OMXS30 IND FUTURE JAN21 PHYSICAL INDEX FUTURE.</title>
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        <identifiers>
          <ticker value="OMXS30F1"/>
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        <balance>-39.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="8.21255000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
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            <payOffProf>Short</payOffProf>
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      <invstOrSec>
        <name>TESLA, INC.</name>
        <lei>54930043XZGB27CTOV49</lei>
        <title>TSLA US 01/15/21 P550 LONG</title>
        <cusip>10K99L649</cusip>
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          <ticker value="TSLA US 01/15/21 P550 Equity"/>
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        <curCd>USD</curCd>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>TESLA, INC.</issuerName>
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            <delta>XXXX</delta>
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        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
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          <other otherDesc="All Others" value="9901199"/>
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        <balance>930000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
        <title>BRK: UBS AG PAY: 3-MONTH NZD - BKBM</title>
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          <other otherDesc="All Others" value="10247297"/>
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      <invstOrSec>
        <name>EURO</name>
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          <other otherDesc="FX Forwards" value="CCTEUR__00277909"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Japan</name>
        <lei>353800WZS8AXZXFUC241</lei>
        <title>Japanese Government CPI Linked Bond .100000% 03/10/2027</title>
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          <isin value="JP1120221H48"/>
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        <balance>1083000000.00000000</balance>
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        <issuerCat>USGA</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
        <title>BRK: UBS AG PAY: 6M AUD BBSW</title>
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          <other otherDesc="All Others" value="IRS106786"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
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      <invstOrSec>
        <name>TAIWAN DOLLAR</name>
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          <other otherDesc="FX Forwards" value="CCTTWD__00275645"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>VIATRIS INC.</name>
        <lei>254900ZZTSW7NL773X71</lei>
        <title>VIATRIS INC COMMON STOCK</title>
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          <isin value="US92556V1061"/>
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        <curCd>USD</curCd>
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        <assetCat>EC</assetCat>
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        <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>N/A</name>
        <lei>N/A</lei>
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          <ticker value="SXFH1"/>
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        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO, INC</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>S&amp;P/TSE 60 IX FUT Mar 2021</indexName>
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            <expDate>2021-03-21</expDate>
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            <curCd>CAD</curCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LAS VEGAS SANDS CORP.</name>
        <lei>549300DUOO1KXOHPM605</lei>
        <title>LVS US 02/19/21 P36 SHORT</title>
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          <ticker value="LVS US 02/19/21 P36 Equity"/>
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        <balance>-154.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-4312.00000000</valUSD>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <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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                  <cusip value="517834107"/>
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            <delta>XXXX</delta>
            <unrealizedAppr>24794.00000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AUSTRALIAN DOLLAR</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: AUD/USD SETTLE 2021-01-12</title>
        <cusip>N/A</cusip>
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          <other otherDesc="FX Forwards" value="CCTAUD__00274756"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="AUD" exchangeRt="1.29592000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>ROYAL BANK OF SCOTLAND</counterpartyName>
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            <amtCurSold>506965.10000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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          <other otherDesc="All Others" value="9999647"/>
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        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>BRK: UBS AG</counterpartyName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="All Others" value="IRS112038"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>BRK: UBS AG</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
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          <isin value="US6174464486"/>
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        <payoffProfile>Long</payoffProfile>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912828S505"/>
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        <balance>2269300.00000000</balance>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: USD/INR SETTLE 2021-01-15</title>
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          <other otherDesc="FX Forwards" value="CCTUSD__00268485"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>Federal Home Loan Banks</name>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SOUTHWEST AIRLINES CO.</name>
        <lei>UDTZ87G0STFETI6HGH41</lei>
        <title>SOUTHWEST AIRLINES CO COMMON STOCK</title>
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      <invstOrSec>
        <name>TESLA, INC.</name>
        <lei>54930043XZGB27CTOV49</lei>
        <title>TSLA US 01/15/21 C720 SHORT</title>
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          <ticker value="TSLA US 01/15/21 C720 Equity"/>
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        <name>FX/EUR/GBPVARSWAP</name>
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      <invstOrSec>
        <name>THE WALT DISNEY COMPANY</name>
        <lei>549300GZKULIZ0WOW665</lei>
        <title>WALT DISNEY CO/THE COMMON STOCK</title>
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        <name>United States of America</name>
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        <name>JPMORGAN CHASE &amp; CO.</name>
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        <name>LAS VEGAS SANDS CORP.</name>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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        <name>CITIGROUP INC.</name>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00271365"/>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912828UH11"/>
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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__00277686"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>BRK: JPMORGAN CHASE BANK, N.A.</name>
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        <name>TOLL BROTHERS, INC.</name>
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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00275647"/>
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        <name>United Kingdom of Great Britain and Northern Ireland</name>
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        <title>LONG GILT FUTURE  MAR21 FINANCIAL COMMODITY FUTURE.</title>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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          <other otherDesc="FX Forwards" value="CCTUSD__00275910"/>
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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>N/A</name>
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          <ticker value="STXEH1"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Short</payOffProf>
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              <indexBasketInfo>
                <indexName>DJ EURO STOXX 50 FUTR Mar 2021</indexName>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="STXEH1"/>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>DJ EURO STOXX 50 FUTR Mar 2021</indexName>
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            <expDate>2021-03-22</expDate>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>TAIWAN DOLLAR</name>
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          <other otherDesc="FX Forwards" value="CCTTWD__00278730"/>
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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">
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              <counterpartyName>CITIGROUP GLOBAL MARKETS</counterpartyName>
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            <amtCurSold>1309211.80000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FACEBOOK, INC.</name>
        <lei>BQ4BKCS1HXDV9HN80Z93</lei>
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          <isin value="US30303M1027"/>
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        <assetCat>EC</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>N/A</lei>
        <title>US 5YR NOTE (CBT) MAR21 FINANCIAL COMMODITY FUTURE.</title>
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          <ticker value="FVH1"/>
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        <balance>450.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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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.S. Treasury Futures</issuerName>
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                  <isin value="US912828ZT04"/>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Credit Default Swap</title>
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          <ticker value="ITRAXX-XOVER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>BRK: DEUTSCHE BANK AG LONDON</counterpartyName>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00272167"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
        <name>Ishares S&amp;P 500</name>
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          <isin value="US4642872000"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>MEDTRONIC PUBLIC LIMITED COMPANY</name>
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        <title>MEDTRONIC PLC COMMON STOCK</title>
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          <isin value="IE00BTN1Y115"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FTSE 100 IDX FUT  MAR21 PHYSICAL INDEX FUTURE.</title>
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          <ticker value="FFIH1"/>
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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      <invstOrSec>
        <name>LENNAR CORPORATION</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>SINGAPORE DOLLAR</name>
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        <name>BRK: UBS AG</name>
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        <title>BRK: UBS AG PAY: 3-MONTH NZD - BKBM</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>United States of America</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Republique Francaise</name>
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          <ticker value="FOATH1"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>France Govt. Bond Future</issuerName>
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      <invstOrSec>
        <name>WALGREENS BOOTS ALLIANCE, INC.</name>
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        <title>WALGREENS BOOTS ALLIANCE 0% CP 2/3/2021 COMMERCIAL PAPER (ISITC)</title>
        <cusip>93142WP31</cusip>
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          <isin value="US93142WP315"/>
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        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>NEW ZEALAND DOLLAR</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTNZD__00278457"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>ENERGY TRANSFER OPERATING, L.P.</name>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MARATHON PETROLEUM CORPORATION</name>
        <lei>3BNYRYQHD39K4LCKQF12</lei>
        <title>MARATHON PETE CORP COMMERCIAL PAPER (ISITC)</title>
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          <isin value="US56585CP288"/>
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        <curCd>USD</curCd>
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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>
          <annualizedRt>0.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHILEAN PESO</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: CLP/USD SETTLE 2021-01-14</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTCLP__00277908"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CLP" exchangeRt="710.50000000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>505898.69000000</amtCurSold>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CAC40 10 EURO FUT JAN21 PHYSICAL INDEX FUTURE.</title>
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        <identifiers>
          <ticker value="FCEF1"/>
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        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.81729000"/>
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        <assetCat>DE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>GOLDMAN, SACHS &amp; CO.</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CAC40 10 EURO FUT Jan 2021</indexName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>INDIA RUPEE</name>
        <lei>N/A</lei>
        <title>FX Forward Contract: INR/USD SETTLE 2021-01-15</title>
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        <identifiers>
          <other otherDesc="FX Forwards" value="CCTINR__00264853"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="N/A" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>CANADIAN DOLLAR</name>
        <lei>N/A</lei>
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          <other otherDesc="FX Forwards" value="CCTCAD__00276208"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
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        <name>United States of America</name>
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        <name>BRK: UBS AG</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>BRK: MORGAN STANLEY &amp; CO. LLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>Moderna Inc</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GENERAL MOTORS FINANCIAL COMPANY, INC.</name>
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        <title>GENERAL MTRS FINL CO INC COMMERCIAL PAPER (ISITC)</title>
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          <isin value="US37046TNB60"/>
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        <curCd>USD</curCd>
        <valUSD>3149528.38000000</valUSD>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Federal Home Loan Banks</name>
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        <curCd>USD</curCd>
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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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        <name>United States of America</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MEXICAN PESO</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00280223"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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      <invstOrSec>
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          <other otherDesc="FX Forwards" value="CCTUSD__00276494"/>
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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <name>Materials Select Sector SPDR</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>NORWEIGAN KRONE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00278732"/>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
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      <invstOrSec>
        <name>BRK: UBS AG</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Japan</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>U.S. DOLLARS</name>
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          <other otherDesc="FX Forwards" value="CCTUSD__00275053"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>BARCLAYS CAPITAL INC.</counterpartyName>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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    <signature>
      <ncom:dateSigned>2020-12-31</ncom:dateSigned>
      <ncom:nameOfApplicant>SEI INSTITUTIONAL MANAGED TRUST</ncom:nameOfApplicant>
      <ncom:signature>Peter Rodriguez</ncom:signature>
      <ncom:signerName>Peter Rodriguez</ncom:signerName>
      <ncom:title>CFO</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
