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        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>Bayer US Finance II LLC</title>
        <cusip>07274NAL7</cusip>
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          <isin value="US07274NAL73"/>
          <other otherDesc="SEDOL" value="BYZMHK7"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>274351.20000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
        <lei>5493003GCX71N8988W38</lei>
        <title>USD/PHP FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2209200568101"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>17775.59000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</counterpartyName>
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            <amtCurPur>909000.00000000</amtCurPur>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Danske Bank A/S</name>
        <lei>MAES062Z21O4RZ2U7M96</lei>
        <title>Danske Bank A/S</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DK0010274414"/>
          <ticker value="DANSKE"/>
          <other otherDesc="SEDOL" value="4588825"/>
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        <balance>151100.00000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="7.58650000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317U06PA0"/>
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        <balance>-2100000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS BANK USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>GOLDMAN SACHS BANK USA</counterpartyName>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS BANK USA</name>
                    <lei>KD3XUN7C6T14HNAYLU02</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="SW317U06PA0SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <invOthCountry>US</invOthCountry>
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                  <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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      </invstOrSec>
      <invstOrSec>
        <name>Kingfisher PLC</name>
        <lei>213800KBMEV7I92FY281</lei>
        <title>Kingfisher PLC</title>
        <cusip>000000000</cusip>
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          <isin value="GB0033195214"/>
          <ticker value="KGF"/>
          <other otherDesc="SEDOL" value="3319521"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Volvo AB</name>
        <lei>549300HGV012CNC8JD22</lei>
        <title>Volvo AB</title>
        <cusip>928856301</cusip>
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          <isin value="SE0000115446"/>
          <ticker value="VOLVB"/>
          <other otherDesc="SEDOL" value="B1QH830"/>
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        <balance>278600.00000000</balance>
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        <currencyConditional curCd="SEK" exchangeRt="11.09765000"/>
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        <pctVal>0.072395052899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Hologic Inc</name>
        <lei>549300DYP6F5ZJL0LB74</lei>
        <title>Hologic Inc</title>
        <cusip>436440101</cusip>
        <identifiers>
          <isin value="US4364401012"/>
          <ticker value="HOLX"/>
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        <balance>93711.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>6046233.72000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>iShares iBoxx $ Investment Grade Corporate Bond ETF</name>
        <lei>549300FYCXFXG8POR355</lei>
        <title>iShares iBoxx $ Investment Grade Corporate Bond ETF</title>
        <cusip>464287242</cusip>
        <identifiers>
          <isin value="US4642872422"/>
          <ticker value="LQD"/>
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        <balance>233947.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>23967870.15000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LOSULGO1 VS BNT1S</title>
        <cusip>000000000</cusip>
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          <ticker value="ABEJ23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00HT47JG6"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3552.53000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>ICE FUTURES EUROPE</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
        <lei>5493003GCX71N8988W38</lei>
        <title>USD/CNH FORWARD</title>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="S6D93ME6O71M09TG"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>Stanley Black &amp; Decker Inc</name>
        <lei>549300DJ09SMTO561131</lei>
        <title>Stanley Black &amp; Decker Inc</title>
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          <isin value="US8545021011"/>
          <ticker value="SWK"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>American Home Mortgage Assets</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Assets Trust 2007-1</title>
        <cusip>02660BAA0</cusip>
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          <isin value="US02660BAA08"/>
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        <balance>1196184.77000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <title>CDS PETROLEOS MEXICANOS SA</title>
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                <issuerName>UNITED MEXICAN STATES</issuerName>
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      <invstOrSec>
        <name>LAMB WESTON HLD</name>
        <lei>5493005SMYID1D2OY946</lei>
        <title>Lamb Weston Holdings Inc</title>
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          <isin value="US513272AD65"/>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
        <lei>5493008GFNDTXFPHWI47</lei>
        <title>NYMEX Henry Hub Natural Gas</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>NATURAL GAS</issuerName>
                <issueTitle>NATURAL GAS</issueTitle>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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        <name>HarborView Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>Great Hall Mortgages Plc</name>
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      <invstOrSec>
        <name>HSBC BANK PLC</name>
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      <invstOrSec>
        <name>Mitsui Chemicals Inc</name>
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        <title>Mitsui Chemicals Inc</title>
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          <isin value="JP3888300005"/>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>SNG GSOIL V LOW SU</title>
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          <ticker value="BOPV23"/>
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        <assetCat>DCO</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>LOW SULPHUR GAS OIL</issuerName>
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      <invstOrSec>
        <name>QATAR ENERGY</name>
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        <title>Qatar Energy</title>
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        <assetCat>DBT</assetCat>
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        <invCountry>QA</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Simon Property Group Inc</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>CSC HOLDINGS LLC</name>
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      <invstOrSec>
        <name>Michelin</name>
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        <title>Cie Generale des Etablissements Michelin SCA</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS EUR</title>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="6 MONTH EURO INTERBANK OFFER RATE" floatingRtSpread="0.00000000" pmntAmt="450000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.05400000"/>
            <terminationDt>2050-05-27</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-450000.00000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>175897.88000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DISH DBS CORP</name>
        <lei>N/A</lei>
        <title>DISH DBS Corp</title>
        <cusip>25470XBB0</cusip>
        <identifiers>
          <isin value="US25470XBB01"/>
          <other otherDesc="SEDOL" value="BKSBG51"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>201802.99000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.37500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Asset Backed Securities Corp H</name>
        <lei>N/A</lei>
        <title>Asset Backed Securities Corp Home Equity Loan Trust Series NC 2005-HE4</title>
        <cusip>04541GRR5</cusip>
        <identifiers>
          <isin value="US04541GRR55"/>
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        <balance>1423888.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1352296.56000000</valUSD>
        <pctVal>0.024832102183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.92900000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>USD/ZAR FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="1TK53ABTM2G1C7CR"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>35.68000000</valUSD>
        <pctVal>0.000000655188</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS PLC</counterpartyName>
              <counterpartyLei>213800LBQA1Y9L22JB70</counterpartyLei>
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            <amtCurSold>-7274269.89000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>399343.30000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-12-12</settlementDt>
            <unrealizedAppr>35.68000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust Inc</title>
        <cusip>17307GT57</cusip>
        <identifiers>
          <isin value="US17307GT577"/>
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        <balance>22727.68000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13773.62000000</valUSD>
        <pctVal>0.000252923766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.13628400</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>JETCIFNWE VS BNT1S</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="ABYM23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RCYDP66"/>
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        <balance>-1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1485.77000000</valUSD>
        <pctVal>-0.00002728306</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>ICE FUTURES EUROPE</issuerName>
                <issueTitle>JETCIFNWE VS BNT1S</issueTitle>
                <identifiers>
                  <cusip value="000000000"/>
                  <other otherDesc="INTERNAL" value="JETCIFNWEVSBNT1S"/>
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              </otherRefInst>
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            <expDate>2023-06-30</expDate>
            <notionalAmt>-32409.23000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1485.77000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Cordatus CLO PLC</name>
        <lei>549300HHKDR21JP15S93</lei>
        <title>CVC Cordatus Loan Fund XV DAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS2382262876"/>
        </identifiers>
        <balance>4750000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
        <valUSD>4455363.48000000</valUSD>
        <pctVal>0.081813445713</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.38300000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Daiwabo Holdings Co Ltd</name>
        <lei>N/A</lei>
        <title>Daiwabo Holdings Co Ltd</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP3505400006"/>
          <ticker value="3107"/>
          <other otherDesc="SEDOL" value="6251426"/>
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        <balance>113900.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="JPY" exchangeRt="144.73000000"/>
        <valUSD>1468595.11000000</valUSD>
        <pctVal>0.026967682175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED KINGDOM GILT</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>United Kingdom Gilt</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00BLH38158"/>
          <other otherDesc="SEDOL" value="BLH3815"/>
        </identifiers>
        <balance>3100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.89561595"/>
        <valUSD>1929591.00000000</valUSD>
        <pctVal>0.035432908950</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>CDS REPUBLIC OF KOREA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWPC0H4D8"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-33601.81000000</valUSD>
        <pctVal>-0.00061702706</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>KOREA INTERNATIONAL BOND</issuerName>
                <issueTitle>KOREA INTERNATIONAL BOND</issueTitle>
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                  <cusip value="50064FAJ3"/>
                  <isin value="US50064FAJ30"/>
                  <other otherDesc="Sedol" value="B3Z6229"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <terminationDt>2023-06-20</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-30783.50000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-6800000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2818.31000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Nomura Home Equity Loan Inc</name>
        <lei>N/A</lei>
        <title>Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1</title>
        <cusip>65536RAF3</cusip>
        <identifiers>
          <isin value="US65536RAF38"/>
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        <balance>397014.70000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>387307.06000000</valUSD>
        <pctVal>0.007112085303</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.51900000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Cigna Corp</name>
        <lei>549300VIWYMSIGT1U456</lei>
        <title>Cigna Corp</title>
        <cusip>125523100</cusip>
        <identifiers>
          <isin value="US1255231003"/>
          <ticker value="CI"/>
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        <balance>103449.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>28703994.03000000</valUSD>
        <pctVal>0.527088904838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CubeSmart</name>
        <lei>N/A</lei>
        <title>CubeSmart</title>
        <cusip>229663109</cusip>
        <identifiers>
          <isin value="US2296631094"/>
          <ticker value="CUBE"/>
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        <balance>35824.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1435109.44000000</valUSD>
        <pctVal>0.026352787777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0206A2</cusip>
        <identifiers>
          <isin value="US01F0206A20"/>
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        <balance>-69400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-56176047.22000000</valUSD>
        <pctVal>-1.03155578894</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2006-AR5 Trust</title>
        <cusip>93362YAB8</cusip>
        <identifiers>
          <isin value="US93362YAB83"/>
          <other otherDesc="SEDOL" value="B1FH682"/>
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        <balance>15276.20000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14331.01000000</valUSD>
        <pctVal>0.000263159069</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.08402100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>ICE Brent Crude Oil</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="COH4"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00F5RFXV8"/>
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        <balance>5.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-49390.82000000</valUSD>
        <pctVal>-0.00090695926</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BRENT CRUDE OIL</issuerName>
                <issueTitle>BRENT CRUDE OIL</issueTitle>
                <identifiers>
                  <cusip value="000000000"/>
                  <other otherDesc="INTERNAL" value="BRENTCRUDEOIL"/>
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            <expDate>2024-01-31</expDate>
            <notionalAmt>416740.82000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-49390.82000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHARTER COMM OPT LLC/CAP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UBS AG STAMFORD</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2004-12</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SITE Centers Corp</name>
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          <isin value="US82981J1097"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
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          <isin value="US45661VAA44"/>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bristol-Myers Squibb Co</name>
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          <isin value="US1101221083"/>
          <ticker value="BMY"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
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        <title>SWOP IRS EUR</title>
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          <other otherDesc="INTERNAL" value="SW317U00DA6"/>
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        <descOthUnits>Other</descOthUnits>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <name>GOLDMAN SACHS BANK USA</name>
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      <invstOrSec>
        <name>REPUBLIC OF SERBIA</name>
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        <title>Serbia International Bond</title>
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        <invCountry>RS</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>BAWAG Group AG</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>AT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>WI TREASURY N/B</name>
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        <title>United States Treasury Note/Bond - When Issued</title>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS AUD</title>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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        <name>HeidelbergCement AG</name>
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        <title>HeidelbergCement AG</title>
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        <name>UBS Securities LLC</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <title>USD/IDR FORWARD</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Credit Saison Co Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JYSKE REALKREDIT A/S</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LEHMAN RECEIVABLES</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="LEHMANREC"/>
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        <assetCat>EC</assetCat>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>Bunzl PLC</name>
        <lei>213800Q1Q9DV4L78UM09</lei>
        <title>Bunzl PLC</title>
        <cusip>000000000</cusip>
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          <isin value="GB00B0744B38"/>
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        <fairValLevel>2</fairValLevel>
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        <name>CANADA-GOV'T WI</name>
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        <cusip>135087H72</cusip>
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        <issuerCat>NUSS</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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          <ticker value="N/A"/>
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        <fairValLevel>2</fairValLevel>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>Stryker Corp</name>
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        <name>Thornburg Mortgage Securities</name>
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        <name>NATWEST GROUP PLC</name>
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        <title>NatWest Group PLC</title>
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        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/SGD FORWARD</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Buzzi Unicem SpA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Retail Opportunity Investments</name>
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        <fairValLevel>1</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>ABU DHABI GOVT INT'L</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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                <issuerName>WI INFL IDX N/B</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <title>SOYBEAN MEAL</title>
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          <ticker value="SMF3"/>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <title>SWOP IRS USD</title>
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        <name>BNP Paribas (Suisse) SA</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
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        <name>General Electric Co</name>
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        <name>NYKREDIT REALKREDIT AS</name>
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        <name>Skanska AB</name>
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        <name>TSY INFL IX N/B</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>NATIONWIDE BLDG SOCIETY</name>
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        <name>Origin Enterprises PLC</name>
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        <name>THE LONDON METAL EXCHANGE</name>
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        <name>Ono Pharmaceutical Co Ltd</name>
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        <name>EG FINCO LTD</name>
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        <title>EG Finco Ltd</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.98800000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS Group AG</name>
        <lei>549300SZJ9VS8SGXAN81</lei>
        <title>UBS Group AG</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="CH0244767585"/>
          <ticker value="UBSG"/>
          <other otherDesc="SEDOL" value="BRJL176"/>
        </identifiers>
        <balance>498900.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="CHF" exchangeRt="0.98670000"/>
        <valUSD>7238023.71000000</valUSD>
        <pctVal>0.132911189519</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317U0LEA9"/>
        </identifiers>
        <balance>-1300000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-10362.11000000</valUSD>
        <pctVal>-0.00019027850</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SW317U0LEA9SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>THE SECURED OVERNIGHT FINANCING RATE</issuerName>
                      <issueTitle>THE SECURED OVERNIGHT FINANCING RATE</issueTitle>
                      <identifiers>
                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="SOFR_RATE_US"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.75000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="THE SECURED OVERNIGHT FINANCING RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2024-12-11</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>-1300000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.75000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-12-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-6299.61000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
        <lei>4PQUHN3JPFGFNF3BB653</lei>
        <title>SWOP CDS CDX.NA.IG.38.V1</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8AARGB02"/>
        </identifiers>
        <balance>12980000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>101694.79000000</valUSD>
        <pctVal>0.001867412438</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
                    <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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                  <derivAddlInfo>
                    <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
                    <lei>4PQUHN3JPFGFNF3BB653</lei>
                    <title>CDS CDX.NA.IG.38.V1</title>
                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="SWB8AARGB02SO"/>
                    </identifiers>
                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>IHS MARKIT LTD</issuerName>
                      <issueTitle>CDX.NA.IG.38.V1</issueTitle>
                      <identifiers>
                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="2I65BYEA9_INDEX_US"/>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>N/A</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <principalAmt>12980000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>85.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-11-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>52760.19000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828VM9</cusip>
        <identifiers>
          <isin value="US912828VM96"/>
          <other otherDesc="SEDOL" value="BCDZ135"/>
        </identifiers>
        <balance>-13414443.96000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-13191032.83000000</valUSD>
        <pctVal>-0.24222576972</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GAZPROM (GAZ CAPITAL SA)</name>
        <lei>213800568PRHV2JR9650</lei>
        <title>Gazprom PJSC Via Gaz Capital SA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1951084471"/>
          <other otherDesc="SEDOL" value="BJJP600"/>
        </identifiers>
        <balance>3000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1440000.00000000</valUSD>
        <pctVal>0.026442592698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.15000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Apartment Income REIT Corp</name>
        <lei>N/A</lei>
        <title>Apartment Income REIT Corp</title>
        <cusip>03750L109</cusip>
        <identifiers>
          <isin value="US03750L1098"/>
          <ticker value="AIRC"/>
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        <balance>41135.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1588633.70000000</valUSD>
        <pctVal>0.029171940192</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VISTRA CORP</name>
        <lei>549300KP43CPCUJOOG15</lei>
        <title>Vistra Corp</title>
        <cusip>92840MAB8</cusip>
        <identifiers>
          <isin value="US92840MAB81"/>
          <other otherDesc="SEDOL" value="BL5BH14"/>
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        <balance>1375000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1264065.80000000</valUSD>
        <pctVal>0.023211928537</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>N/A</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PROSUS NV</name>
        <lei>635400Z5LQ5F9OLVT688</lei>
        <title>Prosus NV</title>
        <cusip>74365PAG3</cusip>
        <identifiers>
          <isin value="US74365PAG37"/>
          <other otherDesc="SEDOL" value="BPGC349"/>
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        <balance>2400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2010000.00000000</valUSD>
        <pctVal>0.036909452308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25700000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings PLC</title>
        <cusip>404280BT5</cusip>
        <identifiers>
          <isin value="US404280BT50"/>
          <other otherDesc="SEDOL" value="BF8RKP2"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>444210.55000000</valUSD>
        <pctVal>0.008156999059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.58300000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2006-AR19 Trust</title>
        <cusip>933638AB4</cusip>
        <identifiers>
          <isin value="US933638AB41"/>
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        <balance>48229.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44460.20000000</valUSD>
        <pctVal>0.000816418722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.83402100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>BRL/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="LE35ESB8E5PF6PSV"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10232.87000000</valUSD>
        <pctVal>-0.00018790528</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>-745120.18000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3996526.61000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2022-11-03</settlementDt>
            <unrealizedAppr>-10232.87000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0226A8</cusip>
        <identifiers>
          <isin value="US01F0226A83"/>
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        <balance>32500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27261279.18000000</valUSD>
        <pctVal>0.500596459589</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/PEN FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="AUEF95DKTPOBTOSI"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3846.52000000</valUSD>
        <pctVal>-0.00007063330</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>-140088.32000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>547549.22000000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2022-12-15</settlementDt>
            <unrealizedAppr>-3846.52000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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        <name>Mizuho Financial Group Inc</name>
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        <name>GOLDMAN SACHS BANK USA</name>
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        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <isRestrictedSec>N</isRestrictedSec>

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        <fairValLevel>2</fairValLevel>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS GBP</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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          <ticker value="NDK24"/>
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        <curCd>USD</curCd>
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        <fairValLevel>1</fairValLevel>
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                <issuerName>HENRY HB LD1</issuerName>
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      <invstOrSec>
        <name>Loomis AB</name>
        <lei>213800NS2XXVRYS7WP40</lei>
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          <isin value="SE0014504817"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>WI TREASURY BILL</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Bill- When Issued</title>
        <cusip>912796M89</cusip>
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          <isin value="US912796M895"/>
          <other otherDesc="SEDOL" value="BM9XBQ6"/>
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        <balance>71000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>70984.86000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-06</maturityDt>
          <couponKind>None</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS AUD</title>
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          <other otherDesc="INTERNAL" value="SWU01L6J3"/>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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      <invstOrSec>
        <name>CHINA GOVERNMENT BOND</name>
        <lei>300300CHN201808MOF68</lei>
        <title>China Government Bond</title>
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          <isin value="CND10004NCM5"/>
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      <invstOrSec>
        <name>Daiwa House Industry Co Ltd</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>UNITED RENTALS NORTH AM</name>
        <lei>NGIZXNT70J2LYT3FBI09</lei>
        <title>United Rentals North America Inc</title>
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      <invstOrSec>
        <name>HSBC SECURITIES (USA) INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>PLN/USD FORWARD</title>
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        <name>Deutsche Borse Aktiengesellschaft</name>
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        <name>Fortinet Inc</name>
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        <name>Hess Corp</name>
        <lei>UASVRYNXNK17ULIGK870</lei>
        <title>Hess Corp</title>
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        <fairValLevel>1</fairValLevel>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>LEHMAN ESCROW BOND (52517PQ46)</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>TRANSURBAN FINANCE CO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certi</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EuroMASTR PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Daito Trust Cons</name>
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        <title>Daito Trust Construction Co Ltd</title>
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          <isin value="JP3486800000"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>BAUSCH HEALTH COS INC</name>
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        <title>Bausch Health Cos Inc</title>
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        <assetCat>DBT</assetCat>
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        <invCountry>CA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AP Moller - Maersk A/S</name>
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        <title>AP Moller - Maersk A/S</title>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BECTON DICKINSON AND CO</name>
        <lei>ICE2EP6D98PQUILVRZ91</lei>
        <title>Becton Dickinson and Co</title>
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          <isin value="US0758874061"/>
          <ticker value="BDX"/>
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        <balance>36377.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1714811.78000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
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        <cusip>93363CAC3</cusip>
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          <isin value="US93363CAC38"/>
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        <balance>133651.58000000</balance>
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        <curCd>USD</curCd>
        <valUSD>115280.81000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UBS SECURITIES LLC</name>
        <lei>T6FIZBDPKLYJKFCRVK44</lei>
        <title>BCOM INDEX</title>
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        <balance>-1230000.00000000</balance>
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        <name>Harvey Norman Holdings Ltd</name>
        <lei>529900ONRWOF42PYKU59</lei>
        <title>Harvey Norman Holdings Ltd</title>
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        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>TRS BCOMTR INDEX</title>
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        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>USD/TWD FORWARD</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS INR</title>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mor</name>
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          <isin value="US46651QAA58"/>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
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          <isin value="US12668AGT60"/>
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      <invstOrSec>
        <name>REPUBLIC OF SOUTH AFRICA</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>REPUBLIC OF ECUADOR</name>
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        <name>US TREASURY N/B</name>
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        <name>International Consolidated Air</name>
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        <name>ODBRCHT OFFSHRE DRLL FIN</name>
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        <title>Odebrecht Offshore Drilling Finance Ltd</title>
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        <name>STANDARD CHARTERED PLC</name>
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        <name>UKRAINE GOVERNMENT</name>
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        <name>Fuji Corp/Aichi</name>
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        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <name>American Homes 4 Rent</name>
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        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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                      <issuerName>IHS MARKIT LTD</issuerName>
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                  <curCd>N/A</curCd>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>B3 SA - Brasil Bolsa Balcao</name>
        <lei>4GTK5S46E6H318LMDS44</lei>
        <title>B3 SA - Brasil Bolsa Balcao</title>
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        <invCountry>BR</invCountry>
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        <fairValLevel>1</fairValLevel>
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        <name>GOLDMAN SACHS BANK USA</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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                    <name>GOLDMAN SACHS BANK USA</name>
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                  <rcptCurCd>USD</rcptCurCd>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2023-04-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-13629.86000000</unrealizedAppr>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <title>CRUDE OIL</title>
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          <ticker value="COM3P87"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG015BTFCQ0"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>ICE FUTURES EUROPE</name>
                    <lei>549300UF4R84F48NCH34</lei>
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                    <invOthCountry>US</invOthCountry>
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                  <payOffProf>Short</payOffProf>
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                    <otherRefInst>
                      <issuerName>BRENT CRUDE OIL</issuerName>
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            <unrealizedAppr>-70675.35000000</unrealizedAppr>
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      <invstOrSec>
        <name>SHRIRAM TRANSPORT FIN</name>
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      <invstOrSec>
        <name>Sartorius Stedim Biotech</name>
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        <title>Sartorius Stedim Biotech</title>
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          <isin value="FR0013154002"/>
          <ticker value="DIM"/>
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        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Johnson Controls International</name>
        <lei>549300XQ6S1GYKGBL205</lei>
        <title>Johnson Controls International plc</title>
        <cusip>000000000</cusip>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>AUSTRALIAN GOVERNMENT</name>
        <lei>213800J6B7JSBDETCB42</lei>
        <title>Australia Government Bond</title>
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        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CNH/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
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      <invstOrSec>
        <name>Reach PLC</name>
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        <title>Reach PLC</title>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS GBP</title>
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      <invstOrSec>
        <name>UBS GROUP AG</name>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>CORN</title>
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        <valUSD>667.73000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>ICE FUTURES U.S., INC.</name>
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        <name>THE LONDON METAL EXCHANGE</name>
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        <name>ICE FUTURES U.S., INC.</name>
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        <name>Carlyle Global Market Strategi</name>
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        <name>Fannie Mae</name>
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        <name>HSBC BANK PLC</name>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <name>Lehman XS Trust</name>
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      <invstOrSec>
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                    <otherRefInst>
                      <issuerName>THE SECURED OVERNIGHT FINANCING RATE</issuerName>
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            <delta>XXXX</delta>
            <unrealizedAppr>4975.94000000</unrealizedAppr>
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        </derivativeInfo>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                  <derivAddlInfo>
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                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                      <issuerName>IHS MARKIT LTD</issuerName>
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                  <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
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                  <curCd>N/A</curCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-13004.78000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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          <ticker value="WNZ2"/>
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        <balance>171.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2089827.32000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>US TREASURY N/B</issuerName>
                <issueTitle>United States Treasury Note/Bond</issueTitle>
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                  <isin value="US912810SA79"/>
                  <other otherDesc="SEDOL" value="BG0D0F5"/>
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            </descRefInstrmnt>
            <expDate>2022-12-20</expDate>
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            <curCd>USD</curCd>
            <unrealizedAppr>-2089827.32000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Affirm Holdings Inc</name>
        <lei>N/A</lei>
        <title>Affirm Holdings Inc</title>
        <cusip>00827B106</cusip>
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          <ticker value="AFRM"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <loanByFundCondition isLoanByFund="Y" loanVal="705376.00000000"/>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810QP66"/>
          <other otherDesc="SEDOL" value="B3XRK75"/>
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        <balance>12054160.80000000</balance>
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        <curCd>USD</curCd>
        <valUSD>12435261.53000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Kamigumi Co Ltd</name>
        <lei>N/A</lei>
        <title>Kamigumi Co Ltd</title>
        <cusip>000000000</cusip>
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          <isin value="JP3219000001"/>
          <ticker value="9364"/>
          <other otherDesc="SEDOL" value="6482668"/>
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        <balance>81700.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="JPY" exchangeRt="144.73000000"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Voya CLO Ltd</name>
        <lei>N/A</lei>
        <title>Voya CLO 2019-3 Ltd</title>
        <cusip>92918FAF1</cusip>
        <identifiers>
          <isin value="US92918FAF18"/>
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        <balance>4500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4343694.30000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARAB REPUBLIC OF EGYPT</name>
        <lei>529900GFIVH4086NMH82</lei>
        <title>Egypt Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1807305328"/>
          <other otherDesc="SEDOL" value="BDGT2N8"/>
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        <balance>2700000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
        <valUSD>1528142.96000000</valUSD>
        <pctVal>0.028061154081</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>EG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.62500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP CDS ITRAXX.EUR.37.V1</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317552O02"/>
        </identifiers>
        <balance>-1700000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
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                    <identifiers>
                      <other otherDesc="INTERNAL" value="SW317552O02SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <assetCat>DCR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>IHS MARKIT LTD</issuerName>
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                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="2I666VDA0_INDEX_EU"/>
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                  <fixedRecDesc amount="N/A" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Default Event</otherPmntDesc>
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                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>N/A</curCd>
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            </descRefInstrmnt>
            <principalAmt>-1700000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>3.00000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2023-03-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1232.74000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COOPERATIEVE RABOBANK UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>Cooperatieve Rabobank UA</title>
        <cusip>74977RDP6</cusip>
        <identifiers>
          <isin value="US74977RDP64"/>
          <other otherDesc="SEDOL" value="BMFTGL8"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>249152.04000000</valUSD>
        <pctVal>0.004575156884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWU01GUK4"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2624804.77000000</valUSD>
        <pctVal>-0.04819905794</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.69500000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="THE SECURED OVERNIGHT FINANCING RATE" floatingRtSpread="0.00000000" pmntAmt="-17900000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2031-11-15</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-28257.15000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>17900000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2596547.62000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>SWOP CDS CDX.NA.IG.38.V1</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317534Q57"/>
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        <balance>-5400000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-8945.72000000</valUSD>
        <pctVal>-0.00016426946</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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        <name>Countrywide Alternative Loan T</name>
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      <invstOrSec>
        <name>FIDELITY NATL INFO SERV</name>
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        <name>TSY INFL IX N/B</name>
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        <name>Aurubis AG</name>
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        <name>GSAMP Trust</name>
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        <name>BCAP LLC Trust</name>
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        <name>Goldman Sachs Group Inc/The</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BARCLAYS PLC</name>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <name>iShares Core U.S. Aggregate Bond ETF</name>
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        <name>Morgan Stanley</name>
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        <name>ICE FUTURES EUROPE</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>Keiyo Bank Ltd/The</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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                <issuerName>HENRY HB LD1</issuerName>
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        <name>Host Hotels &amp; Resorts Inc</name>
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        <name>BANCO VOTORANTIM</name>
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        <invCountry>BR</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Coca-Cola HBC AG</name>
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        <title>Coca-Cola HBC AG</title>
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        <assetCat>EC</assetCat>
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        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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        <assetCat>DIR</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <name>ASCENT RESOURCES/ARU FIN</name>
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        <title>Elanco Animal Health Inc</title>
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        <name>Toronto-Dominion Bank/The</name>
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        <title>Toronto-Dominion Bank/The</title>
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        <name>ICE FUTURES EUROPE</name>
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        <title>ICE Brent Crude Oil</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>Bear Stearns Alt-A Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>TOMRA Systems ASA</name>
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        <assetCat>EC</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <name>CIFC Funding Ltd</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>THE LONDON METAL EXCHANGE</name>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>TJX Cos Inc/The</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK NY</name>
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        <name>ROMANIA</name>
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        <name>NXP Semiconductors NV</name>
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        <name>Kanamoto Co Ltd</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Citibank, National Association</name>
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        <name>THE LONDON METAL EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>UNITED RENTALS NORTH AM</name>
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        <name>HOCHTIEF AG</name>
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            <payOffProf>Short</payOffProf>
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      <invstOrSec>
        <name>UBS Securities LLC</name>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <name>Best Buy Co Inc</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>STATE OF ISRAEL</name>
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        <title>State of Israel</title>
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        <name>ICE FUTURES EUROPE</name>
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        <title>BRENT CRUDE OIL</title>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>ICE FUTURES EUROPE</name>
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        <name>JP Morgan Mortgage Acquisition</name>
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        <name>Morgan Stanley Capital Inc</name>
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      <invstOrSec>
        <name>Reliance Industries Ltd</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>REPUBLIC OF CHILE</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>AMER AIRLN 15-1 A PTT</name>
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        <name>GREYSTAR REAL ESTATE PAR</name>
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      <invstOrSec>
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        <name>BARCLAYS BANK PLC</name>
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        <name>Tongda Group Holdings Ltd</name>
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        <title>Tongda Group Holdings Ltd</title>
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        <name>Citibank, National Association</name>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <name>REPUBLIC OF GUATEMALA</name>
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        <name>Rational AG</name>
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        <name>BNP PARIBAS</name>
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        <name>Wells Fargo Commercial Mortgag</name>
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        <name>UBS Securities LLC</name>
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        <fairValLevel>1</fairValLevel>
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        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>9128284H0</cusip>
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          <isin value="US9128284H06"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU02Y548"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CHICAGO MERCANTILE EXCHANGE INC.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
            <unrealizedAppr>-305.13000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>Digital Realty Trust Inc</name>
        <lei>549300HKCZ31D08NEI41</lei>
        <title>Digital Realty Trust Inc</title>
        <cusip>253868103</cusip>
        <identifiers>
          <isin value="US2538681030"/>
          <ticker value="DLR"/>
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        <balance>31384.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>3112665.12000000</valUSD>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Premier Foods PLC</name>
        <lei>213800ZD5I8XHNMCJA67</lei>
        <title>Premier Foods PLC</title>
        <cusip>000000000</cusip>
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          <isin value="GB00B7N0K053"/>
          <ticker value="PFD"/>
          <other otherDesc="SEDOL" value="B7N0K05"/>
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        <balance>672846.00000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>PFP III</name>
        <lei>N/A</lei>
        <title>PFP 2021-8 Ltd</title>
        <cusip>69357XAA9</cusip>
        <identifiers>
          <isin value="US69357XAA90"/>
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        <balance>948755.64000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899349.85000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-09</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GSAMP Trust</name>
        <lei>N/A</lei>
        <title>GSAMP Trust 2005-WMC1</title>
        <cusip>362341PU7</cusip>
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          <isin value="US362341PU74"/>
          <other otherDesc="Sedol" value="B7MDX84"/>
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        <balance>68951.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67453.02000000</valUSD>
        <pctVal>0.001238633843</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.81900000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Mountain View CLO Ltd</name>
        <lei>N/A</lei>
        <title>Mountain View CLO 2013-1 Ltd</title>
        <cusip>62431UBC5</cusip>
        <identifiers>
          <isin value="US62431UBC53"/>
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        <balance>2000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1965533.20000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.42300000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>CAD/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="T89PELF0TDJOVD6I"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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            <amtCurSold>-1660000.00000000</amtCurSold>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Hilton Worldwide Holdings Inc</name>
        <lei>549300HVGPK36ICB0B89</lei>
        <title>Hilton Worldwide Holdings Inc</title>
        <cusip>43300A203</cusip>
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          <isin value="US43300A2033"/>
          <ticker value="HLT"/>
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        <balance>40349.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4866896.38000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS CHF</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU01B8K0"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.98670000"/>
        <valUSD>-1728713.51000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NatWest Group PLC</title>
        <cusip>780097BH3</cusip>
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          <isin value="US780097BH35"/>
          <other otherDesc="SEDOL" value="BFYK680"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>695589.58000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>NZD/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="N6A3L61HKFEUU3IA"/>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU056GB8"/>
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        <balance>1.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>JETCIFNWE VS BNT1S</title>
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          <ticker value="ABYJ23"/>
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        <curCd>USD</curCd>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS EUR</title>
        <cusip>000000000</cusip>
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        <name>BARCLAYS PLC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Newgate Funding PLC</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
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      <invstOrSec>
        <name>Southern Co/The</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                      <issuerName>THE SECURED OVERNIGHT FINANCING RATE</issuerName>
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            <principalAmt>-1500000.00000000</principalAmt>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <title>ICE Gas Oil</title>
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          <ticker value="QSF3"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
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                <issuerName>LOW SULPHUR GAS OIL</issuerName>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</counterpartyName>
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                <issuerName>DWRTFT INDEX</issuerName>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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      <invstOrSec>
        <name>FRANCE (GOVT OF)</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>DKK/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="5DP6696Q9VUDS4T2"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UNICREDIT SPA</name>
        <lei>549300TRUWO2CD2G5692</lei>
        <title>UniCredit SpA</title>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Hexagon AB</name>
        <lei>549300WJFW6ILNI4TA80</lei>
        <title>Hexagon AB</title>
        <cusip>000000000</cusip>
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        <assetCat>EC</assetCat>
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        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CNH/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2208230425124"/>
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        <balance>1.00000000</balance>
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      <invstOrSec>
        <name>Structured Asset Investment Lo</name>
        <lei>N/A</lei>
        <title>Structured Asset Investment Loan Trust 2005-6</title>
        <cusip>86358EUC8</cusip>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>ODBRCHT OFFSHRE DRLL FIN</name>
        <lei>549300L7LF2PIRAWID66</lei>
        <title>Odebrecht Offshore Drilling Finance Ltd</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TREASURY BILL</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Bill</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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      <invstOrSec>
        <name>Bear Stearns Structured Produc</name>
        <lei>N/A</lei>
        <title>Bear Stearns Structured Products Inc Trust 2007-R6</title>
        <cusip>07402FAC9</cusip>
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          <isin value="US07402FAC95"/>
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        <balance>287843.49000000</balance>
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        <curCd>USD</curCd>
        <valUSD>276932.32000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-26</maturityDt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Siltronic AG</name>
        <lei>5299003NKV26NNGHHR90</lei>
        <title>Siltronic AG</title>
        <cusip>000000000</cusip>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Dominion Energy Inc</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>ABU DHABI GOVT INT'L</name>
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        <name>ICE FUTURES U.S., INC.</name>
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        <name>UBS Securities LLC</name>
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      <invstOrSec>
        <name>DNB Bank ASA</name>
        <lei>549300GKFG0RYRRQ1414</lei>
        <title>DNB Bank ASA</title>
        <cusip>000000000</cusip>
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          <isin value="NO0010161896"/>
          <ticker value="DNB"/>
          <other otherDesc="SEDOL" value="BNG7113"/>
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        <assetCat>EC</assetCat>
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        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HSBC BANK PLC</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="2RUKSOQ33F2CJB1F"/>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>Veeva Systems Inc</name>
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        <title>Veeva Systems Inc</title>
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        <name>Amazon.com Inc</name>
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        <title>Amazon.com Inc</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS EUR</title>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>Gaming and Leisure Properties</name>
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        <name>Humana Inc</name>
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        <title>Humana Inc</title>
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        <name>Rubis SCA</name>
        <lei>969500MGFIKUGLTC9742</lei>
        <title>Rubis SCA</title>
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        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>CITIGROUP INC.</name>
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        <name>Japan Airlines Co Ltd</name>
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        <name>Boeing Co/The</name>
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        <fairValLevel>1</fairValLevel>
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        <name>BRINKER INTERNATIONAL IN</name>
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      <invstOrSec>
        <name>PENN ENTERTAINMENT INC</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <name>SPRINT CAPITAL CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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        <name>Austal Ltd</name>
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        <name>Countrywide Asset-Backed Certi</name>
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        <name>FORD MOTOR CREDIT CO LLC</name>
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        <name>Swedish Orphan Biovitrum AB</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>Atlassian Corp PLC</name>
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        <name>ICE FUTURES U.S., INC.</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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                <issuerName>HENRY HB LD1</issuerName>
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      <invstOrSec>
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      <invstOrSec>
        <name>SBERBANK (SB CAP SA)</name>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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      <invstOrSec>
        <name>Julius Baer Group Ltd</name>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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        <name>STERIS PLC</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>BNP Paribas (Suisse) SA</name>
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        <name>Credit Suisse Mortgage Trust</name>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>BNP PARIBAS (SUISSE) SA</name>
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      <invstOrSec>
        <name>Barratt Developments PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>Kohl's Corp</name>
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        <assetCat>EC</assetCat>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>OMAN GOV INTERNTL BOND</name>
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        <title>Oman Government International Bond</title>
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          <isin value="XS2288906857"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>BRENT CRUDE OIL</title>
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          <ticker value="AFYZ23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00N2FQL62"/>
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        <assetCat>DCO</assetCat>
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                <issuerName>BRENT CRUDE OIL</issuerName>
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      <invstOrSec>
        <name>TC Energy Corp</name>
        <lei>549300UGKOFV2IWJJG27</lei>
        <title>TC Energy Corp</title>
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          <isin value="CA87807B1076"/>
          <ticker value="TRP"/>
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        <invCountry>CA</invCountry>
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        <fairValLevel>1</fairValLevel>
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        <name>Bear Stearns Adjustable Rate M</name>
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        <name>Countrywide Home Loans</name>
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        <name>Alphabet Inc</name>
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        <title>Alphabet Inc</title>
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          <ticker value="GOOGL"/>
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        <assetCat>EC</assetCat>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <title>CDS GS_21-PJ2</title>
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        <name>First Industrial Realty Trust</name>
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        <name>AvalonBay Communities Inc</name>
        <lei>K9G90K85RBWD2LAGQX17</lei>
        <title>AvalonBay Communities Inc</title>
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          <ticker value="AVB"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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        <name>Citigroup Mortgage Loan Trust</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust Inc</title>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LOSULGO1 VS BNT1S</title>
        <cusip>000000000</cusip>
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          <ticker value="ABEM23"/>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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            <payOffProf>Long</payOffProf>
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                <issuerName>ICE FUTURES EUROPE</issuerName>
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      <invstOrSec>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Capital Inc</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>DOMINICAN REPUBLIC</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
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        <name>Citibank, National Association</name>
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        <name>ASML Holding NV</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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      <invstOrSec>
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        <lei>549300U48YU2VDL8N523</lei>
        <title>New Residential Mortgage Loan Trust 2018-3</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NTT</name>
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        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Extra Space Storage Inc</name>
        <lei>N/A</lei>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US46653XAD21"/>
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        <balance>1780025.72000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US466247AZ62"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810QF84"/>
          <other otherDesc="SEDOL" value="B64KS14"/>
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        <balance>8594477.10000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8936307.73000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <title>SWOP CDS CDX.NA.IG.38.V1</title>
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        <balance>14210000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
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                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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                      <issuerName>IHS MARKIT LTD</issuerName>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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          <other otherDesc="INTERNAL" value="SW317561AC2"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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        <name>ICE FUTURES U.S., INC.</name>
        <lei>5493004R83R1LVX2IL36</lei>
        <title>ICE US - Henry Ld1 Fixed Price</title>
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        <title>China Government Bond</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS USD</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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      <invstOrSec>
        <name>Danaher Corp</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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      <invstOrSec>
        <name>Marriott International Inc/MD</name>
        <lei>225YDZ14ZO8E1TXUSU86</lei>
        <title>Marriott International Inc/MD</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>REPUBLIC OF SOUTH AFRICA</name>
        <lei>378900AAFB4F17004C49</lei>
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          <isin value="US836205BB97"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>USD/BRL FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>STANDARD CHARTERED BANK</name>
        <lei>RILFO74KP1CM8P6PCT96</lei>
        <title>IRS THB</title>
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      <invstOrSec>
        <name>Barclays PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays PLC</title>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>Arthur J Gallagher &amp; Co</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS KRW</title>
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      <invstOrSec>
        <name>Rockford Tower CLO Ltd</name>
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      <invstOrSec>
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                <issuerName>IHS MARKIT LTD</issuerName>
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      <invstOrSec>
        <name>iShares Russell 1000 Growth ETF</name>
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        <title>iShares Russell 1000 Growth ETF</title>
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        <title>TTF Natural Gas Base Load Monthly</title>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>REALKREDIT DANMARK</name>
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        <title>Realkredit Danmark A/S</title>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Zimmer Biomet Holdings Inc</name>
        <lei>2P2YLDVPES3BXQ1FRB91</lei>
        <title>Zimmer Biomet Holdings Inc</title>
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          <ticker value="ZBH"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Brother Industries Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <cusip>000000000</cusip>
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      <invstOrSec>
        <name>Energy Select Sector SPDR Fund</name>
        <lei>54930064FLK0RD4TRU75</lei>
        <title>Energy Select Sector SPDR Fund</title>
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          <ticker value="XLE"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>IndyMac INDA Mortgage Loan Tru</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>WI TREASURY N/B</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Coca-Cola Co/The</name>
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        <title>Coca-Cola Co/The</title>
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          <isin value="US1912161007"/>
          <ticker value="KO"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>TRS COM FWD TTFNBP</title>
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        <assetCat>DE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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

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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <title>CRUDE OIL</title>
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      <invstOrSec>
        <name>CITIGROUP INC.</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>ISRAEL MAKAM BILL</name>
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        <name>Las Vegas Sands Corp</name>
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        <name>GOLDMAN SACHS BANK USA</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>Toyota Auto Loan Extended Note</name>
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        <name>BUONI POLIENNALI DEL TES</name>
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        <name>Mitsubishi Chemical Group Corp</name>
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        <name>ODEBRECHT OIL &amp; FINANCE</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <issuerCat>UST</issuerCat>
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        <name>Anchorage Capital CLO LTD</name>
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        <name>Hoya Corp</name>
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        <name>Citibank, National Association</name>
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        <name>Wienerberger AG</name>
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      </invstOrSec>
      <invstOrSec>
        <name>TPC GRP INC CONTRACTUAL RIGHTS</name>
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        <fairValLevel>3</fairValLevel>
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      <invstOrSec>
        <name>CALPINE CORP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Homebanc Mortgage Trust</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Helvetia Holding AG</name>
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          <isin value="CH0466642201"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>STANDARD CHARTERED PLC</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Solvay SA</name>
        <lei>549300MMVL80RTBP3O28</lei>
        <title>Solvay SA</title>
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          <isin value="BE0003470755"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BE</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>HSBC BANK USA, NATIONAL ASSOCIATION</name>
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        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>FED REPUBLIC OF BRAZIL</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS EUR</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>UBS AG</name>
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        <name>Gunma Bank Ltd/The</name>
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        <name>EDION Corp</name>
        <lei>353800697NBCW7EAHZ97</lei>
        <title>EDION Corp</title>
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        <name>Western Digital Corp</name>
        <lei>549300QQXOOYEF89IC56</lei>
        <title>Western Digital Corp</title>
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        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>CRUDE OIL</title>
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      </invstOrSec>
      <invstOrSec>
        <name>QATAR ENERGY</name>
        <lei>254900QTESJKJ3P87J26</lei>
        <title>Qatar Energy</title>
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        <curCd>USD</curCd>
        <valUSD>435487.50000000</valUSD>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Ripon Mortgages PLC</name>
        <lei>213800MQYZ3GZ4HK1I88</lei>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>Nordea Bank Abp</name>
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        <invCountry>FI</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDEN ENTERTAINMENT INC</name>
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        <title>Golden Entertainment Inc</title>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-15</maturityDt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>REPUBLIC OF TURKEY</name>
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          <isin value="US900123BJ84"/>
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        <curCd>USD</curCd>
        <valUSD>1414500.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>TR</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ANTOFAGASTA PLC</name>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Vesuvius PLC</name>
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          <ticker value="VSVS"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
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          <isin value="US466247F570"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage A</name>
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        <curCd>USD</curCd>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Ameren Corp</name>
        <lei>XRZQ5S7HYJFPHJ78L959</lei>
        <title>Ameren Corp</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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        <name>BNP PARIBAS (SUISSE) SA</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Wellfleet CLO Ltd</name>
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        <name>Citigroup Mortgage Loan Trust</name>
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        <name>Dfds A/S</name>
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        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Aegon NV</name>
        <lei>O4QK7KMMK83ITNTHUG69</lei>
        <title>Aegon NV</title>
        <cusip>000000000</cusip>
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        <assetCat>EC</assetCat>
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        <invCountry>NL</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Towd Point Mortgage Funding</name>
        <lei>N/A</lei>
        <title>Towd Point Mortgage Funding</title>
        <cusip>000000000</cusip>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>NISSAN MOTOR ACCEPTANCE</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
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        <valUSD>377146.36000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FEDERAL HOME LOAN BANK</name>
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        <title>Federal Home Loan Banks</title>
        <cusip>3130ATJX6</cusip>
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          <isin value="US3130ATJX61"/>
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        <balance>6600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6599086.43000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>3.00000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>GAZPROM (GAZ CAPITAL SA)</name>
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          <isin value="CH0404311711"/>
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        <balance>500000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-03-06</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>MEDLINE BORROWER LP</name>
        <lei>254900QT3R363TVK6F09</lei>
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          <isin value="US62482BAB80"/>
          <other otherDesc="SEDOL" value="BMWDGR9"/>
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        <balance>150000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>113248.38000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>5.25000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>Residential Asset Securities C</name>
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          <isin value="US75405WAF95"/>
          <other otherDesc="SEDOL" value="B3YRR51"/>
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        <balance>299770.15000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2005-AR18</title>
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          <isin value="US45660LWD71"/>
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        <balance>799484.47000000</balance>
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        <curCd>USD</curCd>
        <valUSD>421698.96000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.70400000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Eurosail Plc</name>
        <lei>213800YCKG3TNT5E1296</lei>
        <title>Eurosail-UK 2007-3bl PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS0308710143"/>
          <other otherDesc="SEDOL" value="B23DWG9"/>
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        <balance>82396.56000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.89561595"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.17620000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>NORDEA KREDIT REALKREDIT</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>Nordea Kredit Realkreditaktieselskab</title>
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        <identifiers>
          <isin value="DK0002050012"/>
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        <balance>1800000.00000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="7.58650000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <balance>-3100000.00000000</balance>
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        <descOthUnits>Other</descOthUnits>
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        <valUSD>-192.32000000</valUSD>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                    <name>GOLDMAN SACHS INTERNATIONAL</name>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>USD/CLP FORWARD</title>
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      <invstOrSec>
        <name>ITOCHU Corp</name>
        <lei>J48DJYXDTLHM30UMYI18</lei>
        <title>ITOCHU Corp</title>
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          <ticker value="8001"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>BNP PARIBAS (SUISSE) SA</name>
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        <title>SWOP IRS EUR</title>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Eurosail Plc</name>
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        <title>Eurosail-UK 2007-3bl PLC</title>
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      <invstOrSec>
        <name>Saxon Asset Securities Trust</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>THE LONDON METAL EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>HSBC BANK PLC</name>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>Beach Energy Ltd</name>
        <lei>8Q9PJD25OKTQT5FHUF40</lei>
        <title>Beach Energy Ltd</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AUSTRALIAN SECURITIES EXCHANGE TRADE24</name>
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        <title>SFE 3 YEAR AUSTRALIAN BOND</title>
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          <ticker value="YMZ2"/>
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        <balance>200.00000000</balance>
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        <currencyConditional curCd="AUD" exchangeRt="1.56335495"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <payOffProf>Long</payOffProf>
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                <issuerName>AUSTRALIAN GOVERNMENT</issuerName>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS EUR</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU0EA042"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-2200000.00000000</notionalAmt>
            <curCd>EUR</curCd>
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        <securityLending>
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      <invstOrSec>
        <name>Global Payments Inc</name>
        <lei>549300NOMHGVQBX6S778</lei>
        <title>Global Payments Inc</title>
        <cusip>37940X102</cusip>
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          <isin value="US37940X1028"/>
          <ticker value="GPN"/>
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        <balance>54301.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5867223.05000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>SNG GSOIL V LOW SU</title>
        <cusip>000000000</cusip>
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          <ticker value="BOPH23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RCYFC45"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>LOW SULPHUR GAS OIL</issuerName>
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            <expDate>2023-03-31</expDate>
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            <unrealizedAppr>-932.39000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
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        <balance>17800000.00000000</balance>
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        <descOthUnits>Other</descOthUnits>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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      <invstOrSec>
        <name>IVORY COAST</name>
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        <title>Ivory Coast Government International Bond</title>
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      <invstOrSec>
        <name>TAYLOR MORRISON COMM</name>
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        <title>Taylor Morrison Communities Inc</title>
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      <invstOrSec>
        <name>Bear Stearns Alt-A Trust</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <title>SWOP CDS CDX.NA.IG.38.V1</title>
        <cusip>000000000</cusip>
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        <balance>-2600000.00000000</balance>
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        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-6099.48000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="SW3175172S8SO"/>
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                    <balance>0.00000000</balance>
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                    <assetCat>DCR</assetCat>
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                    <invOthCountry>US</invOthCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>IHS MARKIT LTD</issuerName>
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                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="2I65BYEA9_INDEX_US"/>
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                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
                  <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <terminationDt>2027-06-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>N/A</curCd>
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            </descRefInstrmnt>
            <principalAmt>-2600000.00000000</principalAmt>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-2914.48000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CNH/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="BDC1RQSNN76ODJ5P"/>
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        <balance>1.00000000</balance>
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        <valUSD>-248.08000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>-11316.26000000</amtCurSold>
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            <amtCurPur>79000.00000000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2022-10-17</settlementDt>
            <unrealizedAppr>-248.08000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Jyske Bank A/S</name>
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        <title>Jyske Bank A/S</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DK0010307958"/>
          <ticker value="JYSK"/>
          <other otherDesc="SEDOL" value="B0386J1"/>
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        <balance>41900.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="DKK" exchangeRt="7.58650000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>SNG GSOIL V LOW SU</title>
        <cusip>000000000</cusip>
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          <ticker value="BOPG23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RCYFC36"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-1603.66000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>LOW SULPHUR GAS OIL</issuerName>
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                  <cusip value="000000000"/>
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                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2023-02-28</expDate>
            <notionalAmt>-5299.19000000</notionalAmt>
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            <unrealizedAppr>-1603.66000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <title>SWOP IRS CDS GS_21-PJ-A</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8A9YY786"/>
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        <balance>-5330000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-114.51000000</valUSD>
        <pctVal>-0.00000210273</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS INTERNATIONAL</name>
                    <lei>W22LROWP2IHZNBB6K528</lei>
                    <title>IRS CDS GS_21-PJ-A</title>
                    <cusip>000000000</cusip>
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                      <other otherDesc="INTERNAL" value="SWB8A9YY786SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>GB</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.50000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>-5330000.00000000</principalAmt>
            <curCd>USD</curCd>
            <exercisePrice>0.50000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-114.51000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Isuzu Motors Ltd</name>
        <lei>529900C0QSXVCC7AR494</lei>
        <title>Isuzu Motors Ltd</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP3137200006"/>
          <ticker value="7202"/>
          <other otherDesc="SEDOL" value="6467104"/>
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        <balance>195800.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="JPY" exchangeRt="144.73000000"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>JETCIFNWE VS BNT1S</title>
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        <identifiers>
          <ticker value="ABYK23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00RCYDP57"/>
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        <balance>-1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1697.77000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>ICE FUTURES EUROPE</issuerName>
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                  <cusip value="000000000"/>
                  <other otherDesc="INTERNAL" value="JETCIFNWEVSBNT1S"/>
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            </descRefInstrmnt>
            <expDate>2023-05-31</expDate>
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            <unrealizedAppr>-1697.77000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Swedbank AB</name>
        <lei>M312WZV08Y7LYUC71685</lei>
        <title>Swedbank AB</title>
        <cusip>000000000</cusip>
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          <isin value="SE0000242455"/>
          <ticker value="SWEDA"/>
          <other otherDesc="SEDOL" value="4846523"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Residential Asset Securities C</name>
        <lei>N/A</lei>
        <title>RASC Series 2006-KS3 Trust</title>
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          <isin value="US76113ABL44"/>
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        <balance>180428.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177718.99000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>USD/GBP FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="97ROJ2VK13AA4RTF"/>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-30022.98000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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            <settlementDt>2022-10-04</settlementDt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Indutrade AB</name>
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        <title>Indutrade AB</title>
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          <isin value="SE0001515552"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Equity Residential</name>
        <lei>5493008RACSH5EP3PI59</lei>
        <title>Equity Residential</title>
        <cusip>29476L107</cusip>
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          <isin value="US29476L1070"/>
          <ticker value="EQR"/>
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        <balance>104402.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>7017902.44000000</valUSD>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>HSBC BANK PLC</name>
        <lei>MP6I5ZYZBEU3UXPYFY54</lei>
        <title>EUR/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="J56RC639MVGGU8EU"/>
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        <valUSD>19078.43000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>CBAM CLO Management</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Imperial Brands PLC</name>
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          <isin value="GB0004544929"/>
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        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <title>JPY/USD FORWARD</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <title>SWOP IRS USD</title>
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        <name>Fannie Mae or Freddie Mac</name>
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      <invstOrSec>
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        <name>THE LONDON METAL EXCHANGE</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>COOPERATIEVE RABOBANK UA</name>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <payOffProf>Long</payOffProf>
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      <invstOrSec>
        <name>RLJ Lodging Trust</name>
        <lei>N/A</lei>
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        <cusip>74965L101</cusip>
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          <isin value="US74965L1017"/>
          <ticker value="RLJ"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <title>USD/AUD FORWARD</title>
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        <name>UNITED RENTALS NORTH AM</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Keyence Corp</name>
        <lei>529900M7PQBS7A89DZ11</lei>
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          <ticker value="6861"/>
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        <assetCat>EC</assetCat>
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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>Mercedes-Benz Group AG</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Japan Aviation Electronics Ind</name>
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        <name>AMC ENTERTAINMENT HLDGS</name>
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      <invstOrSec>
        <name>MARKS &amp; SPENCER PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac</name>
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      <invstOrSec>
        <name>BELLIS ACQUISITION CO PL</name>
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        <name>New Residential Mortgage Loan</name>
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        <name>NORTHERN TERRITORY TREAS</name>
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        <name>BARCLAYS BANK PLC</name>
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        <name>AVOLON HOLDINGS FNDG LTD</name>
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        <name>UNITED KINGDOM I/L GILT</name>
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      <invstOrSec>
        <name>Experian PLC</name>
        <lei>635400RXXHHYT1JTSZ26</lei>
        <title>Experian PLC</title>
        <cusip>000000000</cusip>
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        <name>Washington Mutual Mortgage Pas</name>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <name>TSY INFL IX N/B</name>
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        <name>Spotify Technology SA</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Crown City CLO I</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Sumitomo Heavy Industries Ltd</name>
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        <name>J Sainsbury PLC</name>
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        <name>JP Morgan Mortgage Acquisition</name>
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        <name>Fannie Mae</name>
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        <name>Freddie Mac</name>
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        <fairValLevel>1</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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        <title>ICE Gas Oil</title>
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        <name>Bayerische Motoren Werke AG</name>
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        <name>CANADIAN GOVERNMENT RRB</name>
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        <name>Endesa SA</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>REPUBLIC OF SERBIA</name>
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        <title>Serbia International Bond</title>
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        <name>Huntington Bancshares Inc/OH</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <title>EUR/USD FORWARD</title>
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        <name>LUMEN TECHNOLOGIES INC</name>
        <lei>8M3THTGWLTYZVE6BBY25</lei>
        <title>Lumen Technologies Inc</title>
        <cusip>156700AM8</cusip>
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        <name>Government National Mortgage A</name>
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        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Trade Desk Inc/The</name>
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          <isin value="US88339J1051"/>
          <ticker value="TTD"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>CALPINE CORP</name>
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        <title>Calpine Corp</title>
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          <isin value="US131347CQ78"/>
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        <balance>925000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>REPUBLIC OF ECUADOR</name>
        <lei>5299003Y2U5XK0A35H71</lei>
        <title>Ecuador Government International Bond</title>
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          <isin value="XS2214238102"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Ellington Loan Acquisition Tru</name>
        <lei>N/A</lei>
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        <cusip>288542AA1</cusip>
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          <isin value="US288542AA12"/>
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        <balance>108656.53000000</balance>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>KINGDOM OF SPAIN</name>
        <lei>9598007A56S18711AH60</lei>
        <title>Spain Government International Bond</title>
        <cusip>000000000</cusip>
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          <isin value="XS0096272355"/>
          <other otherDesc="SEDOL" value="5666485"/>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CLP/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="H0U6D9S4KRIDUC8J"/>
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      <invstOrSec>
        <name>Texas Instruments Inc</name>
        <lei>WDJNR2L6D8RWOEB8T652</lei>
        <title>Texas Instruments Inc</title>
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          <isin value="US8825081040"/>
          <ticker value="TXN"/>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>NatWest Group PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NatWest Group PLC</title>
        <cusip>000000000</cusip>
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          <isin value="GB00BM8PJY71"/>
          <ticker value="NWG"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Meta Platforms Inc</name>
        <lei>BQ4BKCS1HXDV9HN80Z93</lei>
        <title>Meta Platforms Inc</title>
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          <ticker value="META"/>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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        <name>Charles Schwab Corp/The</name>
        <lei>549300VSGCJ7E698NM85</lei>
        <title>Charles Schwab Corp/The</title>
        <cusip>808513105</cusip>
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          <isin value="US8085131055"/>
          <ticker value="SCHW"/>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <title>SWOP CDS CDX.NA.HY.38.V2</title>
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        <name>WAMU Asset-Backed Certificates</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
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        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.89561595"/>
        <valUSD>-336463.91000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.74000000"/>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-337251.21000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DOMINICAN REPUBLIC</name>
        <lei>254900EHU7Q8FGVPI369</lei>
        <title>Dominican Republic International Bond</title>
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          <isin value="USP3579ECE51"/>
          <other otherDesc="SEDOL" value="BGLJW45"/>
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        <balance>2000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1430375.00000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>DO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.40000000</annualizedRt>
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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>ICE FUTURES U.S., INC.</name>
        <lei>5493004R83R1LVX2IL36</lei>
        <title>ICE US - Henry Ld1 Fixed Price</title>
        <cusip>000000000</cusip>
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          <ticker value="NDN24"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG009XQR6Q5"/>
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        <balance>3.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1386.91000000</valUSD>
        <pctVal>0.000025467705</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE FUTURES U.S., INC.</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>HENRY HB LD1</issuerName>
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                  <cusip value="000000000"/>
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            <expDate>2024-06-26</expDate>
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            <unrealizedAppr>1386.91000000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA CORP</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
        <cusip>06051GKP3</cusip>
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          <isin value="US06051GKP36"/>
          <other otherDesc="SEDOL" value="BM92KS8"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>374973.68000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <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>Tate &amp; Lyle PLC</name>
        <lei>2138008K14474WPKZ244</lei>
        <title>Tate &amp; Lyle PLC</title>
        <cusip>000000000</cusip>
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          <isin value="GB00BP92CJ43"/>
          <ticker value="TATE"/>
          <other otherDesc="SEDOL" value="BP92CJ4"/>
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        <balance>139362.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="GBP" exchangeRt="0.89561595"/>
        <valUSD>1050765.31000000</valUSD>
        <pctVal>0.019295110496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Toagosei Co Ltd</name>
        <lei>N/A</lei>
        <title>Toagosei Co Ltd</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP3556400004"/>
          <ticker value="4045"/>
          <other otherDesc="SEDOL" value="6894467"/>
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        <balance>133600.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="JPY" exchangeRt="144.73000000"/>
        <valUSD>997399.54000000</valUSD>
        <pctVal>0.018315159579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>CRUDE OIL</title>
        <cusip>000000000</cusip>
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          <ticker value="COM3P80"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG0116RRGB3"/>
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        <balance>-6.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-79440.00000000</valUSD>
        <pctVal>-0.00145874969</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
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                  <derivAddlInfo>
                    <name>ICE FUTURES EUROPE</name>
                    <lei>549300UF4R84F48NCH34</lei>
                    <title>ICE Brent Crude Oil</title>
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                      <ticker value="COM3"/>
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                    <curCd>USD</curCd>
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                    <invOthCountry>US</invOthCountry>
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                  <payOffProf>Short</payOffProf>
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                      <issuerName>BRENT CRUDE OIL</issuerName>
                      <issueTitle>BRENT CRUDE OIL</issueTitle>
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            <shareNo>1000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-23054.84000000</unrealizedAppr>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS EUR</title>
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          <other otherDesc="INTERNAL" value="SWU07KU29"/>
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        <balance>1.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
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          <ticker value="AFYX22"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00JRM8FL5"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>BRENT CRUDE OIL</issuerName>
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      <invstOrSec>
        <name>Stellantis NV</name>
        <lei>549300LKT9PW7ZIBDF31</lei>
        <title>Stellantis NV</title>
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          <ticker value="STLA"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810QV35"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1210089.34000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>CDS REPUBLIC OF TURKEY</title>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>753219.96000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>TURKEY GOVERNMENT INTERNATIONAL BOND</issuerName>
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            <swapFlag>Y</swapFlag>
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        <name>Haleon PLC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Mid-America Apartment Communit</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Kimberly-Clark Corp</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>SOCIETE GENERALE</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>BARCLAYS BANK PLC</name>
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        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <fairValLevel>2</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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        <fairValLevel>1</fairValLevel>
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        <name>EG FINCO LTD</name>
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        <name>Option One Mortgage Loan Trust</name>
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        <name>O'Reilly Automotive Inc</name>
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        <name>Woodside Energy Group Ltd</name>
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        <name>GOLDMAN SACHS BANK USA</name>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>Novo Nordisk A/S</name>
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      <invstOrSec>
        <name>BNP Paribas (Suisse) SA</name>
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        <name>WI INFL IDX N/B</name>
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        <name>GOLDMAN SACHS GROUP INC</name>
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        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>PGIM Institutional Money Market Fund - D</name>
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        <fairValLevel>1</fairValLevel>
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        <name>J.P. MORGAN SECURITIES LLC</name>
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        <name>BARCLAYS BANK PLC</name>
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        <name>UBS Securities LLC</name>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BELLIS FINCO PLC</name>
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        <name>Swiss Life Holding AG</name>
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        <name>Siemens AG</name>
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        <name>TSY INFL IX N/B</name>
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        <name>Mansard Mortgages Plc</name>
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        <title>Mansard Mortgages 2007-2 PLC</title>
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        <name>BNP PARIBAS (SUISSE) SA</name>
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        <name>Monster Beverage Corp</name>
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        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>CSAB Mortgage Backed Trust</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>Autodesk Inc</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Essex Property Trust Inc</name>
        <lei>549300TR2H2VEFX0NC60</lei>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>KDDI Corp</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Ross Stores Inc</name>
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        <name>Government National Mortgage A</name>
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        <title>Government National Mortgage Association</title>
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        <name>Zurich Insurance Group AG</name>
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        <name>Fannie Mae</name>
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        <title>Fannie Mae Pool</title>
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        <name>REPUBLIC OF COLOMBIA</name>
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        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Pfizer Inc</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
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        <name>Newgate Funding PLC</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>KILROY REALTY LP</name>
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        <name>RUSSIAN FEDERATION</name>
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      <invstOrSec>
        <name>CHARTER COMMUNICATIONS INC</name>
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      <invstOrSec>
        <name>DROP Mortgage Trust 2021-FILE</name>
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        <title>DROP Mortgage Trust 2021-FILE</title>
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        <name>Soundview Home Equity Loan Tru</name>
        <lei>N/A</lei>
        <title>Soundview Home Loan Trust 2007-OPT1</title>
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      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>Sankyu Inc</name>
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        <title>Sankyu Inc</title>
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        <fairValLevel>2</fairValLevel>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>OCCIDENTAL PETROLEUM COR</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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      <invstOrSec>
        <name>VENTURE GLOBAL CALCASIEU</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Residential Asset Securities C</name>
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        <issuerCat>CORP</issuerCat>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>New Residential Mortgage Loan</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust 2020-RPL1</title>
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          <isin value="US64828XAA19"/>
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        <balance>1349729.45000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
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                  <isin value="XS1791937441"/>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2006-2CB</title>
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          <isin value="US12668BLY73"/>
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        <name>MidOcean Credit CLO</name>
        <lei>549300XXQYQPW7OQNX23</lei>
        <title>Midocean Credit CLO IX</title>
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        <balance>1200000.00000000</balance>
        <units>PA</units>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>VMWARE INC</name>
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        <title>VMware Inc</title>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>ICE Endex</name>
        <lei>N/A</lei>
        <title>Carbon Emissions</title>
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          <ticker value="MOZ22"/>
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        <assetCat>DCO</assetCat>
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                <issuerName>ICE FUTURES EUROPE</issuerName>
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        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
        <lei>5493000F4ZO33MV32P92</lei>
        <title>CDS CDX.NA.IG.38.V1</title>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>IHS MARKIT LTD</issuerName>
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      </invstOrSec>
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        <name>CSC HOLDINGS LLC</name>
        <lei>3HG2WD2W22M120IUNG49</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Daikin Industries Ltd</name>
        <lei>549300Y7FWSTSHMW5Y57</lei>
        <title>Daikin Industries Ltd</title>
        <cusip>000000000</cusip>
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          <isin value="JP3481800005"/>
          <ticker value="6367"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SANTANDER UK GROUP HLDGS</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>Santander UK Group Holdings PLC</title>
        <cusip>80281LAJ4</cusip>
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          <isin value="US80281LAJ44"/>
          <other otherDesc="SEDOL" value="BFMVZH7"/>
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        <balance>2700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2662092.27000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-16CB</title>
        <cusip>02152AAY5</cusip>
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          <isin value="US02152AAY55"/>
          <other otherDesc="SEDOL" value="B86WCW1"/>
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        <balance>18561.77000000</balance>
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        <curCd>USD</curCd>
        <valUSD>10463.37000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>REPUBLIC OF EL SALVADOR</name>
        <lei>529900AKDMUSFSDOM949</lei>
        <title>El Salvador Government International Bond</title>
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          <isin value="USP01012AT38"/>
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        <balance>1300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>480025.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SV</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>Redrow PLC</name>
        <lei>2138008WJZBBA7EYEL28</lei>
        <title>Redrow PLC</title>
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          <ticker value="RDW"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <title>TRS BCOM INDEX</title>
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          <other otherDesc="INTERNAL" value="SWU0ES480"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>34001.30000000</valUSD>
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        <assetCat>DE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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                <issuerName>BCOM INDEX</issuerName>
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                  <cusip value="000000000"/>
                  <ticker value="BCOM"/>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>L'Oreal SA</name>
        <lei>529900JI1GG6F7RKVI53</lei>
        <title>L'Oreal SA</title>
        <cusip>000000000</cusip>
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          <isin value="FR0000120321"/>
          <ticker value="OR"/>
          <other otherDesc="SEDOL" value="4057808"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS JPY</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU01BYN5"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MIZUHO FINANCIAL GROUP</name>
        <lei>353800CI5L6DDAN5XZ33</lei>
        <title>Mizuho Financial Group Inc</title>
        <cusip>60687YBF5</cusip>
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          <isin value="US60687YBF51"/>
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        <balance>3500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3384033.45000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>CNH/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="9VQEHTVIPBA7UBL4"/>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS SECURITIES CORP.</counterpartyName>
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      <invstOrSec>
        <name>Investec PLC</name>
        <lei>2138007Z3U5GWDN3MY22</lei>
        <title>Investec PLC</title>
        <cusip>000000000</cusip>
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          <ticker value="INVP"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ZA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS SGD</title>
        <cusip>000000000</cusip>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-21CB</title>
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      <invstOrSec>
        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
        <lei>5493000F4ZO33MV32P92</lei>
        <title>CDS TESCO</title>
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        <assetCat>DCR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>TESCO PLC</issuerName>
                <issueTitle>TESCO PLC</issueTitle>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>US TREASURY N/B</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <balance>1145578.98000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>London Stock Exchange Group PL</name>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES U.S., INC.</name>
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        <title>ICE US - Henry Ld1 Fixed Price</title>
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        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>JP Morgan Mortgage Acquisition</name>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <name>Fannie Mae or Freddie Mac</name>
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        <name>BNP PARIBAS (SUISSE) SA</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>ONEOK INC</name>
        <lei>2T3D6M0JSY48PSZI1Q41</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912810RR14"/>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <annualizedRt>1.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>TENCENT HOLDINGS LTD</name>
        <lei>254900N4SLUMW4XUYY11</lei>
        <title>Tencent Holdings Ltd</title>
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          <isin value="US88032XAN49"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Husqvarna AB</name>
        <lei>549300GYQIIJ3UXB7655</lei>
        <title>Husqvarna AB</title>
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          <isin value="SE0001662230"/>
          <ticker value="HUSQB"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SE</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Teijin Ltd</name>
        <lei>3538000RF6UCIMPKCO54</lei>
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          <isin value="JP3544000007"/>
          <ticker value="3401"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Unipol Gruppo SpA</name>
        <lei>8156005CE5E7340CCA86</lei>
        <title>Unipol Gruppo SpA</title>
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          <isin value="IT0004810054"/>
          <ticker value="UNI"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>UKRAINE GOVERNMENT</name>
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        <title>Ukraine Government International Bond</title>
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          <isin value="XS2010033343"/>
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        <invCountry>UA</invCountry>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>VICI Properties Inc</name>
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        <name>Asset Backed Funding Certifica</name>
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        <title>ABFC 2004-OPT5 Trust</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
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        <name>SOCIETE GENERALE</name>
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        <title>Societe Generale SA</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Fannie Mae</name>
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      <invstOrSec>
        <name>Regeneron Pharmaceuticals Inc</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Colgate-Palmolive Co</name>
        <lei>YMEGZFW4SBUSS5BQXF88</lei>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>COMMODITY EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>REPUBLICA ORIENT URUGUAY</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Ipsen SA</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>Coloplast A/S</name>
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        <title>Coloplast A/S</title>
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        <fairValLevel>2</fairValLevel>
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        <name>CODELCO INC</name>
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        <title>Corp Nacional del Cobre de Chile</title>
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        <invCountry>CL</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>TSY INFL IX N/B</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Freenet AG</name>
        <lei>5299003GLDODCVP8DO20</lei>
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        <invCountry>DE</invCountry>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <title>USD/CLP FORWARD</title>
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        <name>DIAMOND SPORTS GROUP LLC</name>
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        <name>Allianz SE</name>
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        <name>NEWELL BRANDS INC</name>
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        <title>Newell Brands Inc</title>
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        <name>ICE FUTURES U.S., INC.</name>
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        <title>ICE US MINI MSCI EAFE INDEX</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS (SUISSE) SA</name>
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        <balance>2500000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Purchased</writtenOrPur>
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                  <derivAddlInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="HE9NPMPFIMI73C03"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140MGLD1</cusip>
        <identifiers>
          <isin value="US3140MGLD11"/>
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        <balance>581518.83000000</balance>
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        <curCd>USD</curCd>
        <valUSD>472064.01000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP PARIBAS (SUISSE) SA</name>
        <lei>QHSFEYI7HUOXXZ413E03</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SW317U08BA1"/>
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        <balance>-1900000.00000000</balance>
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        <descOthUnits>Other</descOthUnits>
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        <pctVal>-0.00000255115</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BNP PARIBAS (SUISSE) SA</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BNP PARIBAS (SUISSE) SA</counterpartyName>
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                    <name>BNP PARIBAS (SUISSE) SA</name>
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                    <title>IRS EUR</title>
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                      <other otherDesc="INTERNAL" value="SW317U08BA1SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
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                    <invOthCountry>US</invOthCountry>
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      <invstOrSec>
        <name>REPUBLIC OF ARGENTINA</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>Argentine Republic Government International Bond</title>
        <cusip>040114HV5</cusip>
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          <isin value="US040114HV54"/>
          <other otherDesc="SEDOL" value="BNC1852"/>
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        <curCd>USD</curCd>
        <valUSD>1740210.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-09</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
        <lei>5493003GCX71N8988W38</lei>
        <title>USD/AUD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="RR03G6JOSMD88229"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</counterpartyName>
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            <amtCurSold>-1188214.00000000</amtCurSold>
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        <securityLending>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CITIBANK, NATIONAL ASSOCIATION</counterpartyName>
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                <issuerName>UNITED MEXICAN STATES</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU02AM25"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Adobe Inc</name>
        <lei>FU4LY2G4933NH2E1CP29</lei>
        <title>Adobe Inc</title>
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          <ticker value="ADBE"/>
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        <assetCat>EC</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>STATE OF QATAR</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>Qatar Government International Bond</title>
        <cusip>000000000</cusip>
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          <isin value="XS1959337749"/>
          <other otherDesc="SEDOL" value="BH3JG26"/>
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        <balance>1700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1568250.00000000</valUSD>
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      <invstOrSec>
        <name>FRANCE (GOVT OF)</name>
        <lei>969500KCGF3SUYJHPV70</lei>
        <title>French Republic Government Bond OAT</title>
        <cusip>000000000</cusip>
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          <isin value="FR001400AQH0"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Ludgate Funding Plc</name>
        <lei>213800LADM2GPWI3P269</lei>
        <title>Ludgate Funding PLC</title>
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      <invstOrSec>
        <name>REALKREDIT DANMARK</name>
        <lei>549300NLOMBOWE943Y30</lei>
        <title>Realkredit Danmark A/S</title>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>USD/BRL FORWARD</title>
        <cusip>000000000</cusip>
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      <invstOrSec>
        <name>REPUBLIC OF PERU</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>Peruvian Government International Bond</title>
        <cusip>715638BV3</cusip>
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          <isin value="US715638BV39"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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        <name>Venture CDO Ltd</name>
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        <name>Accenture PLC</name>
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        <name>Generate CLO Ltd.</name>
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        <name>Bear Stearns Mortgage Funding</name>
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        <name>Diageo PLC</name>
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        <name>Citibank, National Association</name>
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        <name>Towd Point Mortgage Trust</name>
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        <name>Signify NV</name>
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        <name>New Residential Mortgage Loan</name>
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        <name>European Loan Conduit</name>
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        <name>Synopsys Inc</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>NYKREDIT REALKREDIT AS</name>
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        <name>UNITED KINGDOM I/L GILT</name>
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        <name>TSY INFL IX N/B</name>
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        <name>MINNEAPOLIS GRAIN EXCHANGE</name>
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        <name>ICE FUTURES EUROPE</name>
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        <name>Securitized Asset Backed Recei</name>
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      <invstOrSec>
        <name>LG Energy Solution Ltd</name>
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        <name>Fortescue Metals Group Ltd</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certi</name>
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        <name>BT Group PLC</name>
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        <name>Carlyle Global Market Strategi</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>First Franklin Mtg Loan Asset</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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                <issuerName>COLOMBIA GOVERNMENT INTERNATIONAL BOND</issuerName>
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      <invstOrSec>
        <name>Dollar Tree Inc</name>
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        <name>UnipolSai Assicurazioni SpA</name>
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          <isin value="IT0004827447"/>
          <ticker value="US"/>
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        <balance>759000.00000000</balance>
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        <securityLending>
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        <name>SMC Corp</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="0JPIQTI2C19IAPP6"/>
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      <invstOrSec>
        <name>SPRINT CAPITAL CORP</name>
        <lei>549300L17W0GQBR1PO80</lei>
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      <invstOrSec>
        <name>Hong Leong Asia Ltd</name>
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        <name>Public Storage</name>
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        <title>Public Storage</title>
        <cusip>74460D109</cusip>
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          <ticker value="PSA"/>
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        <curCd>USD</curCd>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Asahi Intecc Co Ltd</name>
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        <title>Asahi Intecc Co Ltd</title>
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          <ticker value="7747"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>Mitsubishi UFJ Financial Group</name>
        <lei>353800V2V8PUY9TK3E06</lei>
        <title>Mitsubishi UFJ Financial Group Inc</title>
        <cusip>000000000</cusip>
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          <isin value="JP3902900004"/>
          <ticker value="8306"/>
          <other otherDesc="SEDOL" value="6335171"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0326B5</cusip>
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        <balance>-3300000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>COMMODITY EXCHANGE, INC.</name>
        <lei>N/A</lei>
        <title>COMEX Silver</title>
        <cusip>000000000</cusip>
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          <ticker value="SIZ2"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00JKZQV38"/>
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        <balance>-4.00000000</balance>
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        <curCd>USD</curCd>
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        <derivativeInfo>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>SILVER</issuerName>
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            <expDate>2022-12-28</expDate>
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      </invstOrSec>
      <invstOrSec>
        <name>REPUBLIC OF PHILIPPINES</name>
        <lei>529900RAHBALMYIJ3T08</lei>
        <title>Philippine Government International Bond</title>
        <cusip>718286CA3</cusip>
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          <isin value="US718286CA32"/>
          <other otherDesc="SEDOL" value="BYXBMS9"/>
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        <balance>1300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>994643.00000000</valUSD>
        <pctVal>0.018264541479</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.70000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <name>Morgan Stanley Capital Inc</name>
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        <name>UBS Securities LLC</name>
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        <name>ICE FUTURES EUROPE</name>
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        <title>SNG GSOIL V LOW SU</title>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <swapDeriv derivCat="SWP">
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                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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                      <issuerName>IHS MARKIT LTD</issuerName>
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                  <upfrontRcpt>0.00000000</upfrontRcpt>
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                  <curCd>N/A</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Abbott Laboratories</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>STRIPS</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Sonae SGPS SA</name>
        <lei>549300847SOBT7HY7R50</lei>
        <title>Sonae SGPS SA</title>
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          <isin value="PTSON0AM0001"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>PT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>THE TORONTO-DOMINION BANK</name>
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        <title>INR/USD FORWARD</title>
        <cusip>000000000</cusip>
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          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="MDJ2209130135253"/>
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        <curCd>USD</curCd>
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        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
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      <invstOrSec>
        <name>CIM Trust</name>
        <lei>N/A</lei>
        <title>CIM Trust 2019-INV1</title>
        <cusip>12555DAB1</cusip>
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          <isin value="US12555DAB10"/>
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        <balance>215655.77000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2005-AR12</title>
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          <isin value="US45660LMG13"/>
          <other otherDesc="SEDOL" value="B8JF1V9"/>
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        <balance>1365877.71000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1269969.46000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>AMERICAN MUNI PWR-OHIO INC OH</name>
        <lei>EARKGGZJJEMVD66XQ486</lei>
        <title>American Municipal Power Inc</title>
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          <isin value="US02765UEK60"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>American Tower Corp</name>
        <lei>5493006ORUSIL88JOE18</lei>
        <title>American Tower Corp</title>
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          <isin value="US03027X1000"/>
          <ticker value="AMT"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>2 YEAR US TREASURY NOTE</title>
        <cusip>000000000</cusip>
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          <ticker value="TUZ2"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG014ZV7D52"/>
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        <balance>472.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                <issuerName>US TREASURY N/B</issuerName>
                <issueTitle>United States Treasury Note/Bond</issueTitle>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140FXLQ3</cusip>
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      <invstOrSec>
        <name>REALKREDIT DANMARK</name>
        <lei>549300NLOMBOWE943Y30</lei>
        <title>Realkredit Danmark A/S</title>
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          <isin value="DK0004619467"/>
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        <currencyConditional curCd="DKK" exchangeRt="7.58650000"/>
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      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0204A4</cusip>
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        <balance>-12100000.00000000</balance>
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        <issuerCat>USGSE</issuerCat>
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        <name>OMV AG</name>
        <lei>549300V62YJ9HTLRI486</lei>
        <title>OMV AG</title>
        <cusip>000000000</cusip>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AT</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Kingspan Group PLC</name>
        <lei>635400HM7V74SUB9OG75</lei>
        <title>Kingspan Group PLC</title>
        <cusip>000000000</cusip>
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          <ticker value="KSP"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Venture Corp Ltd</name>
        <lei>254900B1NLZC3J1MAE72</lei>
        <title>Venture Corp Ltd</title>
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          <ticker value="VMS"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>3i Group PLC</name>
        <lei>35GDVHRBMFE7NWATNM84</lei>
        <title>3i Group PLC</title>
        <cusip>000000000</cusip>
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          <ticker value="III"/>
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        <balance>151900.00000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <fairValLevel>2</fairValLevel>
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        <name>FORD MOTOR COMPANY</name>
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        <fairValLevel>2</fairValLevel>
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        <name>HSBC BANK PLC</name>
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        <name>Citigroup Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>REALKREDIT DANMARK</name>
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        <title>Realkredit Danmark A/S</title>
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          <isin value="DK0004619624"/>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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          <other otherDesc="INTERNAL" value="70O1UIQPDC4TTFRB"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <name>Credit Suisse Mortgage Trust</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>American Express Co</name>
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        <name>ICE FUTURES EUROPE</name>
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        <title>SNG GSOIL V LOW SU</title>
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        <name>BNP PARIBAS</name>
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        <name>Thermo Fisher Scientific Inc</name>
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        <title>Thermo Fisher Scientific Inc</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS AUD</title>
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        <name>British American Tobacco PLC</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Bank of America, National Association</name>
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      <invstOrSec>
        <name>YUE YUEN IND</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>ALTICE FRANCE SA</name>
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        <title>Altice France SA/France</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>OZLM Funding Ltd</name>
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      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
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            <swapFlag>Y</swapFlag>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>Carvana Co</name>
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        <name>Morgan Stanley IXIS Real Estat</name>
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        <name>HSBC BANK PLC</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <name>Rentokil Initial PLC</name>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Washington Mutual Mortgage Pas</name>
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          <isin value="US93935AAC62"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Equifax Inc</name>
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        <fairValLevel>1</fairValLevel>
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        <name>Aristocrat Leisure Ltd</name>
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        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <rcptCurCd>USD</rcptCurCd>
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      <invstOrSec>
        <name>WP Carey Inc</name>
        <lei>54930042CRNE713E3Q67</lei>
        <title>WP Carey Inc</title>
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          <ticker value="WPC"/>
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        <balance>52504.00000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>TREASURY BILL</name>
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        <title>United States Treasury Bill</title>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Netflix Inc</name>
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        <fairValLevel>1</fairValLevel>
        <securityLending>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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        <name>UNITED AIRLINES INC</name>
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        <title>United Airlines Inc</title>
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        <name>SA GLOBAL SUKUK LTD</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Fannie Mae or Freddie Mac</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <title>SWOP CDS CDX.NA.IG.38.V1</title>
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        <balance>14210000.00000000</balance>
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        <descOthUnits>Other</descOthUnits>
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        <valUSD>0.10000000</valUSD>
        <pctVal>0.000000001836</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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

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        <securityLending>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <name>Repsol SA</name>
        <lei>BSYCX13Y0NOTV14V9N85</lei>
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        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
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          <other otherDesc="INTERNAL" value="SWU0Z3003"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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          <ticker value="BOPV22"/>
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        <name>Atos SE</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Segro PLC</name>
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        <name>HarborView Mortgage Loan Trust</name>
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        <name>IndyMac INDX Mortgage Loan Tru</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>STANDARD CHARTERED BANK</name>
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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>Rio Tinto Ltd</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>Fannie Mae or Freddie Mac</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>THE LONDON METAL EXCHANGE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <fairValLevel>1</fairValLevel>
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                      <issuerName>BRENT CRUDE OIL</issuerName>
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      <invstOrSec>
        <name>Orkla ASA</name>
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        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>DEUTSCHE BANK NY</name>
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        <title>Deutsche Bank AG/New York NY</title>
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        <balance>1050000.00000000</balance>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LOW SULPHUR GAS OIL</title>
        <cusip>000000000</cusip>
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          <ticker value="BOPX22"/>
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        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>LOW SULPHUR GAS OIL</issuerName>
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            <expDate>2022-11-30</expDate>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
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          <isin value="US01F0426A65"/>
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        <balance>16200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>15431765.71000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LOSULGO1 VS BNT1S</title>
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          <ticker value="ABEH23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00HT47JD9"/>
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        <balance>1.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4544.13000000</valUSD>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <issuerName>ICE FUTURES EUROPE</issuerName>
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      <invstOrSec>
        <name>ISRAEL ELECTRIC CORP LTD</name>
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        <title>Israel Electric Corp Ltd</title>
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        <invCountry>IL</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>STRIPS</name>
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        <title>United States Treasury Strip Coupon</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Investo</name>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
        <name>TREASURY CORP VICTORIA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <writtenOrPur>Written</writtenOrPur>
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                    <name>GOLDMAN SACHS BANK USA</name>
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                    <invOthCountry>US</invOthCountry>
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        <name>D/S Norden A/S</name>
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        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>FRANCE (GOVT OF)</name>
        <lei>969500KCGF3SUYJHPV70</lei>
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        <cusip>000000000</cusip>
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          <isin value="FR0011427848"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>ICE Brent Crude Oil</title>
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          <ticker value="COZ3"/>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                <issuerName>BRENT CRUDE OIL</issuerName>
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      <invstOrSec>
        <name>NOMURA HOLDINGS INC</name>
        <lei>549300B3CEAHYG7K8164</lei>
        <title>Nomura Holdings Inc</title>
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          <isin value="US65535HAZ29"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU09WW11"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <name>DEUTSCHE BANK NY</name>
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        <title>Deutsche Bank AG/New York NY</title>
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      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgage</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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          <other otherDesc="INTERNAL" value="SWU0DG651"/>
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        <name>SWISS INSURED BRAZIL</name>
        <lei>254900OBFHBLNHXH1Z48</lei>
        <title>Swiss Insured Brazil Power Finance Sarl</title>
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        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Ryanair Holdings PLC</name>
        <lei>635400BR2ROC1FVEBQ56</lei>
        <title>Ryanair Holdings PLC</title>
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        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <name>Orange SA</name>
        <lei>969500MCOONR8990S771</lei>
        <title>Orange SA</title>
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        <name>HSBC BANK PLC</name>
        <lei>MP6I5ZYZBEU3UXPYFY54</lei>
        <title>USD/TWD FORWARD</title>
        <cusip>000000000</cusip>
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      <invstOrSec>
        <name>New Hope Corp Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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            <delta>XXXX</delta>
            <unrealizedAppr>-79885.05000000</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>ICE FUTURES EUROPE</name>
                    <lei>549300UF4R84F48NCH34</lei>
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                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
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                      <issuerName>BRENT CRUDE OIL</issuerName>
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            <delta>XXXX</delta>
            <unrealizedAppr>7434.93000000</unrealizedAppr>
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      <invstOrSec>
        <name>Bear Stearns Adjustable Rate M</name>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>TSY INFL IX N/B</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <balance>8632538.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <title>CORN</title>
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      <invstOrSec>
        <name>REPUBLIC OF TURKEY</name>
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      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
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            <unrealizedAppr>48640.08000000</unrealizedAppr>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Australia &amp; New Zealand Bankin</name>
        <lei>JHE42UYNWWTJB8YTTU19</lei>
        <title>Australia &amp; New Zealand Banking Group Ltd</title>
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        <invCountry>AU</invCountry>
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        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <name>REPUBLIC OF CHILE</name>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>CL</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Towd Point Mortgage Funding</name>
        <lei>635400655NWVVZHH1395</lei>
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          <isin value="XS1968576568"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2007-AHL1</title>
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          <isin value="US17311VAF67"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.50400000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140X47J9</cusip>
        <identifiers>
          <isin value="US3140X47J93"/>
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        <balance>222609.98000000</balance>
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        <curCd>USD</curCd>
        <valUSD>210906.68000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Washington Mutual Mortgage Pas</name>
        <lei>N/A</lei>
        <title>Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2007-OA3 Trust</title>
        <cusip>939355AB9</cusip>
        <identifiers>
          <isin value="US939355AB98"/>
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        <balance>282150.80000000</balance>
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        <curCd>USD</curCd>
        <valUSD>243096.67000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>1.85402100</annualizedRt>
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      <invstOrSec>
        <name>UNITED KINGDOM GILT</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>United Kingdom Gilt</title>
        <cusip>000000000</cusip>
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          <isin value="GB00BMBL1F74"/>
          <other otherDesc="SEDOL" value="BMBL1F7"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2050-10-22</maturityDt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>BNP Paribas (Suisse) SA</name>
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        <title>SWOP CDS CDX.NA.IG.38.V1</title>
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          <other otherDesc="INTERNAL" value="SWB8AAQKVG7"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Resimac</name>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>American Assets Trust Inc</name>
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        <name>Linde PLC</name>
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        <name>UNITED KINGDOM GILT</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>United Kingdom Gilt</title>
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        <name>TSY INFL IX N/B</name>
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        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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        <name>GS Mortgage-Backed Securities</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <name>ICE FUTURES U.S., INC.</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>SNG GSOIL V LOW SU</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>MIZUHO FINANCIAL GROUP</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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      <invstOrSec>
        <name>NISSAN MOTOR CO</name>
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        <name>TSY INFL IX N/B</name>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>BRENT CRUDE OIL</issuerName>
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      <invstOrSec>
        <name>Mitsubishi HC Capital Inc</name>
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        <title>Mitsubishi HC Capital Inc</title>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Soundview Home Equity Loan Tru</name>
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      <invstOrSec>
        <name>PACIFIC GAS &amp; ELECTRIC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Cadence Design Systems Inc</name>
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        <title>Cadence Design Systems Inc</title>
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        <name>GOLDMAN SACHS INTERNATIONAL</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Homeward Opportunities Fund I</name>
        <lei>N/A</lei>
        <title>Homeward Opportunities Fund I Trust 2020-2</title>
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          <isin value="US43789XAA28"/>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>Dreyfus Government Cash Management</name>
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        <title>Dreyfus Government Cash Management</title>
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          <ticker value="DGCXX"/>
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        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
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          <ticker value="ABYF23"/>
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        <curCd>USD</curCd>
        <valUSD>-4809.77000000</valUSD>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>ICE FUTURES EUROPE</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>UBS AG</name>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>UBS AG</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>DEUTSCHE BANK NY</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ASCENT RESOURCES/ARU FIN</name>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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      <invstOrSec>
        <name>Taylor Wimpey PLC</name>
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        <title>Taylor Wimpey PLC</title>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <title>CNH/USD FORWARD</title>
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        <name>GOLDMAN SACHS BANK USA</name>
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      <invstOrSec>
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        <fairValLevel>1</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Rexford Industrial Realty Inc</name>
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        <fairValLevel>1</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Equity LifeStyle Properties In</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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      </invstOrSec>
      <invstOrSec>
        <name>ConocoPhillips</name>
        <lei>WPTL2Z3FIYTHSP5V2253</lei>
        <title>ConocoPhillips</title>
        <cusip>20825C104</cusip>
        <identifiers>
          <isin value="US20825C1045"/>
          <ticker value="COP"/>
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        <balance>127029.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>13000147.86000000</valUSD>
        <pctVal>0.238720565894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>REPUBLIC OF PERU</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>Peruvian Government International Bond</title>
        <cusip>715638CE0</cusip>
        <identifiers>
          <isin value="US715638CE05"/>
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        <balance>4900000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.98370000"/>
        <valUSD>1078526.45000000</valUSD>
        <pctVal>0.019804885855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.94000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317U02JA6"/>
        </identifiers>
        <balance>-1000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-13218.19000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SW317U02JA6SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.00000000</valUSD>
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                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>THE SECURED OVERNIGHT FINANCING RATE</issuerName>
                      <issueTitle>THE SECURED OVERNIGHT FINANCING RATE</issueTitle>
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                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="SOFR_RATE_US"/>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.92000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="THE SECURED OVERNIGHT FINANCING RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>0.00000000</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <principalAmt>-1000000.00000000</principalAmt>
            <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2023-10-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-7180.69000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Saxon Asset Securities Trust</name>
        <lei>N/A</lei>
        <title>Saxon Asset Securities Trust 2005-1</title>
        <cusip>805564RP8</cusip>
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          <isin value="US805564RP85"/>
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        <balance>771821.22000000</balance>
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        <curCd>USD</curCd>
        <valUSD>636915.44000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.95075000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Towd Point Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Towd Point Mortgage Trust 2019-HY2</title>
        <cusip>89177HAA0</cusip>
        <identifiers>
          <isin value="US89177HAA05"/>
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        <balance>1471984.44000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1443753.25000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.08400000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS INTERNATIONAL</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>CDS CMBX.NA.AAA.8</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWPC0ATK0"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-761.46000000</valUSD>
        <pctVal>-0.00001398262</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>IHS MARKIT LTD</issuerName>
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                  <cusip value="000000000"/>
                  <other otherDesc="INTERNAL" value="137BENAH9_SWAP_US"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.50000000"/>
            <otherPmntDesc fixedOrFloating="Other">Default Event</otherPmntDesc>
            <terminationDt>2057-10-17</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-47553.69000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1000000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>46792.23000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0324A9</cusip>
        <identifiers>
          <isin value="US01F0324A92"/>
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        <balance>-800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-756000.00000000</valUSD>
        <pctVal>-0.01388236116</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Voya CLO Ltd</name>
        <lei>5493007ASGBOUR3XJY69</lei>
        <title>Voya CLO 2013-2 Ltd</title>
        <cusip>92916WAA7</cusip>
        <identifiers>
          <isin value="US92916WAA71"/>
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        <balance>3000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2922425.40000000</valUSD>
        <pctVal>0.053664239267</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.77253000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWU0Y9274"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-292984.19000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.33500000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI URBAN CONSUMERS" floatingRtSpread="0.00000000" pmntAmt="-3660000.00000000">
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            <terminationDt>2028-02-05</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
        <lei>529900LN3S50JPU47S06</lei>
        <title>Eurex 2 Year Euro SCHATZ</title>
        <cusip>000000000</cusip>
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          <ticker value="DUZ2"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG015WRSZP7"/>
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        <balance>314.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
        <valUSD>-313637.01000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
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                <issuerName>BUNDESSCHATZANWEISUNGEN</issuerName>
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                  <isin value="DE0001104891"/>
                  <other otherDesc="SEDOL" value="BPH2K81"/>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BANCA MONTE DEI PASCHI S</name>
        <lei>J4CP7MHCXR8DAQMKIL78</lei>
        <title>Banca Monte dei Paschi di Siena SpA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="IT0005386922"/>
          <other otherDesc="SEDOL" value="BK5GK79"/>
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        <balance>1300000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
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        <pctVal>0.020996830710</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>NATIONSTAR MTG HLD INC</name>
        <lei>N/A</lei>
        <title>Nationstar Mortgage Holdings Inc</title>
        <cusip>63861CAA7</cusip>
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          <isin value="US63861CAA71"/>
          <other otherDesc="SEDOL" value="BKLPS65"/>
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        <balance>225000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>192177.71000000</valUSD>
        <pctVal>0.003528942299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS BANK USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>SWOP IRS EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317U00CA7"/>
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        <balance>-5600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="1.02035610"/>
        <valUSD>-59804.71000000</valUSD>
        <pctVal>-0.00109818860</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS BANK USA</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>GOLDMAN SACHS BANK USA</counterpartyName>
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                  <derivAddlInfo>
                    <name>GOLDMAN SACHS BANK USA</name>
                    <lei>KD3XUN7C6T14HNAYLU02</lei>
                    <title>IRS EUR</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="INTERNAL" value="SW317U00CA7SO"/>
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                    <balance>0.00000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="0.00000000"/>
                    <valUSD>0.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerCat>CORP</issuerCat>
                    <invCountry>US</invCountry>
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        <name>AERCAP IRELAND CAP/GLOBA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BARCLAYS PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>SOCIETE GENERALE</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Credit-Based Asset Servicing a</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Bear Stearns Adjustable Rate M</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>STANDARD CHARTERED SECURITIES (NORTH AMERICA) LLC</name>
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      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>Dollar General Corp</name>
        <lei>OPX52SQVOZI8IVSWYU66</lei>
        <title>Dollar General Corp</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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        <name>BNP PARIBAS (SUISSE) SA</name>
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        <title>SWOP IRS EUR</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BARCLAYS PLC</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>Zoetis Inc</name>
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      <invstOrSec>
        <name>DIGICEL INTL FINANCE LTD</name>
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      <invstOrSec>
        <name>DEUTSCHE BANK NY</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Freddie Mac</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>St Pauls CLO</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <name>Airbus SE</name>
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        <name>GOLDMAN SACHS BANK USA</name>
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        <name>MUTHOOT FINANCE LTD</name>
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        <name>Bear Stearns Alt-A Trust</name>
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      <invstOrSec>
        <name>Subaru Corp</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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        <name>Fannie Mae or Freddie Mac</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>IVORY COAST</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Securitas AB</name>
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        <title>Securitas AB</title>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS GBP</title>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <name>SOCIETE GENERALE</name>
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      <invstOrSec>
        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <name>SOUTHERN CAL EDISON</name>
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        <name>GOLDMAN SACHS &amp; CO LLC</name>
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        <name>TPC GROUP INC</name>
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        <name>BARCLAYS BANK PLC</name>
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        <name>GreenPoint Mortgage Funding Tr</name>
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        <name>Sun Communities Inc</name>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>BNP PARIBAS</name>
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        <name>NORDEA KREDIT REALKREDIT</name>
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        <title>Nordea Kredit Realkreditaktieselskab</title>
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        <fairValLevel>2</fairValLevel>
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        <name>ICE FUTURES EUROPE</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>BAE Systems PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>Bear Stearns Alt-A Trust</name>
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        <name>TD SECURITIES (USA) LLC</name>
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        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
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        <name>Citibank, National Association</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>Salesforce Inc</name>
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        <name>ICE FUTURES EUROPE</name>
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        <name>HarborView Mortgage Loan Trust</name>
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        <name>STRIPS</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Strip Coupon</title>
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        <name>Starwood Commercial Mortgage T</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>Citibank, National Association</name>
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        <name>MongoDB Inc</name>
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        <name>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</name>
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      <invstOrSec>
        <name>Exxon Mobil Corp</name>
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          <ticker value="XOM"/>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>Koninklijke Ahold Delhaize NV</name>
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        <title>Koninklijke Ahold Delhaize NV</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Snowflake Inc</name>
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        <invCountry>US</invCountry>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>EUREX CLEARING AKTIENGESELLSCHAFT</name>
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          <ticker value="DUZ2"/>
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        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Weyerhaeuser Co</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <assetCat>DCR</assetCat>
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        <name>PROSUS NV</name>
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        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings PLC</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Terwin Mortgage Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>DKK/USD FORWARD</title>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>TotalEnergies SE</name>
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        <title>TotalEnergies SE</title>
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        <name>Telefonica SA</name>
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        <title>Telefonica SA</title>
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        <name>Sunstone Hotel Investors Inc</name>
        <lei>529900ZQ2V52V96ATF67</lei>
        <title>Sunstone Hotel Investors Inc</title>
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        <name>Washington Mutual Asset-Backed</name>
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        <name>AXA SA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Straumann Holding AG</name>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CITIBANK, NATIONAL ASSOCIATION</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>CDS PETROLEOS MEXICANOS</title>
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          <other otherDesc="INTERNAL" value="SWB8A737DY9"/>
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        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>PETROLEOS MEXICANOS</issuerName>
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                  <isin value="US706451BG56"/>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>THE LONDON METAL EXCHANGE</name>
        <lei>213800NB8G5VRT1DXC91</lei>
        <title>LME Primary Aluminum</title>
        <cusip>000000000</cusip>
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          <ticker value="LAX22"/>
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        <curCd>USD</curCd>
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        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>BROOKFIELD RESID PROPERT</name>
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        <title>Brookfield Residential Properties Inc / Brookfield Residential US LLC</title>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Holcim AG</name>
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        <title>Holcim AG</title>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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          <ticker value="N/A"/>
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      <invstOrSec>
        <name>REPUBLIC OF PERU</name>
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        <invCountry>PE</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <title>Broadcom Inc</title>
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        <name>HSBC BANK PLC</name>
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      <invstOrSec>
        <name>Vanguard Real Estate ETF</name>
        <lei>N/A</lei>
        <title>Vanguard Real Estate ETF</title>
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        <name>Structured Adjustable Rate Mor</name>
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        <fairValLevel>1</fairValLevel>
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        <name>MORGAN STANLEY CAPITAL SERVICES LLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS IFS GBP</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-HYB6</title>
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        <name>Dollarama Inc</name>
        <lei>5493002GJ0NJP1HI0C79</lei>
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        <invCountry>CA</invCountry>
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        <name>CK Hutchison Holdings Ltd</name>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>HK</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU013ZU6"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6621841.62000000</valUSD>
        <pctVal>-0.12159629227</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.40000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH US DOLLAR LIBOR BBA" floatingRtSpread="0.00000000" pmntAmt="-37200000.00000000">
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>37200000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-6352923.53000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LOSULGO1 VS BNT1S</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="ABEQ23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00HT47JQ5"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1939.43000000</valUSD>
        <pctVal>0.000035613581</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ICE FUTURES EUROPE</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>ICE FUTURES EUROPE</issuerName>
                <issueTitle>LOSULGO1 VS BNT1S</issueTitle>
                <identifiers>
                  <cusip value="000000000"/>
                  <other otherDesc="INTERNAL" value="LOSULGO1VSBNT1S"/>
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            <expDate>2023-08-31</expDate>
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            <curCd>USD</curCd>
            <unrealizedAppr>1939.43000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Duke Realty Corp</name>
        <lei>254900E47KH1NFFKNF25</lei>
        <title>Duke Realty Corp</title>
        <cusip>264411505</cusip>
        <identifiers>
          <isin value="US2644115055"/>
          <ticker value="DRE"/>
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        <balance>117934.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>5684418.80000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>MXN/USD FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="8JJBMPE94K5F4IV8"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1927.53000000</valUSD>
        <pctVal>-0.00003539506</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>-3427358.09000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>69876949.25000000</amtCurPur>
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            <settlementDt>2022-12-09</settlementDt>
            <unrealizedAppr>-1927.53000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>CDS GAZPROM PAO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8AAD51Q5"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>114305.06000000</valUSD>
        <pctVal>0.002098973711</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>GAZPROM (GAZ CAPITAL SA)</issuerName>
                <issueTitle>Gazprom PJSC Via Gaz Capital SA</issueTitle>
                <identifiers>
                  <cusip value="000000000"/>
                  <isin value="XS0191754729"/>
                  <other otherDesc="SEDOL" value="B00ZMC0"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <terminationDt>2023-03-20</terminationDt>
            <upfrontPmnt>142235.55000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-545000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-27930.49000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>USD/DKK FORWARD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="N/A"/>
          <other otherDesc="INTERNAL" value="4DR48NBT4DKEIFMI"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-50615.09000000</valUSD>
        <pctVal>-0.00092944042</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <amtCurSold>-2185112.62000000</amtCurSold>
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            <amtCurPur>16190000.00000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-10-03</settlementDt>
            <unrealizedAppr>-50615.09000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>L3Harris Technologies Inc</name>
        <lei>549300UTE50ZMDBG8A20</lei>
        <title>L3Harris Technologies Inc</title>
        <cusip>502431109</cusip>
        <identifiers>
          <isin value="US5024311095"/>
          <ticker value="LHX"/>
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        <balance>48257.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>10029252.31000000</valUSD>
        <pctVal>0.184166273547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
        <lei>5493008GFNDTXFPHWI47</lei>
        <title>NATURAL GAS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="GKX2P8"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG007N7Q3K6"/>
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        <balance>-14.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-217840.00000000</valUSD>
        <pctVal>-0.00400017666</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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                      <ticker value="GKX22"/>
                      <other otherDesc="ID_BB_GLOBAL" value="BBG007F9W2S8"/>
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                    <curCd>USD</curCd>
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                    <invCountry>US</invCountry>
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                  <payOffProf>Short</payOffProf>
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                      <issuerName>NATURAL GAS</issuerName>
                      <issueTitle>NATURAL GAS</issueTitle>
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                        <other otherDesc="INTERNAL" value="NATURALGAS1"/>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Daicel Corp</name>
        <lei>353800ZG4XF6D7NZGS72</lei>
        <title>Daicel Corp</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP3485800001"/>
          <ticker value="4202"/>
          <other otherDesc="SEDOL" value="6250542"/>
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        <balance>269400.00000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="144.73000000"/>
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        <pctVal>0.029126137398</pctVal>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UnitedHealth Group Inc</name>
        <lei>549300GHBMY8T5GXDE41</lei>
        <title>UnitedHealth Group Inc</title>
        <cusip>91324P102</cusip>
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          <isin value="US91324P1021"/>
          <ticker value="UNH"/>
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        <balance>50841.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>25676738.64000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>BRENT CRUDE OIL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="AFYN23"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00N2FQL08"/>
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        <balance>2.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3519.08000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <expDate>2023-07-31</expDate>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSK CONSUMER HEALTHCARE</name>
        <lei>5493004B26DRJNN0OV17</lei>
        <title>GSK Consumer Healthcare Capital UK PLC</title>
        <cusip>36264NAA2</cusip>
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          <isin value="US36264NAA28"/>
          <other otherDesc="SEDOL" value="BJN47L1"/>
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        <balance>900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>848906.01000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK NOVA SCOTIA B C BK ACCEPTANCE 22</name>
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        <title>BANK NOVA SCOTIA B C BK ACCEPTANCE 22</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="06414PY96"/>
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        <balance>400000.00000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.38135000"/>
        <valUSD>288332.43000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2006-SA1 Trust</title>
        <cusip>76111XG98</cusip>
        <identifiers>
          <isin value="US76111XG987"/>
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        <balance>20568.97000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17430.10000000</valUSD>
        <pctVal>0.000320067385</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.85719000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <name>NATWEST GROUP PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BANCO BILBAO VIZCAYA ARG</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Safran SA</name>
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        <assetCat>EC</assetCat>
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        <invCountry>FR</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Home Equity Asset Trust</name>
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          <isin value="US437084CE47"/>
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        <balance>111142.94000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS USD</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>ICE FUTURES U.S., INC.</name>
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        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
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        <name>GOLDMAN SACHS &amp; CO. LLC</name>
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        <name>HSBC HOLDINGS PLC</name>
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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <name>UK CLEARING HOUSE LIMITED</name>
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      <invstOrSec>
        <name>DISCOVERY COMMUNICATIONS</name>
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      <invstOrSec>
        <name>DTS Corp</name>
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        <name>REPUBLIC OF NIGERIA</name>
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      <invstOrSec>
        <name>Stockland</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS EUR</title>
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        <name>REPUBLIC OF ARGENTINA</name>
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        <name>BANK OF AMERICA, NATIONAL ASSOCIATION</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Societe Generale SA</name>
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        <title>Societe Generale SA</title>
        <cusip>000000000</cusip>
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          <isin value="FR0000130809"/>
          <ticker value="GLE"/>
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        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>TSY INFL IX N/B</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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        <identifiers>
          <isin value="US91282CCA71"/>
          <other otherDesc="SEDOL" value="BL6KFQ1"/>
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        <balance>17668820.80000000</balance>
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        <curCd>USD</curCd>
        <valUSD>16501257.17000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>Advanced Micro Devices Inc</name>
        <lei>R2I72C950HOYXII45366</lei>
        <title>Advanced Micro Devices Inc</title>
        <cusip>007903107</cusip>
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          <isin value="US0079031078"/>
          <ticker value="AMD"/>
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        <balance>35560.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>2253081.60000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Aurizon Holdings Ltd</name>
        <lei>5299005PC1O6NOWL3H48</lei>
        <title>Aurizon Holdings Ltd</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="AU000000AZJ1"/>
          <ticker value="AZJ"/>
          <other otherDesc="SEDOL" value="B87CVM3"/>
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        <balance>886900.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="AUD" exchangeRt="1.56335495"/>
        <valUSD>1961514.09000000</valUSD>
        <pctVal>0.036019109829</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS JPY</title>
        <cusip>000000000</cusip>
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          <other otherDesc="INTERNAL" value="SWU01E261"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="144.73000000"/>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="1 DAY JAPAN TONAR RATE" floatingRtSpread="0.00000000" pmntAmt="490000000.00000000">
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            <fixedPmntDesc amount="N/A" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.00000000"/>
            <terminationDt>2024-06-19</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-5385.99000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-490000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>14074.62000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DSV A/S</name>
        <lei>529900X41C0BSLK67H70</lei>
        <title>DSV A/S</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DK0060079531"/>
          <ticker value="DSV"/>
          <other otherDesc="SEDOL" value="B1WT5G2"/>
        </identifiers>
        <balance>38588.00000000</balance>
        <units>NS</units>
        <currencyConditional curCd="DKK" exchangeRt="7.58650000"/>
        <valUSD>4520488.31000000</valUSD>
        <pctVal>0.083009327209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>SWOP IRS USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SW317U476O5"/>
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        <balance>-2500000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Other</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-14204.37000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>DEUTSCHE BANK AKTIENGESELLSCHAFT</name>
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                    <title>IRS USD</title>
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                      <other otherDesc="INTERNAL" value="SW317U476O5SO"/>
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                    <balance>0.00000000</balance>
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                    <curCd>USD</curCd>
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                    <invCountry>DE</invCountry>
                    <invOthCountry>US</invOthCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>THE SECURED OVERNIGHT FINANCING RATE</issuerName>
                      <issueTitle>THE SECURED OVERNIGHT FINANCING RATE</issueTitle>
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                        <cusip value="000000000"/>
                        <other otherDesc="INTERNAL" value="SOFR_RATE_US"/>
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                  <fixedRecDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.79000000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="THE SECURED OVERNIGHT FINANCING RATE" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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                  <rcptCurCd>USD</rcptCurCd>
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            <principalAmt>-2500000.00000000</principalAmt>
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            <exercisePrice>2.79000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2024-04-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5045.63000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>FNMA TBA 30YR TBA</title>
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          <other otherDesc="INTERNAL" value="SW31750JXZ3"/>
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        <curCd>USD</curCd>
        <valUSD>-23704.06000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>JPMORGAN CHASE BANK, NATIONAL ASSOCIATION</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Fannie Mae or Freddie Mac</issuerName>
                <issueTitle>Fannie Mae or Freddie Mac</issueTitle>
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                  <isin value="US01F0426B49"/>
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            <delta>XXXX</delta>
            <unrealizedAppr>-19016.56000000</unrealizedAppr>
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      <invstOrSec>
        <name>Invitation Homes Inc</name>
        <lei>N/A</lei>
        <title>Invitation Homes Inc</title>
        <cusip>46187W107</cusip>
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          <ticker value="INVH"/>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>REPUBLIC OF KAZAKHSTAN</name>
        <lei>5493007OEK8EF02UO833</lei>
        <title>Kazakhstan Government International Bond</title>
        <cusip>486661AH4</cusip>
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          <isin value="US486661AH44"/>
          <other otherDesc="SEDOL" value="BYNP0Z4"/>
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        <balance>1400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1294387.50000000</valUSD>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>KZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BAYER US FINANCE II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>Bayer US Finance II LLC</title>
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          <other otherDesc="SEDOL" value="BZ97W99"/>
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        <curCd>USD</curCd>
        <valUSD>697370.22000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Nishi-Nippon Financial Holding</name>
        <lei>N/A</lei>
        <title>Nishi-Nippon Financial Holdings Inc</title>
        <cusip>000000000</cusip>
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          <isin value="JP3658850007"/>
          <ticker value="7189"/>
          <other otherDesc="SEDOL" value="BD57ZM3"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Applied Materials Inc</name>
        <lei>41BNNE1AFPNAZELZ6K07</lei>
        <title>Applied Materials Inc</title>
        <cusip>038222105</cusip>
        <identifiers>
          <isin value="US0382221051"/>
          <ticker value="AMAT"/>
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        <balance>60333.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4943082.69000000</valUSD>
        <pctVal>0.090769390450</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ICON PLC</name>
        <lei>6354008SRQGEMC4XFI67</lei>
        <title>ICON PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="IE0005711209"/>
          <ticker value="ICLR"/>
          <other otherDesc="SEDOL" value="B94G471"/>
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        <balance>64139.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>11787465.42000000</valUSD>
        <pctVal>0.216452185453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>CDS ARAB REPUBLIC OF EGYPT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWB8AAVLMG9"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>194918.96000000</valUSD>
        <pctVal>0.003579279630</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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              <otherRefInst>
                <issuerName>Egypt Government International Bond</issuerName>
                <issueTitle>Egypt Government International Bond</issueTitle>
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                  <cusip value="000000000"/>
                  <isin value="XS2079842485"/>
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              </otherRefInst>
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            <swapFlag>Y</swapFlag>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>HSBC SECURITIES (USA) INC.</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>NORDEA KREDIT REALKREDIT</name>
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        <name>Take-Two Interactive Software</name>
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        <name>NEW YORK MERCANTILE EXCHANGE, INC.</name>
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        <name>MERRILL LYNCH INTERNATIONAL</name>
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        <name>Freddiemac Strip</name>
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        <title>Freddie Mac Strips</title>
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      <invstOrSec>
        <name>Tesla Inc</name>
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        <title>Tesla Inc</title>
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        <name>ICE FUTURES EUROPE</name>
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        <title>ICE Brent Crude Oil</title>
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        <name>RUSSIA GOVT BOND - OFZ</name>
        <lei>5493004EHVGF71PDBU58</lei>
        <title>Russian Federal Bond - OFZ</title>
        <cusip>000000000</cusip>
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        <name>Countrywide Alternative Loan T</name>
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        <name>Washington Mutual Mortgage Pas</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS IFS EUR</title>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>CHICAGO MERCANTILE EXCHANGE INC.</name>
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        <title>IRS USD</title>
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          <other otherDesc="INTERNAL" value="SWU0ZN447"/>
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      <invstOrSec>
        <name>Chase Mortgage Finance Corpora</name>
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          <isin value="US16163LAQ59"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>ICE FUTURES EUROPE</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>BRENT CRUDE OIL</title>
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        <name>Kering SA</name>
        <lei>549300VGEJKB7SVUZR78</lei>
        <title>Kering SA</title>
        <cusip>000000000</cusip>
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        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Ace Securities Corp.</name>
        <lei>N/A</lei>
        <title>ACE Securities Corp Home Equity Loan Trust Series 2005-WF1</title>
        <cusip>004421QR7</cusip>
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          <isin value="US004421QR79"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>CITIBANK, NATIONAL ASSOCIATION</name>
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        <title>CDS UNITED MEXICAN STATES</title>
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        <name>Canyon Capital CLO Ltd</name>
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        <issuerCat>CORP</issuerCat>
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        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
        <lei>5493000F4ZO33MV32P92</lei>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
        <lei>RCNB6OTYUAMMP879YW96</lei>
        <title>CLP/USD FORWARD</title>
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        <name>NYKREDIT REALKREDIT AS</name>
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        <name>CK Asset Holdings Ltd</name>
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        <name>BUONI POLIENNALI DEL TES</name>
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        <name>First Franklin Mtg Loan Asset</name>
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        <name>MORGAN STANLEY &amp; CO. LLC</name>
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        <name>Citibank, National Association</name>
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        <name>Towd Point Mortgage Funding</name>
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        <name>Imerys SA</name>
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        <name>Gartner Inc</name>
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        <name>MSCI Inc</name>
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        <name>COMMODITY EXCHANGE, INC.</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <name>BNP PARIBAS (SUISSE) SA</name>
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        <name>Becton Dickinson and Co</name>
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        <name>Citibank, National Association</name>
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        <name>TSY INFL IX N/B</name>
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        <name>Tesco PLC</name>
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        <name>INTERCONTINENTAL EXCHANGE, INC.</name>
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        <name>Johnson &amp; Johnson</name>
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        <name>Bank of America, National Association</name>
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      <invstOrSec>
        <name>IVORY COAST</name>
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      <invstOrSec>
        <name>Halma PLC</name>
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        <name>Fannie Mae</name>
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        <name>UBS Securities LLC</name>
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        <name>IFF</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>Tenaris SA</name>
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        <name>REPUBLIC OF CHILE</name>
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        <name>UK CLEARING HOUSE LIMITED</name>
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        <title>IRS GBP</title>
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        <name>BNP PARIBAS SECURITIES CORP.</name>
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        <name>Banc of America Merrill Lynch</name>
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        <name>HSBC BANK USA, NATIONAL ASSOCIATION</name>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>KOREA INTERNATIONAL BOND</issuerName>
                <issueTitle>KOREA INTERNATIONAL BOND</issueTitle>
                <identifiers>
                  <cusip value="50064FAJ3"/>
                  <isin value="US50064FAJ30"/>
                  <other otherDesc="Sedol" value="B3Z6229"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Default Event</otherRecDesc>
            <fixedPmntDesc amount="N/A" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <terminationDt>2023-06-20</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-7926.39000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>-1700000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-474.06000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140MGNT4</cusip>
        <identifiers>
          <isin value="US3140MGNT45"/>
        </identifiers>
        <balance>790102.77000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>641691.45000000</valUSD>
        <pctVal>0.011783323368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UK CLEARING HOUSE LIMITED</name>
        <lei>213800O8SCO4XJGBU385</lei>
        <title>IRS NZD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="INTERNAL" value="SWU01J5I1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.78683105"/>
        <valUSD>-216943.23000000</valUSD>
        <pctVal>-0.00398370935</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UK CLEARING HOUSE LIMITED</counterpartyName>
              <counterpartyLei>213800O8SCO4XJGBU385</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="N/A" curCd="NZD" fixedOrFloating="Fixed" fixedRt="4.00000000"/>
            <floatingPmntDesc curCd="NZD" fixedOrFloating="Floating" floatingRtIndex="3 MONTH NEW ZEALAND BANK BILL RATE" floatingRtSpread="0.00000000" pmntAmt="-43500000.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2024-06-14</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-93992.47000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>43500000.00000000</notionalAmt>
            <curCd>NZD</curCd>
            <unrealizedAppr>-122950.76000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US 10YR ULTRA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="UXYZ2"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG014SS7PJ5"/>
        </identifiers>
        <balance>-521.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3631519.76000000</valUSD>
        <pctVal>0.066685276313</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>BOARD OF TRADE OF THE CITY OF CHICAGO, INC.</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>US TREASURY N/B</issuerName>
                <issueTitle>United States Treasury Note/Bond</issueTitle>
                <identifiers>
                  <cusip value="91282CEP2"/>
                  <isin value="US91282CEP23"/>
                  <other otherDesc="SEDOL" value="BPSLLY0"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-12-20</expDate>
            <notionalAmt>-65361881.74000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3631519.76000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>

      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2022-11-18</ncom:dateSigned>
      <ncom:nameOfApplicant>Advanced Series Trust</ncom:nameOfApplicant>
      <ncom:signature>Christian J. Kelly</ncom:signature>
      <ncom:signerName>Christian J. Kelly</ncom:signerName>
      <ncom:title>Treasurer and Principal Financial and Accounting Officer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
