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      <regCik>0000837274</regCik>
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      <seriesName>Templeton Global Bond VIP Fund</seriesName>
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      <repPdEnd>2019-12-31</repPdEnd>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Korea Monetary Stabilization Bond 2.05% 10/05/2020</name>
        <lei>RVHOHKPBCJ2GSJ37YH94</lei>
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        <cusip>000000000</cusip>
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          <isin value="KR310101G8A0"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>KOREA TREASURY BOND 1.75% 06/10/2020</name>
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          <other otherDesc="Internal Identifier" value="668135"/>
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        <balance>7615000000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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                <issuerName>CITIBANK NA STRIKE 19.105 EXPIRES 09/03/20 USD put/MXN call *OTC*</issuerName>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="1018818"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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                <issuerName>JPMORGAN CHASE &amp; CO STRIKE 22.3 EXPIRES 07/27/20 USD Call/MXN Put</issuerName>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="1019339"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_KRW_20200318</title>
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          <other otherDesc="Internal Sec ID" value="4691622602560"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      <invstOrSec>
        <name>INDIA GOVERNMENT BOND 8.83% 11/25/2023</name>
        <lei>N/A</lei>
        <title>INDIA GOVERNMENT BOND 8.83% 11/25/2023</title>
        <cusip>Y39157FY6</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="581510"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>IN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 21.699 EXPIRES 09/08/20 USD Call/MXN Put</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="1007182"/>
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        <balance>47623000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EUR_USD_20200429</title>
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          <other otherDesc="Internal Sec ID" value="4827922780728"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>GOLDMAN SACHS BANK USA HOLDINGS LLC</counterpartyName>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_NOK_20200226</title>
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          <other otherDesc="Internal Sec ID" value="4773522523994"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPY_AUD_20200612</title>
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          <other otherDesc="Internal Sec ID" value="4562522252913"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <amtCurSold>1302747030.00000000</amtCurSold>
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            <amtCurPur>17550000.00000000</amtCurPur>
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            <settlementDt>2020-06-12</settlementDt>
            <unrealizedAppr>-261000.11</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>INTER-AMERICAN DEVELOPMENT BANK 7.50% 12/05/2024</name>
        <lei>VKU1UKDS9E7LYLMACP54</lei>
        <title>INTER-AMERICAN DEVELOPMENT BANK 7.50% 12/05/2024</title>
        <cusip>U45818VJ4</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="387889"/>
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        <balance>200000000.00000000</balance>
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        <currencyConditional curCd="MXN" exchangeRt="18.93950000"/>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-12-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.50000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EUR_USD_20200123</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="4820522404208"/>
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        <balance>1.00000000</balance>
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        <valUSD>9440511.16000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_KRW_20200309</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="4796922854937"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>GOLDMAN SACHS BANK USA HOLDINGS LLC</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>INDIA GOVERNMENT BOND 8.35% 05/14/2022</name>
        <lei>N/A</lei>
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        <cusip>Y2835DAM3</cusip>
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          <other otherDesc="Internal Identifier" value="584480"/>
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        <invCountry>IN</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-05-14</maturityDt>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="980671"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      <invstOrSec>
        <name>INDIA GOVERNMENT BOND 8.20% 02/15/2022</name>
        <lei>N/A</lei>
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        <cusip>Y39157DJ1</cusip>
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          <other otherDesc="Internal Identifier" value="662988"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-02-15</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 69.18 EXPIRES 11/12/20 AUD Put/JPY Call</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="981301"/>
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        <balance>2664000.00000000</balance>
        <units>NC</units>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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                <issuerName>CITIBANK NA STRIKE 69.18 EXPIRES 11/12/20 AUD Put/JPY Call</issuerName>
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            <shareNo>1.00000000</shareNo>
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      <invstOrSec>
        <name>N/A</name>
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        <title>CITIBANK NA STRIKE 19.3839 EXPIRES 03/06/20 USD Put/MXN Call</title>
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          <other otherDesc="Internal Sec ID" value="1007187"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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                <issuerName>CITIBANK NA STRIKE 19.3839 EXPIRES 03/06/20 USD Put/MXN Call</issuerName>
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            <shareNo>1.00000000</shareNo>
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      <invstOrSec>
        <name>INDONESIA GOVERNMENT 12.80% 06/15/2021</name>
        <lei>529900FWX0GRR7WG5W79</lei>
        <title>INDONESIA GOVERNMENT 12.80% 06/15/2021</title>
        <cusip>Y39814DL2</cusip>
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          <other otherDesc="Internal Identifier" value="356425"/>
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        <issuerCat>UST</issuerCat>
        <invCountry>ID</invCountry>

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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-06-15</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPY_USD_20200227</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="4653322526987"/>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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      <invstOrSec>
        <name>GHANA GOVT 18.75% 01/24/2022</name>
        <lei>213800PP4399SNNXZ126</lei>
        <title>GHANA GOVT 18.75% 01/24/2022</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GHGGOG044074"/>
          <other otherDesc="Internal Identifier" value="659171"/>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>GH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-01-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>18.75000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPY_AUD_20200114</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="4677722578508"/>
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        <balance>1.00000000</balance>
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      <invstOrSec>
        <name>UNITED STATES TREASURY NOTE/BOND 1.125% 08/31/2021</name>
        <lei>N/A</lei>
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        <cusip>9128282F6</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="644176"/>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-08-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.12500000</annualizedRt>
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      <invstOrSec>
        <name>Japan Treasury Discount Bill 01/14/2020 TBLM</name>
        <lei>353800WZS8AXZXFUC241</lei>
        <title>Japan Treasury Discount Bill 01/14/2020 TBLM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP1748611KA6"/>
          <other otherDesc="Internal Identifier" value="1014349"/>
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        <issuerCat>UST</issuerCat>
        <invCountry>JP</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Japan Treasury Discount Bill 03/10/2020 TBLM</name>
        <lei>353800WZS8AXZXFUC241</lei>
        <title>Japan Treasury Discount Bill 03/10/2020 TBLM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP1748561K98"/>
          <other otherDesc="Internal Identifier" value="1014350"/>
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        <balance>1546500000.00000000</balance>
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        <issuerCat>UST</issuerCat>
        <invCountry>JP</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.1513 EXPIRES 02/20/20 USD Call/MXN Put *OTC*</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="1024646"/>
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        <balance>-114412000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-110636.40000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                <issuerName>MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.1513 EXPIRES 02/20/20 USD Call/MXN Put *OTC*</issuerName>
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                  <other otherDesc="Internal Sec ID" value="1024646"/>
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            <shareNo>1.00000000</shareNo>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPY_USD_20200323</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="4573522287163"/>
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        <balance>1.00000000</balance>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <amtCurSold>1776469130.00000000</amtCurSold>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Call/MXN Put</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="1003405"/>
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        <balance>13730000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                <issuerName>CITIBANK NA STRIKE 20.5768 EXPIRES 05/15/20 USD Call/MXN Put</issuerName>
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            <unrealizedAppr>-491314.32</unrealizedAppr>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="980325"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
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            <unrealizedAppr>-178410.37</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <amtCurSold>3751062779.00000000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>MEXICAN FIXED RATE BONDS 6.50% 06/10/2021</name>
        <lei>254900EGTWEU67VP6075</lei>
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        <cusip>P9767HCU1</cusip>
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          <other otherDesc="Internal Identifier" value="622932"/>
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        <balance>18568200.00000000</balance>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-06-10</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 75.05 EXPIRES 05/06/20 AUD Put/JPY Call</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="980349"/>
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        <balance>5919000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPY_USD_20200324</title>
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          <other otherDesc="Internal Sec ID" value="4576322297010"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 20.9815 EXPIRES 02/20/20 USD Call/MXN Put *OTC*</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="1024649"/>
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        <balance>38137000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <shareNo>1.00000000</shareNo>
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      <invstOrSec>
        <name>INDONESIA GOVERNMENT 11.00% 09/15/2025</name>
        <lei>529900FWX0GRR7WG5W79</lei>
        <title>INDONESIA GOVERNMENT 11.00% 09/15/2025</title>
        <cusip>Y39814DU2</cusip>
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          <other otherDesc="Internal Identifier" value="376248"/>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>UST</issuerCat>
        <invCountry>ID</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>11.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_MXN_20200617</title>
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          <other otherDesc="Internal Sec ID" value="4725522702701"/>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <title>CITIBANK NA STRIKE 102.84 EXPIRES 03/20/20 USD Put/JPY Call *OTC*</title>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EUR_USD_20200203</title>
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        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <amtCurSold>29859900.00000000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 104.48 EXPIRES 09/22/20 USD Put/JPY Call</title>
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        <identifiers>
          <other otherDesc="Internal Sec ID" value="1011689"/>
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        <balance>76420000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>ARGENTINA POM POLITICA MONETARIA FRN 06/21/2020</name>
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        <name>MEXICAN FIXED RATE BONDS 6.50% 06/09/2022</name>
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        <name>Japan Treasury Discount Bill 04/10/2020 TBLM</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>Japan Treasury Discount Bill 01/20/2020 TBLM</name>
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        <name>REPUBLIC OF COLOMBIA 7.75% 04/14/2021</name>
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        <name>N/A</name>
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        <name>GHANA GOVT 18.25% 09/21/2020</name>
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        <name>N/A</name>
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        <name>India Government Bond 6.79% 05/15/2027</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>GHANA GOVT 17.60% 11/28/2022</name>
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        <name>INDIA GOVERNMENT BOND 8.79% 11/08/2021</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GOLDMAN SACHS INTERNATIONAL STRIKE 19.402 EXPIRES 03/12/20 USD Put/MXN Call</title>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <title>CITIBANK NA STRIKE 82.35 EXPIRES 02/12/20 AUD CALL/JPY PUT</title>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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              <counterpartyName>DEUTSCHE BANK AG</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_EUR_20200331</title>
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          <other otherDesc="Internal Sec ID" value="4707822667663"/>
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        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      <invstOrSec>
        <name>N/A</name>
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        <title>CITIBANK NA STRIKE 19.7395 EXPIRES 09/03/20 USD Put/MXN Call</title>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <title>JPY_AUD_20200313</title>
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      <invstOrSec>
        <name>N/A</name>
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        <title>CITIBANK NA STRIKE 20.5 EXPIRES 05/11/20 USD Call/MXN Put</title>
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        <name>INDIA GOVERNMENT BOND 8.27% 06/09/2020</name>
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      <invstOrSec>
        <name>N/A</name>
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        <title>HSBC BANK PLC STRIKE 0.7692 EXPIRES 04/30/20 AUD Call/USD Put</title>
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        <name>UNITED STATES TREASURY NOTE/BOND 1.125% 07/31/2021</name>
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        <name>INDIA GOVERNMENT BOND 7.16% 05/20/2023</name>
        <lei>N/A</lei>
        <title>INDIA GOVERNMENT BOND 7.16% 05/20/2023</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_EUR_20200514</title>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>Norway Treasury Bill 03/18/2020 TBLM 144A REG S</name>
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        <name>N/A</name>
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        <name>Mexico Cetes 01/02/2020 TBLM</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>Japan Treasury Discount Bill 01/27/2020 TBLM</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>INDONESIA GOVERNMENT 10.25% 07/15/2022</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>KOREA TREASURY BOND 3.00% 09/10/2024</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>GHANA GOVT 16.50% 03/22/2021</name>
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        <isRestrictedSec>N</isRestrictedSec>

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

        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="1019337"/>
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        <name>Korea Treasury Bond 2.25% 09/10/2023</name>
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      <invstOrSec>
        <name>NORWEGIAN GOVERNMENT 3.00% 03/14/2024 144A REG S</name>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <title>HSBC BANK PLC STRIKE 0.7665 EXPIRES 05/04/20 AUD Call/USD Put</title>
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        <name>Korea Monetary Stabilization Bond 2.14% 06/02/2020</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>NOTA DO TESOURO NACIONAL NTNF 01/01/2023 STATED RATE 10%</name>
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        <name>Argentina Treasury Bill 03/11/2020 TBLM</name>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>MEXICAN UDIBONOS 2.50% 12/10/2020 INDEX LINKED TO MXUDI</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>Argentina Treasury Bill 05/13/2020 TBLM</name>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>MEXICAN FIXED RATE BONDS 8.00% 12/07/2023</name>
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        <invCountry>MX</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Argentina Treasury Bill ZERO 08/27/2020</name>
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        <name>N/A</name>
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        <name>ARGENTINE BONOS DEL TESORO 18.20% 10/03/2021</name>
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        <name>NORWEGIAN GOVERNMENT 3.75% 05/25/2021 REG S</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 19.763 EXPIRES 09/10/20 USD Put/MXN Call *OTC*</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>Mexican Bonos 7.25% 12/09/2021</name>
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        <name>TITULOS DE TESORERIA B 10.00% 07/24/2024</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <title>CITIBANK NA STRIKE 112.24 EXPIRES 09/22/20 USD Call/JPY Put *OTC*</title>
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        <name>Japan Treasury Discount Bill 05/11/2020 TBLM</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>ARGENTINA BONAR BONDS FRN 04/03/2022</name>
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        <fairValLevel>3</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <amtCurSold>2552418685.00000000</amtCurSold>
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      <invstOrSec>
        <name>N/A</name>
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        <title>GOLDMAN SACHS INTERNATIONAL STRIKE 22.1125 EXPIRES 03/12/20 USD Call/MXN Put *OTC*</title>
        <cusip>000000000</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>GOLDMAN SACHS BANK USA HOLDINGS LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
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            <unrealizedAppr>115656</unrealizedAppr>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <unrealizedAppr>20732.96</unrealizedAppr>
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        </derivativeInfo>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>GOLDMAN SACHS BANK USA HOLDINGS LLC</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7669 EXPIRES 05/12/21 AUD CALL/USD PUT</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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                <issuerName>MORGAN STANLEY CAPITAL SERVICES LLC STRIKE 0.7669 EXPIRES 05/12/21 AUD CALL/USD PUT</issuerName>
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            <shareNo>1.00000000</shareNo>
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            <unrealizedAppr>12253.79</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 18.9597 EXPIRES 03/06/20 USD Put/MXN Call *OTC*</title>
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          <other otherDesc="Internal Sec ID" value="1007183"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <unrealizedAppr>-4266.97</unrealizedAppr>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_EUR_20200408</title>
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          <other otherDesc="Internal Sec ID" value="4720922692355"/>
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        <fairValLevel>N/A</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 65.85 EXPIRES 12/21/20 AUD PUT/JPY CALL</title>
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          <other otherDesc="Internal Sec ID" value="1034826"/>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <unrealizedAppr>-18659.44</unrealizedAppr>
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      <invstOrSec>
        <name>REPUBLIC OF COLOMBIA 4.375% 03/21/2023</name>
        <lei>549300MHDRBVRF6B9117</lei>
        <title>REPUBLIC OF COLOMBIA 4.375% 03/21/2023</title>
        <cusip>195325BP9</cusip>
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          <other otherDesc="Internal Identifier" value="534753"/>
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        <balance>362000000.00000000</balance>
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        <invCountry>CO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-03-21</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_NOK_20200324</title>
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          <other otherDesc="Internal Sec ID" value="4773722628503"/>
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        <balance>1.00000000</balance>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>INDONESIA GOVERNMENT 10.00% 09/15/2024</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-09-15</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Sec ID" value="980885"/>
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        <issuerConditional desc="Currency" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LETRA TESOURO NACIONAL 07/01/2020 STRIP COUPON</name>
        <lei>254900ZFY40OYEADAP90</lei>
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        <cusip>P8T60MYA5</cusip>
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          <other otherDesc="Internal Identifier" value="653405"/>
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        <invCountry>BR</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-01</maturityDt>
          <couponKind>None</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA IRS PAY FIXED 2.5873% 07/27/47 USD</title>
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          <other otherDesc="Internal Sec ID" value="670907"/>
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        <balance>-36700000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Sec ID" value="4641622232163"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <amtCurSold>12511845.41000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 22.8512 EXPIRES 05/14/20 USD Call/MXN Put</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="983683"/>
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        <balance>-21999000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                <issuerName>CITIBANK NA STRIKE 22.8512 EXPIRES 05/14/20 USD Call/MXN Put</issuerName>
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                  <other otherDesc="Internal Sec ID" value="983683"/>
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            <shareNo>1.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>315619.66</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>NOK_USD_20200921</title>
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        <identifiers>
          <other otherDesc="Internal Sec ID" value="4834422992584"/>
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        <balance>1.00000000</balance>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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            <amtCurSold>177591200.00000000</amtCurSold>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>NORWEGIAN GOVERNMENT 1.75% 03/13/2025 144A REG S</name>
        <lei>549300O6E2WAK3IAXE34</lei>
        <title>NORWEGIAN GOVERNMENT 1.75% 03/13/2025 144A REG S</title>
        <cusip>R34155AP7</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="608505"/>
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        <balance>89312000.00000000</balance>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>NO</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-03-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SEK_EUR_20200513</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Sec ID" value="4778222820009"/>
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        <balance>1.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPY_USD_20200228</title>
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          <other otherDesc="Internal Sec ID" value="4656522538921"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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        <name>United States Treasury Note/Bond 1.5% 09/30/2021</name>
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          <other otherDesc="Internal Identifier" value="1012796"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-09-30</maturityDt>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 20.8674 EXPIRES 05/14/20 USD Call/MXN Put</title>
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          <other otherDesc="Internal Sec ID" value="983680"/>
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        <balance>43998000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>CITIBANK NA STRIKE 20.8674 EXPIRES 05/14/20 USD Call/MXN Put</issuerName>
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            <unrealizedAppr>-1377225.4</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Sec ID" value="1034406"/>
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        <balance>19994000.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <shareNo>1.00000000</shareNo>
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            <expDt>2020-05-12</expDt>
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        <name>N/A</name>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>KOREA MONETARY STAB BOND 2.16% 02/02/2020</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2020-02-02</maturityDt>
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        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="1009908"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>United States Treasury Note/Bond 1.5% 08/31/2021</name>
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        <cusip>912828YC8</cusip>
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          <other otherDesc="Internal Identifier" value="1006166"/>
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        <issuerCat>UST</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EUR_USD_20200424</title>
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          <other otherDesc="Internal Sec ID" value="4776522766128"/>
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        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>UBS AG</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal Sec ID" value="4733622716775"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>CITIBANK NA</counterpartyName>
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      <invstOrSec>
        <name>Republic of Ghana Government Bonds 16.25% 05/17/2021</name>
        <lei>213800PP4399SNNXZ126</lei>
        <title>Republic of Ghana Government Bonds 16.25% 05/17/2021</title>
        <cusip>000000000</cusip>
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          <isin value="GHGGOG049875"/>
          <other otherDesc="Internal Identifier" value="875004"/>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>GH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>INDONESIA GOVERNMENT 6.125% 05/15/2028</name>
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        <cusip>Y39814HQ7</cusip>
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          <other otherDesc="Internal Identifier" value="617528"/>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 100.13 EXPIRES 03/30/20 USD Put/JPY Call</title>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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      <invstOrSec>
        <name>INDIA GOVERNMENT BOND 8.15% 06/11/2022</name>
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        <cusip>Y39157FK6</cusip>
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          <other otherDesc="Internal Identifier" value="662538"/>
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        <issuerCat>NUSS</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-06-11</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 72 EXPIRES 07/21/20 AUD Put/JPY Call</title>
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        <balance>71027000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>INDONESIA GOVERNMENT 9.50% 07/15/2023</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>INDONESIA GOVERNMENT 7.00% 05/15/2027</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <name>Bonos de la Nacion Argentina con Ajuste por CER 4.00% 03/06/2020 INDEX LINKED TO ARCECOES</name>
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        <name>Argentina Treasury Bill 04/28/2020 TBLM</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>KOREA TREASURY BOND 3.00% 03/10/2023</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Mexico Cetes 02/27/2020 TBLM</name>
        <lei>254900EGTWEU67VP6075</lei>
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          <isin value="MXBIGO000OA5"/>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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        <name>INDONESIA GOVERNMENT 9.00% 03/15/2029</name>
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        <cusip>Y39814JN2</cusip>
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          <other otherDesc="Internal Identifier" value="606091"/>
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        <isRestrictedSec>N</isRestrictedSec>

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          <maturityDt>2029-03-15</maturityDt>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal Sec ID" value="1034967"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <name>Argentina Treasury Bill 03/30/2020</name>
        <lei>549300KPBYGYF7HCHO27</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
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        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO</name>
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        <title>IFT MONEY MARKET PORTFOLIO OEMF-SWEEP MONEY MARKET PORTFOLIO</title>
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          <ticker value="INFXX"/>
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        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>N/A</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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            <unrealizedAppr>165889.52</unrealizedAppr>
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      <invstOrSec>
        <name>Bonos De La Nacion Argentina En Moneda Dua 4.5% 02/13/2020</name>
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        <title>Bonos De La Nacion Argentina En Moneda Dua 4.5% 02/13/2020</title>
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        <invCountry>AR</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-13</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USD_EUR_20200430</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 19.2441 EXPIRES 05/14/20 USD Put/MXN Call *OTC*</title>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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            <putOrCall>Put</putOrCall>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>N/A</fairValLevel>
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              <counterpartyName>JPMORGAN CHASE BANK NA</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 18.4 EXPIRES 03/30/20 USD Call/MXN Put</title>
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        <identifiers>
          <other otherDesc="Internal Sec ID" value="1019335"/>
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        <balance>11441000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CITIBANK NA</counterpartyName>
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                <issuerName>CITIBANK NA STRIKE 18.4 EXPIRES 03/30/20 USD Call/MXN Put</issuerName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CITIBANK NA STRIKE 20.92 EXPIRES 05/12/20 USD Call/MXN Put</title>
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          <other otherDesc="Internal Sec ID" value="981328"/>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HSBC BANK PLC STRIKE 0.7133 EXPIRES 11/05/20 AUD Call/USD Put *OTC*</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <shareNo>1.00000000</shareNo>
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            <unrealizedAppr>157151.63</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>TITULOS DE TESORERIA B 7.00% 05/04/2022</name>
        <lei>549300MHDRBVRF6B9117</lei>
        <title>TITULOS DE TESORERIA B 7.00% 05/04/2022</title>
        <cusip>P6S34QCM2</cusip>
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          <other otherDesc="Internal Identifier" value="627611"/>
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        <balance>10237000000.00000000</balance>
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        <pctVal>0.115795340001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>CO</invCountry>

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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>INDIA GOVERNMENT BOND 8.08% 08/02/2022</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>MEXICAN FIXED RATE BONDS 8.00% 06/11/2020</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>GHANA GOVT 21.50% 03/09/2020</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>TITULOS DE TESORERIA B 11.00% 07/24/2020</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>INDIA GOVERNMENT BOND 8.13% 09/21/2022</name>
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        <name>Korea Treasury Bond 1.875% 03/10/2024</name>
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        <name>Argentina Treasury Bill 07/29/2020</name>
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        <name>Argentina Treasury Bill 10/29/2020</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>LETRA TESOURO NACIONAL 07/01/2021 STRIP COUPON</name>
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        <name>N/A</name>
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              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>12300264.37000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>13789518.88000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-04-29</settlementDt>
            <unrealizedAppr>109178.11</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>
