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      <regZipOrPostalCode>07078-2791</regZipOrPostalCode>
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        <name>MCDERMOTT TECHNOLOGY AMERICAS INC / MCDERMOTT TE 10.625% 05/01/2024 144A *DEFAULT*</name>
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        <name>INTERNATIONAL AUTOMOTIVE COMPONENTS GROUP BRAZIL LLC COM USD1 ***PRIVATE PLACEMENT**</name>
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        <name>United States Treasury Bill 05/21/2020 TBLM</name>
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        <name>IHEARTMEDIA INC WTS EXP 05/01/2039</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Veritas US Inc 6.5% 01/27/2023 Term Loan B1</name>
        <lei>549300RFUWCPWS8FQ104</lei>
        <title>Veritas US Inc 6.5% 01/27/2023 Term Loan B1</title>
        <cusip>G9341JAG5</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="918035"/>
        </identifiers>
        <balance>58041588.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56106887.77000000</valUSD>
        <pctVal>0.484752598111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EUR_USD_20200115</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="13564522870538"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2106987.84000000</valUSD>
        <pctVal>0.018203965149</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="cash or currency" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1877000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>2084202.03000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>22785.81</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury Bill 02/20/2020 TBLM</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Bill 02/20/2020 TBLM</title>
        <cusip>912796TG4</cusip>
        <identifiers>
          <ticker value="B"/>
          <other otherDesc="Internal Identifier" value="1003354"/>
        </identifiers>
        <balance>50000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49897236.00000000</valUSD>
        <pctVal>0.431102414532</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHUBB LTD ORD USD24.15</name>
        <lei>E0JAN6VLUDI1HITHT809</lei>
        <title>CHUBB LTD ORD USD24.15</title>
        <cusip>H1467J104</cusip>
        <identifiers>
          <ticker value="CB"/>
          <other otherDesc="Internal Identifier" value="425026"/>
        </identifiers>
        <balance>195858.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>30487256.28000000</valUSD>
        <pctVal>0.263403964796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>METLIFE INC COM USD.01</name>
        <lei>C4BXATY60WC6XEOZDX54</lei>
        <title>METLIFE INC COM USD.01</title>
        <cusip>59156R108</cusip>
        <identifiers>
          <ticker value="MET"/>
          <other otherDesc="Internal Identifier" value="185823"/>
        </identifiers>
        <balance>1833830.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>93470315.10000000</valUSD>
        <pctVal>0.807565343434</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>ALTRIA GROUP INC COM USD.3333</name>
        <lei>XSGZFLO9YTNO9VCQV219</lei>
        <title>ALTRIA GROUP INC COM USD.3333</title>
        <cusip>02209S103</cusip>
        <identifiers>
          <ticker value="MO"/>
          <other otherDesc="Internal Identifier" value="6883"/>
        </identifiers>
        <balance>2023360.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>100985897.60000000</valUSD>
        <pctVal>0.872498514529</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>United States Treasury Bill 02/27/2020 TBLM</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Bill 02/27/2020 TBLM</title>
        <cusip>912796SD2</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="964887"/>
        </identifiers>
        <balance>25000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24941472.25000000</valUSD>
        <pctVal>0.215489469376</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVAYA HOLDINGS CORP WTS EXP 12/15/2022</name>
        <lei>549300NZS2OZN6Q63A60</lei>
        <title>AVAYA HOLDINGS CORP WTS EXP 12/15/2022</title>
        <cusip>05351X119</cusip>
        <identifiers>
          <ticker value="AVYAW"/>
          <other otherDesc="Internal Identifier" value="680973"/>
        </identifiers>
        <balance>276741.00000000</balance>
        <units>OU</units>
        <descOthUnits>Warrants</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>332089.20000000</valUSD>
        <pctVal>0.002869186100</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetConditional assetCat="OTHER" desc="WARRANTS TO EQUITY"/>
        <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>N/A</name>
        <lei>N/A</lei>
        <title>USD_GBP_20200116</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="13312022380992"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3164320.63000000</valUSD>
        <pctVal>0.027339114814</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="cash or currency" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BANK OF AMERICA NA</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>3164320.63000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2500943.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-01-16</settlementDt>
            <unrealizedAppr>-149628</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CONAGRA BRANDS INC COM USD5</name>
        <lei>54930035UDEIH090K650</lei>
        <title>CONAGRA BRANDS INC COM USD5</title>
        <cusip>205887102</cusip>
        <identifiers>
          <ticker value="CAG"/>
          <other otherDesc="Internal Identifier" value="12203"/>
        </identifiers>
        <balance>1481783.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>50736249.92000000</valUSD>
        <pctVal>0.438351331621</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>United States Treasury Bill 02/06/2020 TBLM</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Bill 02/06/2020 TBLM</title>
        <cusip>912796TE9</cusip>
        <identifiers>
          <ticker value="B"/>
          <other otherDesc="Internal Identifier" value="1000903"/>
        </identifiers>
        <balance>33000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32952356.25000000</valUSD>
        <pctVal>0.284701949100</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EUR_USD_20200115</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="13595123037146"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5500394.46000000</valUSD>
        <pctVal>0.047522338363</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="cash or currency" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BANK OF AMERICA NA</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>4900000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>5497265.90000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>3128.56</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENERGIZER HOLDINGS INC COM USD NPV</name>
        <lei>5493000D6NN0V57UME20</lei>
        <title>ENERGIZER HOLDINGS INC COM USD NPV</title>
        <cusip>29272W109</cusip>
        <identifiers>
          <ticker value="ENR"/>
          <other otherDesc="Internal Identifier" value="606796"/>
        </identifiers>
        <balance>1538433.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>77260105.26000000</valUSD>
        <pctVal>0.667512283138</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>N/A</name>
        <lei>N/A</lei>
        <title>USD_KRW_20200515</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="13529322807837"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>45208876.31000000</valUSD>
        <pctVal>0.390595898649</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="cash or currency" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>45208876.31000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>52293107227.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2020-05-15</settlementDt>
            <unrealizedAppr>-218183.24</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DOW CORNING CORP ESCROW ACCOUNT .000001% 9/9/99 REF 43650</name>
        <lei>EWIQBU4ZGZNBDL3LRS69</lei>
        <title>DOW CORNING CORP ESCROW ACCOUNT .000001% 9/9/99 REF 43650</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="367908"/>
        </identifiers>
        <balance>2738952.00000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1012743.94000000</valUSD>
        <pctVal>0.008749910673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_GBP_20200522</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="13586123005063"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1014614.93000000</valUSD>
        <pctVal>0.008766075662</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="cash or currency" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1014614.93000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>770594.59000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-05-22</settlementDt>
            <unrealizedAppr>-9955.23</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-01-29</ncom:dateSigned>
      <ncom:nameOfApplicant>Robert Kubilis</ncom:nameOfApplicant>
      <ncom:signature>Robert Kubilis</ncom:signature>
      <ncom:signerName>Robert Kubilis</ncom:signerName>
      <ncom:title>Chief Financial Officer, Chief Accounting Officer and Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
