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          <isin value="US912828PP91"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-01-15</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Inhouse Asset ID" value="010718AHS"/>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>CME Group Inc.</counterpartyName>
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      <invstOrSec>
        <name>Commonwealth of Australia</name>
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        <cusip>N/A</cusip>
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          <isin value="AU000XCLWAB3"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Inhouse Sedol" value="WNH0COM"/>
          <other otherDesc="Future Ticker" value="WNH0 Comdty"/>
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        <balance>8.00000000</balance>
        <units>NC</units>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>NovaStar Mortgage Funding Trust</name>
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        <balance>75000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>74094.31000000</valUSD>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Renaissance Home Equity Loan Trust</name>
        <lei>N/A</lei>
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          <isin value="US75970NAA54"/>
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        <balance>2137.22000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2082.72000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Eurosail-UK plc</name>
        <lei>213800YCKG3TNT5E1296</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0308666493"/>
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        <balance>55077.05000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.72862900</annualizedRt>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <balance>-300000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Bank of America</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                <issuerName>N/A</issuerName>
                <issueTitle>Credit Default Swap Index Option</issueTitle>
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            <shareNo>1.00000000</shareNo>
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        <name>N/A</name>
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        <balance>-1362000.00000000</balance>
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        <valUSD>-1399.54000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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            <shareNo>1.00000000</shareNo>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <balance>1252.59000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Long Gilt</title>
        <cusip>N/A</cusip>
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          <isin value="GB00H7MXJN56"/>
          <other otherDesc="Future Ticker" value="G H0 Comdty"/>
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        <balance>-1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <expDate>2020-03-27</expDate>
            <notionalAmt>-131380</notionalAmt>
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        <name>Residential Asset Securitization Trust</name>
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        <cusip>76113LAE7</cusip>
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        <balance>10138.75000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>Residential Asset Securitization Trust</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust, Series 2007-A6, Class 2A1</title>
        <cusip>76114CAG1</cusip>
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          <isin value="US76114CAG15"/>
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        <balance>125198.90710000</balance>
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        <curCd>USD</curCd>
        <valUSD>51526.72000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOP</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="010686AH"/>
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        <balance>-2090000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2147.61000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <title>IRS</title>
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        <name>Venture XX CLO Ltd.</name>
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      <invstOrSec>
        <name>ERAC USA Finance LLC</name>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
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        <name>N/A</name>
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        <name>Morgan Stanley Mortgage Loan Trust</name>
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                <indexName>Markit CDX North American High Yield Index Series 33-V2</indexName>
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      <invstOrSec>
        <name>Bear Stearns ARM Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
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        <name>Federal Agricultural Mortgage Corp.</name>
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        <name>Bear Stearns ALT-A Trust</name>
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        <name>Autonomous Community of Catalonia</name>
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        <name>JPMorgan Prime Money Market Fund, IM Shares</name>
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        <name>United States of America</name>
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        <name>United States of America</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <name>Silverstone Master Issuer plc</name>
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      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2005-A1, Class 6T1</title>
        <cusip>466247LZ4</cusip>
        <identifiers>
          <isin value="US466247LZ44"/>
        </identifiers>
        <balance>4444.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4479.20000000</valUSD>
        <pctVal>0.005597703254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.61099900</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>New Residential Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1</title>
        <cusip>64830NAA9</cusip>
        <identifiers>
          <isin value="US64830NAA90"/>
        </identifiers>
        <balance>389773.36000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>389912.24000000</valUSD>
        <pctVal>0.487277418896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.75000000</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>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="29682"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-1714.27000000</valUSD>
        <pctVal>-0.00214234121</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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            <amtCurSold>215000.50000000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>63150.00000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-17</settlementDt>
            <unrealizedAppr>-1714.27</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2004-10, Class 13A1</title>
        <cusip>07384M4E9</cusip>
        <identifiers>
          <isin value="US07384M4E98"/>
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        <balance>5841.70000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5819.41000000</valUSD>
        <pctVal>0.007272577758</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.85085200</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Sequoia Mortgage Trust, Series 2007-3, Class 1A1</title>
        <cusip>81744MAA0</cusip>
        <identifiers>
          <isin value="US81744MAA09"/>
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        <balance>18913.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18385.51000000</valUSD>
        <pctVal>0.022976564823</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.96463200</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury 5 Year Note</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="FVH0COS"/>
          <other otherDesc="Future Ticker" value="FVH0 Comdty"/>
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        <balance>-34.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20409.05000000</valUSD>
        <pctVal>0.025505404001</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CME Clearing House</counterpartyName>
              <counterpartyLei>LCZ7XYGSLJUHFXXNXD88</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United States of America</issuerName>
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                  <cusip value="912828M80"/>
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            </descRefInstrmnt>
            <expDate>2020-03-31</expDate>
            <notionalAmt>-4032718.75</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>20409.05</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828VM9</cusip>
        <identifiers>
          <isin value="US912828VM96"/>
        </identifiers>
        <balance>2210000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2477457.16000000</valUSD>
        <pctVal>3.096104216559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NCUA Guaranteed Notes Trust</name>
        <lei>N/A</lei>
        <title>NCUA Guaranteed Notes Trust, Series 2010-R1, Class 1A</title>
        <cusip>62888VAA6</cusip>
        <identifiers>
          <isin value="US62888VAA61"/>
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        <balance>25037.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25083.73000000</valUSD>
        <pctVal>0.031347400663</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.16312800</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>OCP CLO Ltd.</name>
        <lei>254900FZYL5HDKV64882</lei>
        <title>OCP CLO Ltd., Series 2015-10A, Class A1R</title>
        <cusip>67092DAL3</cusip>
        <identifiers>
          <isin value="US67092DAL38"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99913.00000000</valUSD>
        <pctVal>0.124862324799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75563100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STWD Ltd.</name>
        <lei>N/A</lei>
        <title>STWD Ltd., Series 2019-FL1, Class A</title>
        <cusip>78485WAA7</cusip>
        <identifiers>
          <isin value="US78485WAA71"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199874.92000000</valUSD>
        <pctVal>0.249785785436</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81975000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010586AHS"/>
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        <balance>80000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>9808.18000000</valUSD>
        <pctVal>0.012257385493</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2039-06-15</terminationDt>
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            <upfrontRcpt>47.87</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>80000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>9808.18</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810RW0</cusip>
        <identifiers>
          <isin value="US912810RW09"/>
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        <balance>1280000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1465913.94000000</valUSD>
        <pctVal>1.831968037238</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.87500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JP Morgan Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Alternative Loan Trust, Series 2006-A1, Class 1A1</title>
        <cusip>46627MCS4</cusip>
        <identifiers>
          <isin value="US46627MCS44"/>
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        <balance>256192.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>251762.52000000</valUSD>
        <pctVal>0.314630263775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.25200200</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR10, Class 3A1</title>
        <cusip>92922FW87</cusip>
        <identifiers>
          <isin value="US92922FW874"/>
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        <balance>989.28000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>966.94000000</valUSD>
        <pctVal>0.001208395067</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.87432400</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>First Franklin Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>First Franklin Mortgage Loan Trust, Series 2005-FF12, Class M2</title>
        <cusip>32027NXX4</cusip>
        <identifiers>
          <isin value="US32027NXX47"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93057.88000000</valUSD>
        <pctVal>0.116295409383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.26199900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810SB5</cusip>
        <identifiers>
          <isin value="US912810SB52"/>
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        <balance>1650000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1909896.76000000</valUSD>
        <pctVal>2.386818027492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDS</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000666AHS"/>
        </identifiers>
        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>Bank of America</counterpartyName>
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                <issuerName>United Mexican States</issuerName>
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                  <cusip value="91087BAC4"/>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
            <unrealizedAppr>-2635.98</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CWABS Asset-Backed Certificates Trust</name>
        <lei>549300XF11BHS5IOB463</lei>
        <title>CWABS Asset-Backed Certificates Trust, Series 2007-12, Class 1A1</title>
        <cusip>126697AA9</cusip>
        <identifiers>
          <isin value="US126697AA90"/>
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        <balance>21753.71000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21653.72000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.53199900</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust, Series 2005-62, Class 2A1</title>
        <cusip>12668ATT2</cusip>
        <identifiers>
          <isin value="US12668ATT24"/>
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        <balance>1606.70000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1459.94000000</valUSD>
        <pctVal>0.001824502341</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.23947400</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="27511"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-1505.24000000</valUSD>
        <pctVal>-0.00188111422</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>506000.00000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>25178.51000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-22</settlementDt>
            <unrealizedAppr>-1505.24</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RAAC Trust</name>
        <lei>N/A</lei>
        <title>RAAC Trust, Series 2006-SP3, Class M1</title>
        <cusip>74919QAD9</cusip>
        <identifiers>
          <isin value="US74919QAD97"/>
        </identifiers>
        <balance>16942.63000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16811.74000000</valUSD>
        <pctVal>0.021009807936</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.13199900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bund</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="RXH07200P"/>
        </identifiers>
        <balance>-5.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>-11609.59000000</valUSD>
        <pctVal>-0.01450862647</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Eurex Clearing</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Federal Republic of Germany</issuerName>
                <issueTitle>Euro-Bund</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>172</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5315.76</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HICPXT</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000664AHS"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>6786.24000000</valUSD>
        <pctVal>0.008480835357</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.1675"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="FRCPI" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2024-03-15</terminationDt>
            <upfrontPmnt>1577.56</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>700000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>6786.24</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Eurosail-UK plc</name>
        <lei>213800YCKG3TNT5E1296</lei>
        <title>Eurosail-UK plc, Series 2007-3X, Class A3C</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0308710143"/>
        </identifiers>
        <balance>24475.76000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>32118.46000000</valUSD>
        <pctVal>0.040138776581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.72862900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="35149"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>3210.06000000</valUSD>
        <pctVal>0.004011645675</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>250000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>7563000.00000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>3210.06</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDS</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000658AHS"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-7525.79000000</valUSD>
        <pctVal>-0.00940505875</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Barclays Capital</counterpartyName>
              <counterpartyLei>AC28XWWI3WIBK2824319</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United Mexican States</issuerName>
                <issueTitle>United Mexican States</issueTitle>
                <identifiers>
                  <cusip value="91087BAC4"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Receipt of notional amount upon default event with regard to the reference instrument</otherRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1"/>
            <terminationDt>2023-12-20</terminationDt>
            <upfrontPmnt>2342.67</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-7525.79</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLB</name>
        <lei>2549001DPIFGXC1TOL40</lei>
        <title>FHLB</title>
        <cusip>313384RG6</cusip>
        <identifiers>
          <isin value="US313384RG63"/>
        </identifiers>
        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899964.54000000</valUSD>
        <pctVal>1.124695131781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="35122"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>3877.60000000</valUSD>
        <pctVal>0.004845877419</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>143000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>169540800.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>3877.6</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Vornado DP LLC Trust</name>
        <lei>N/A</lei>
        <title>Vornado DP LLC Trust, Series 2010-VNO, Class A2FX</title>
        <cusip>92903PAC3</cusip>
        <identifiers>
          <isin value="US92903PAC32"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202644.94000000</valUSD>
        <pctVal>0.253247508505</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00350000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bobl</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="OEH03900C"/>
        </identifiers>
        <balance>14.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>78.52000000</valUSD>
        <pctVal>0.000098127268</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>Eurex Clearing</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Federal Republic of Germany</issuerName>
                <issueTitle>Euro-Bobl</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>139</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-7.87</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fremont Home Loan Trust</name>
        <lei>N/A</lei>
        <title>Fremont Home Loan Trust, Series 2006-C, Class 1A1</title>
        <cusip>35729TAA0</cusip>
        <identifiers>
          <isin value="US35729TAA07"/>
        </identifiers>
        <balance>44193.18000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39780.04000000</valUSD>
        <pctVal>0.049713533524</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.92700100</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>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2005-9, Class A1</title>
        <cusip>07387AEG6</cusip>
        <identifiers>
          <isin value="US07387AEG67"/>
        </identifiers>
        <balance>11465.61000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11755.42000000</valUSD>
        <pctVal>0.014690871760</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.27000000</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>RPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010595AHS"/>
        </identifiers>
        <balance>80000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>9945.79000000</valUSD>
        <pctVal>0.012429358155</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.6"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="UKRPI" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2039-06-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>221.7</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>80000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>9945.79</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA or FHLMC</name>
        <lei>N/A</lei>
        <title>UMBS, 30 Year, Single Family</title>
        <cusip>01F032625</cusip>
        <identifiers>
          <isin value="US01F0326250"/>
        </identifiers>
        <balance>3900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4011515.82000000</valUSD>
        <pctVal>5.013233425637</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>CIFC Funding Ltd.</name>
        <lei>549300RWVPXQ5M3BFY62</lei>
        <title>CIFC Funding Ltd., Series 2015-2A, Class AR</title>
        <cusip>12550LAJ1</cusip>
        <identifiers>
          <isin value="US12550LAJ17"/>
        </identifiers>
        <balance>218888.34000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218893.16000000</valUSD>
        <pctVal>0.273553079582</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78088100</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>HICPXT</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000672AHS"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>164.60000000</valUSD>
        <pctVal>0.000205702347</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.1675"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="HICPXT" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2024-03-15</terminationDt>
            <upfrontPmnt>266.37</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>100000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>164.6</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Sempra Energy</name>
        <lei>PBBKGKLRK5S5C0Y4T545</lei>
        <title>Sempra Energy</title>
        <cusip>816851BB4</cusip>
        <identifiers>
          <isin value="US816851BB47"/>
        </identifiers>
        <balance>50000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50020.26000000</valUSD>
        <pctVal>0.062510843941</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34362900</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>Hawksmoor Mortgages</name>
        <lei>N/A</lei>
        <title>Hawksmoor Mortgages, Series 2019-1A, Class A</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS2033256145"/>
        </identifiers>
        <balance>287501.55000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>381685.59000000</valUSD>
        <pctVal>0.476996488043</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.76100100</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>Palmer Square Loan Funding Ltd.</name>
        <lei>N/A</lei>
        <title>Palmer Square Loan Funding Ltd., Series 2019-4A, Class A1</title>
        <cusip>69689HAA3</cusip>
        <identifiers>
          <isin value="US69689HAA32"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>250068.50000000</valUSD>
        <pctVal>0.312513229200</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.83600100</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810FD5</cusip>
        <identifiers>
          <isin value="US912810FD55"/>
        </identifiers>
        <balance>2900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5901874.49000000</valUSD>
        <pctVal>7.375634496983</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.62500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Japan 10 Year Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="JBH0COS"/>
          <other otherDesc="Future Ticker" value="JBH0 Comdty"/>
        </identifiers>
        <balance>-1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
        <valUSD>1154.65000000</valUSD>
        <pctVal>0.001442978224</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Japan Securities Clearing</counterpartyName>
              <counterpartyLei>549300JHM7D8P3TS4S86</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Japan</issuerName>
                <issueTitle>Japan 10 Year Bond</issueTitle>
                <identifiers>
                  <isin value="JP1103421G35"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>-152180000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>1154.65</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810RA8</cusip>
        <identifiers>
          <isin value="US912810RA88"/>
        </identifiers>
        <balance>190000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>215468.35000000</valUSD>
        <pctVal>0.269273058578</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2007-A1, Class 3A3</title>
        <cusip>46630GAJ4</cusip>
        <identifiers>
          <isin value="US46630GAJ40"/>
        </identifiers>
        <balance>6692.73000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6894.55000000</valUSD>
        <pctVal>0.008616191501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.49182100</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>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust, Series 2005-2, Class 2A1A</title>
        <cusip>41161PLR2</cusip>
        <identifiers>
          <isin value="US41161PLR28"/>
        </identifiers>
        <balance>1660.39000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1602.42000000</valUSD>
        <pctVal>0.002002561093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20388000</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>Textron, Inc.</name>
        <lei>3PPKBHUG1HD6BO7RNR87</lei>
        <title>Textron, Inc.</title>
        <cusip>883203BZ3</cusip>
        <identifiers>
          <isin value="US883203BZ36"/>
        </identifiers>
        <balance>130000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>130048.11000000</valUSD>
        <pctVal>0.162522488068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.45063200</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>U.S. Treasury 10 Year Note</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="DF45A77"/>
          <other otherDesc="Option Ticker" value="TYG0C 129.50 Comdty"/>
        </identifiers>
        <balance>-10.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1406.25000000</valUSD>
        <pctVal>-0.00175740538</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CME Clearing House</counterpartyName>
              <counterpartyLei>LCZ7XYGSLJUHFXXNXD88</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury 10 Year Note</issueTitle>
                <identifiers>
                  <ticker value="TYH0 Comdty"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>129.5</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7407.63</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury Long Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="USH0COS"/>
          <other otherDesc="Future Ticker" value="USH0 Comdty"/>
        </identifiers>
        <balance>-41.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>132636.01000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>CME Clearing House</counterpartyName>
              <counterpartyLei>LCZ7XYGSLJUHFXXNXD88</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United States of America</issuerName>
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                  <cusip value="912810FT0"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
            <notionalAmt>-6392156.25</notionalAmt>
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            <unrealizedAppr>132636.01</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810RL4</cusip>
        <identifiers>
          <isin value="US912810RL44"/>
        </identifiers>
        <balance>1900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2157936.51000000</valUSD>
        <pctVal>2.696795906524</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Ellington Loan Acquisition Trust</name>
        <lei>N/A</lei>
        <title>Ellington Loan Acquisition Trust, Series 2007-1, Class A1</title>
        <cusip>288542AA1</cusip>
        <identifiers>
          <isin value="US288542AA12"/>
        </identifiers>
        <balance>31833.91000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31906.93000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.89199900</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828UH1</cusip>
        <identifiers>
          <isin value="US912828UH11"/>
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        <balance>760000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>847087.74000000</valUSD>
        <pctVal>1.058614439819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Merrill Lynch Mortgage Investors Trust</name>
        <lei>N/A</lei>
        <title>Merrill Lynch Mortgage Investors Trust, Series 2007-HE2, Class A2A</title>
        <cusip>59024LAB7</cusip>
        <identifiers>
          <isin value="US59024LAB71"/>
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        <balance>10406.55000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4189.59000000</valUSD>
        <pctVal>0.005235774597</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.91200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Commonwealth of Australia</name>
        <lei>213800J6B7JSBDETCB42</lei>
        <title>Australia Government Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="AU0000XCLWP8"/>
        </identifiers>
        <balance>411048.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.42500897"/>
        <valUSD>339082.69000000</valUSD>
        <pctVal>0.423755196748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLB</name>
        <lei>2549001DPIFGXC1TOL40</lei>
        <title>FHLB</title>
        <cusip>313384SE0</cusip>
        <identifiers>
          <isin value="US313384SE07"/>
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        <balance>12500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12488211.25000000</valUSD>
        <pctVal>15.60664867698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-24</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CSMC Trust</name>
        <lei>N/A</lei>
        <title>CSMC Trust, Series 2007-4R, Class 1A1</title>
        <cusip>12639QAA4</cusip>
        <identifiers>
          <isin value="US12639QAA40"/>
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        <balance>9264.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8823.70000000</valUSD>
        <pctVal>0.011027070504</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.93833300</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010717AHS"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2284.93000000</valUSD>
        <pctVal>-0.00285550100</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.76"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USCPI" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2029-11-04</terminationDt>
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            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>100000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2284.93</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Sound Point CLO XIV Ltd.</name>
        <lei>549300TT7IR66ASPWY89</lei>
        <title>Sound Point CLO XIV Ltd., Series 2016-3A, Class AR</title>
        <cusip>83609NAL4</cusip>
        <identifiers>
          <isin value="US83609NAL47"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>399997.60000000</valUSD>
        <pctVal>0.499881199146</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.08400100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2007-63, Class FC</title>
        <cusip>31396WTU0</cusip>
        <identifiers>
          <isin value="US31396WTU08"/>
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        <balance>164.47000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>164.38000000</valUSD>
        <pctVal>0.000205427411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDS</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010674AHS"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>173.33000000</valUSD>
        <pctVal>0.000216612320</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>HSBC BANK USA  N.A.</counterpartyName>
              <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Federative Republic of Brazil</issuerName>
                <issueTitle>Federative Republic of Brazil</issueTitle>
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                  <cusip value="105756BV1"/>
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            <swapFlag>Y</swapFlag>
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            <upfrontPmnt>214.07</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
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            <notionalAmt>200000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>173.33</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828H45</cusip>
        <identifiers>
          <isin value="US912828H458"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>657479.52000000</valUSD>
        <pctVal>0.821659057133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2007-A1, Class 1A1</title>
        <cusip>46630GAA3</cusip>
        <identifiers>
          <isin value="US46630GAA31"/>
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        <balance>5406.93000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5589.19000000</valUSD>
        <pctVal>0.006984869407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.56340000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000588AHS"/>
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        <balance>80000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>3768.93000000</valUSD>
        <pctVal>0.004710071380</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2028-11-15</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>80000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>3768.93</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Sequoia Mortgage Trust, Series 5, Class A</title>
        <cusip>81743WAA9</cusip>
        <identifiers>
          <isin value="US81743WAA99"/>
        </identifiers>
        <balance>793.60000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>783.25000000</valUSD>
        <pctVal>0.000978835746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.11388000</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>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2006-5, Class 3A2</title>
        <cusip>31394VL73</cusip>
        <identifiers>
          <isin value="US31394VL730"/>
        </identifiers>
        <balance>5524.67000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5806.66000000</valUSD>
        <pctVal>0.007256643949</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.23407900</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>First Horizon Alternative Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>First Horizon Alternative Mortgage Securities Trust, Series 2004-AA1, Class A1</title>
        <cusip>32051D3G5</cusip>
        <identifiers>
          <isin value="US32051D3G58"/>
        </identifiers>
        <balance>4934.11000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4976.31000000</valUSD>
        <pctVal>0.006218946838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.84006200</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>Structured Asset Mortgage Investments II Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A2</title>
        <cusip>86359LPE3</cusip>
        <identifiers>
          <isin value="US86359LPE38"/>
        </identifiers>
        <balance>3868.92000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3813.97000000</valUSD>
        <pctVal>0.004766358340</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01388000</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>CHL Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust, Series 2005-19, Class 1A6</title>
        <cusip>126694AF5</cusip>
        <identifiers>
          <isin value="US126694AF56"/>
        </identifiers>
        <balance>1855.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1729.31000000</valUSD>
        <pctVal>0.002161136858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828Q60</cusip>
        <identifiers>
          <isin value="US912828Q608"/>
        </identifiers>
        <balance>6760000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7323122.88000000</valUSD>
        <pctVal>9.151783527571</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.12500000</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810PZ5</cusip>
        <identifiers>
          <isin value="US912810PZ57"/>
        </identifiers>
        <balance>510000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>736514.27000000</valUSD>
        <pctVal>0.920429613767</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2005-A6, Class 7A1</title>
        <cusip>466247UG6</cusip>
        <identifiers>
          <isin value="US466247UG61"/>
        </identifiers>
        <balance>4515.75000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4452.17000000</valUSD>
        <pctVal>0.005563923579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.21012100</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>Canada Government Real Return Bond</name>
        <lei>4BFD7AQU0A75QLAHK410</lei>
        <title>Canada Government Real Return Bond</title>
        <cusip>135087VS0</cusip>
        <identifiers>
          <isin value="CA135087VS05"/>
        </identifiers>
        <balance>217734.30000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.29855000"/>
        <valUSD>213156.77000000</valUSD>
        <pctVal>0.266384252789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</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>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust, Series 2004-AR10, Class 2A2A</title>
        <cusip>45660N2Y0</cusip>
        <identifiers>
          <isin value="US45660N2Y00"/>
        </identifiers>
        <balance>839.43000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>813.27000000</valUSD>
        <pctVal>0.001016352055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57199800</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>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust, Series 2004-AR11, Class 2A</title>
        <cusip>45660N6S9</cusip>
        <identifiers>
          <isin value="US45660N6S95"/>
        </identifiers>
        <balance>2564.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2594.23000000</valUSD>
        <pctVal>0.003242036460</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.85468600</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810PS1</cusip>
        <identifiers>
          <isin value="US912810PS15"/>
        </identifiers>
        <balance>530000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>780295.55000000</valUSD>
        <pctVal>0.975143538916</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Catamaran CLO Ltd.</name>
        <lei>549300MB476AHX5W1918</lei>
        <title>Catamaran CLO Ltd., Series 2013-1A, Class AR</title>
        <cusip>14889EAL0</cusip>
        <identifiers>
          <isin value="US14889EAL02"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>248832.50000000</valUSD>
        <pctVal>0.310968587027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78563000</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>GSR Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSR Mortgage Loan Trust, Series 2005-AR1, Class 1A1</title>
        <cusip>36242DUL5</cusip>
        <identifiers>
          <isin value="US36242DUL53"/>
        </identifiers>
        <balance>3168.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3216.82000000</valUSD>
        <pctVal>0.004020093718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.30160000</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>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="35148"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>5345.68000000</valUSD>
        <pctVal>0.006680552404</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JP Morgan Chase Bank</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>175000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>208173000.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>5345.68</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010637AHS"/>
        </identifiers>
        <balance>2500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26456.36000000</valUSD>
        <pctVal>0.033062790781</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME Group Inc.</counterpartyName>
              <counterpartyLei>LCZ7XYGSLJUHFXXNXD88</counterpartyLei>
            </counterparties>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LIBOR" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.75"/>
            <terminationDt>2029-09-12</terminationDt>
            <upfrontPmnt>5932.03</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>26456.36</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Park Place Securities, Inc. Asset-Backed Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>Park Place Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-WHQ4, Class M2</title>
        <cusip>70069FMT1</cusip>
        <identifiers>
          <isin value="US70069FMT11"/>
        </identifiers>
        <balance>25000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24406.54000000</valUSD>
        <pctVal>0.030501109212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="33762"/>
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        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-7153.78000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank</counterpartyName>
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            <amtCurSold>510454936.00000000</amtCurSold>
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            <amtCurPur>435066.60000000</amtCurPur>
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            <unrealizedAppr>-7153.78</unrealizedAppr>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Securitized Asset-Backed Receivables LLC Trust</name>
        <lei>N/A</lei>
        <title>Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C</title>
        <cusip>81376YAD3</cusip>
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          <isin value="US81376YAD31"/>
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        <balance>197927.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99224.64000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.95199900</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>VMware, Inc.</name>
        <lei>549300BUDHS3LRWBE814</lei>
        <title>VMware, Inc.</title>
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          <isin value="US928563AC98"/>
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        <balance>10000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10449.92000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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          <isin value="US31395B6R90"/>
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        <balance>348.12000000</balance>
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        <curCd>USD</curCd>
        <valUSD>345.38000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA or FHLMC</name>
        <lei>N/A</lei>
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          <isin value="US01F0306294"/>
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        <balance>2300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2331625.00000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="35191"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-6794.78000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC Bank</counterpartyName>
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            <unrealizedAppr>-6794.78</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Lehman ABS Manufactured Housing Contract Trust</name>
        <lei>N/A</lei>
        <title>Lehman ABS Manufactured Housing Contract Trust, Series 2001-B, Class M2</title>
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        <identifiers>
          <isin value="US52519SAM52"/>
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        <balance>46524.65000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38347.97000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.17000100</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>9128283R9</cusip>
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          <isin value="US9128283R96"/>
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        <balance>4030000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4314087.58000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GreenPoint Mortgage Funding Trust</name>
        <lei>N/A</lei>
        <title>GreenPoint Mortgage Funding Trust, Series 2005-AR5, Class 1A1</title>
        <cusip>39538WEA2</cusip>
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          <isin value="US39538WEA27"/>
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        <balance>7549.38000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6647.06000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.33200100</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHL Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust, Series 2006-HYB3, Class 3A1B</title>
        <cusip>1266944F2</cusip>
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          <isin value="US1266944F22"/>
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        <balance>2956.84040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.59755600</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="32949"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-12262.17000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Bank of America</counterpartyName>
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            <settlementDt>2020-02-14</settlementDt>
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        <securityLending>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDIO</title>
        <cusip>N/A</cusip>
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        <balance>-100000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Barclays Capital</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                <issuerName>N/A</issuerName>
                <issueTitle>Credit Default Swap Index Option</issueTitle>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="000668AHS"/>
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        <balance>100000.00000000</balance>
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        <valUSD>266.87000000</valUSD>
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        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Clearnet</counterpartyName>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
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          <other otherDesc="Inhouse Asset ID" value="33088"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHL Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1</title>
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        <identifiers>
          <isin value="US170255AA19"/>
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        <balance>53600.36000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44365.56000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
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              <counterpartyName>HSBC Bank</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>MRFC Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC</name>
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          <isin value="US3132HTBH86"/>
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        <curCd>USD</curCd>
        <valUSD>181170.92000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RPI</title>
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          <other otherDesc="Inhouse Asset ID" value="010672AHS"/>
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        <balance>200000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury 10 Year Ultra Note</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Sedol" value="UXYH0CO"/>
          <other otherDesc="Future Ticker" value="UXYH0 Comdty"/>
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        <balance>15.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>United States of America</issuerName>
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            </descRefInstrmnt>
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            <unrealizedAppr>-6869.11</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-BTP</title>
        <cusip>N/A</cusip>
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          <isin value="DE000C3ZZTH9"/>
          <other otherDesc="Future Ticker" value="IKH0 Comdty"/>
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        <balance>2.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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        <pctVal>-0.00444675737</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Eurex Clearing</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>Republic of Italy</issuerName>
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            <expDate>2020-03-06</expDate>
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        <name>Charter Communications Operating LLC</name>
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          <isin value="US161175AX26"/>
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        <balance>90000.00000000</balance>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2005-15, Class 1AF6</title>
        <cusip>126670MD7</cusip>
        <identifiers>
          <isin value="US126670MD78"/>
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        <balance>49.05000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>IndyMac INDA Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDA Mortgage Loan Trust, Series 2005-AR1, Class 2A1</title>
        <cusip>45660LZK8</cusip>
        <identifiers>
          <isin value="US45660LZK87"/>
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        <balance>2489.96000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Japan</name>
        <lei>N/A</lei>
        <title>Japanese Government CPI Linked Bonds</title>
        <cusip>N/A</cusip>
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          <isin value="JP1120241K56"/>
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        <balance>18099540.00000000</balance>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1</title>
        <cusip>31395M2F5</cusip>
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          <isin value="US31395M2F53"/>
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        <balance>18528.71000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>AT&amp;T, Inc.</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T, Inc.</title>
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          <isin value="US00206RFS67"/>
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        <balance>20000.00000000</balance>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="33747"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-20249.82000000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>Citibank</counterpartyName>
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      <invstOrSec>
        <name>LoanCore Issuer Ltd.</name>
        <lei>N/A</lei>
        <title>LoanCore Issuer Ltd., Series 2019-CRE2, Class A</title>
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        <identifiers>
          <isin value="US53946JAA25"/>
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        <balance>100000.00000000</balance>
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      <invstOrSec>
        <name>Banc of America Mortgage Trust</name>
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        <name>United States of America</name>
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      <invstOrSec>
        <name>Petrobras Global Finance BV</name>
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        <name>N/A</name>
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        <name>N/A</name>
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              <counterpartyName>LCH Clearnet</counterpartyName>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
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          <isin value="US466247TZ61"/>
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        <name>N/A</name>
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      <invstOrSec>
        <name>OHA Credit Partners IX Ltd.</name>
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      <invstOrSec>
        <name>Structured Asset Securities Corp. Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
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        <name>Alternative Loan Trust</name>
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        <name>Soundview Home Loan Trust</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="32948"/>
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        <curCd>N/A</curCd>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>HSBC Bank</counterpartyName>
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      <invstOrSec>
        <name>Kingdom of Saudi Arabia</name>
        <lei>635400FMICXSM3SI3H65</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA</name>
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          <isin value="US38375UZZ64"/>
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      <invstOrSec>
        <name>British Transco International Finance BV</name>
        <lei>549300GGLD5FF6EQTM03</lei>
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          <isin value="XS0034394709"/>
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        <balance>20000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>None</couponKind>
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        <name>State Bank of India</name>
        <lei>5493001JZ37UBBZF6L49</lei>
        <title>State Bank of India</title>
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          <isin value="XS1589358644"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>200144.00000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IN</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.99313000</annualizedRt>
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        <name>Deutsche Bank AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>Deutsche Bank AG</title>
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          <isin value="US251526BX61"/>
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        <balance>400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>411085.68000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
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      <invstOrSec>
        <name>Banc of America Funding Trust</name>
        <lei>N/A</lei>
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        <cusip>05951EAM9</cusip>
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          <isin value="US05951EAM93"/>
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        <balance>5414.71000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5250.54000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2047-01-20</maturityDt>
          <couponKind>Variable</couponKind>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
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          <other otherDesc="Inhouse Asset ID" value="000673AHS"/>
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        <balance>4490000.00000000</balance>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Clearnet</counterpartyName>
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      <invstOrSec>
        <name>Banc of America Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Banc of America Mortgage Trust, Series 2006-A, Class 2A1</title>
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          <isin value="US05949CRS79"/>
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        <balance>6969.01000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Trust, Series 2007-OA4, Class 1A</title>
        <cusip>93364CAA6</cusip>
        <identifiers>
          <isin value="US93364CAA62"/>
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        <balance>6876.96000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury 2 Year Note</title>
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          <other otherDesc="Inhouse Sedol" value="TUH0COM"/>
          <other otherDesc="Future Ticker" value="TUH0 Comdty"/>
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        <balance>3.00000000</balance>
        <units>NC</units>
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        <valUSD>-214.69000000</valUSD>
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        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>CME Clearing House</counterpartyName>
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                <issuerName>United States of America</issuerName>
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      <invstOrSec>
        <name>Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust, Series 2006-OA19, Class A1</title>
        <cusip>12668RAA6</cusip>
        <identifiers>
          <isin value="US12668RAA68"/>
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        <balance>12631.74000000</balance>
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        <valUSD>9959.61000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2047-02-20</maturityDt>
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      <invstOrSec>
        <name>McDonald's Corp.</name>
        <lei>UE2136O97NLB5BYP9H04</lei>
        <title>McDonald's Corp.</title>
        <cusip>58013MFG4</cusip>
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          <isin value="US58013MFG42"/>
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        <balance>200000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust, Series 2007-10, Class 22AA</title>
        <cusip>17313QAL2</cusip>
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          <isin value="US17313QAL23"/>
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        <name>Z Capital Credit Partners CLO Ltd.</name>
        <lei>549300BNZ44C797ZPY53</lei>
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        <cusip>98877EAG8</cusip>
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        <curCd>USD</curCd>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95088000</annualizedRt>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="35121"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Bank of America</counterpartyName>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Ford Motor Credit Co. LLC</name>
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          <isin value="US34540XAB91"/>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-10-07</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="010719AHS"/>
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        <balance>200000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Inhouse Asset ID" value="010623AHS"/>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>CME Group Inc.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SpringCastle Funding Asset-Backed Notes</name>
        <lei>N/A</lei>
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          <isin value="US85022WAL81"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-05-27</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>SLM Student Loan Trust</name>
        <lei>549300Y3YMECZJOAL893</lei>
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        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0187454706"/>
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        <balance>28327.55000000</balance>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="34066"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Bank of America</counterpartyName>
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      <invstOrSec>
        <name>Structured Asset Mortgage Investments II Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A3</title>
        <cusip>86359LPF0</cusip>
        <identifiers>
          <isin value="US86359LPF03"/>
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        <balance>10053.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9993.06000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Structured Asset Mortgage Investments II Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust, Series 2005-AR5, Class A1</title>
        <cusip>86359LPD5</cusip>
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          <isin value="US86359LPD54"/>
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        <balance>2736.84000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2716.21000000</valUSD>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-19, Class 2A3</title>
        <cusip>12667CAD4</cusip>
        <identifiers>
          <isin value="US12667CAD48"/>
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        <balance>40000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37075.52000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.04199900</annualizedRt>
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      <invstOrSec>
        <name>Structured Asset Mortgage Investments II Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1</title>
        <cusip>86359LDX4</cusip>
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          <isin value="US86359LDX47"/>
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        <balance>1664.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1670.57000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.42388000</annualizedRt>
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      <invstOrSec>
        <name>Voya CLO Ltd.</name>
        <lei>5493000X4YEVJOIVRG48</lei>
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        <cusip>92912QAG1</cusip>
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        <balance>123176.82000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-CBDO</assetCat>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-25</maturityDt>
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      <invstOrSec>
        <name>Banc of America Funding Trust</name>
        <lei>N/A</lei>
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        <cusip>058927AA2</cusip>
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        <name>United Kingdom of Great Britain and Northern Ireland</name>
        <lei>ECTRVYYCEF89VWYS6K36</lei>
        <title>U.K. Treasury Inflation Linked Bonds</title>
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        <balance>7805.91000000</balance>
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        <issuerCat>NUSS</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CSMC Mortgage-Backed Trust</name>
        <lei>N/A</lei>
        <title>CSMC Mortgage-Backed Trust, Series 2007-6, Class A1</title>
        <cusip>12639PAA6</cusip>
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          <isin value="US12639PAA66"/>
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        <balance>191578.48350000</balance>
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        <curCd>USD</curCd>
        <valUSD>168378.02000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>New Zealand Government Inflation Linked Bond</name>
        <lei>549300237GPHG2AI7C34</lei>
        <title>New Zealand Government Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="NZIIBDT003C0"/>
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        <balance>563368.00000000</balance>
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        <name>Park Place Securities, Inc. Asset-Backed Pass-Through Certificates</name>
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        <cusip>70069FAZ0</cusip>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912810RR14"/>
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        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
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        <cusip>3133TSQG1</cusip>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS</title>
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          <other otherDesc="Inhouse Asset ID" value="010619AHS"/>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="34701"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810RF7</cusip>
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          <isin value="US912810RF75"/>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810FH6</cusip>
        <identifiers>
          <isin value="US912810FH69"/>
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        <balance>591000.00000000</balance>
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        <invCountry>US</invCountry>
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        <name>Mellon Residential Funding Corp. Mortgage Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>Mellon Residential Funding Corp. Mortgage Pass-Through Certificates, Series 2001-TBC1, Class A1</title>
        <cusip>585525FC7</cusip>
        <identifiers>
          <isin value="US585525FC72"/>
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        <balance>2627.89000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>RPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000566AHS"/>
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        <balance>1160000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>LCH Clearnet</counterpartyName>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2005-A6, Class 2A1</title>
        <cusip>466247TQ6</cusip>
        <identifiers>
          <isin value="US466247TQ62"/>
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        <invCountry>US</invCountry>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
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        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
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        <cusip>46632TAA3</cusip>
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          <isin value="US46632TAA34"/>
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        <name>Structured Asset Mortgage Investments II Trust</name>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDI</title>
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        <identifiers>
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                <indexName>Markit CDX North American High Yield Index Series 33-V2</indexName>
                <indexIdentifier>Markit CDX North American High Yield Index Series 33-V2</indexIdentifier>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="29925"/>
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        <curCd>N/A</curCd>
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        <title>U.S. Treasury Inflation Linked Notes</title>
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          <isin value="US912828V491"/>
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        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US912810FR42"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>AT&amp;T, Inc.</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T, Inc.</title>
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          <isin value="US00206RFZ01"/>
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        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
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          <isin value="US929227XB72"/>
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        <debtSec>
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        <name>Petrobras Global Finance BV</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Jamestown CLO IV Ltd.</name>
        <lei>2549008V3F2S2MZWTX88</lei>
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          <isin value="US470474AQ02"/>
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        <name>SoFi Professional Loan Program LLC</name>
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      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Class 2A1</title>
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          <isin value="US92922F4F29"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Tobacco Settlement Finance Authority</name>
        <lei>N/A</lei>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bund</title>
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        <name>Bear Stearns ALT-A Trust</name>
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        <name>Bear Stearns ARM Trust</name>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
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        <curCd>N/A</curCd>
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              <counterpartyName>JP Morgan Chase Bank</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOP</title>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EMC Corp.</name>
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        <title>EMC Corp.</title>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
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          <isin value="US36249KAC45"/>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
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        <name>UniCredit SpA</name>
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        <name>Towd Point Mortgage Funding Granite4 plc</name>
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        <name>Securitized Asset-Backed Receivables LLC Trust</name>
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        <name>United States of America</name>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Investors Trust</name>
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      <invstOrSec>
        <name>Argent Mortgage Loan Trust</name>
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        <cusip>040104MX6</cusip>
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        <balance>27353.45000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
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        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.9575"/>
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            <notionalAmt>200000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>533.74</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Japan</name>
        <lei>N/A</lei>
        <title>Japanese Government CPI Linked Bonds</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="JP1120231J51"/>
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        <balance>83026640.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.10000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HICPXT</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000586AHS"/>
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        <balance>40000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.95"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="HICPXT" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2048-11-15</terminationDt>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>40000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>8592.82</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>RFMSI Trust</name>
        <lei>N/A</lei>
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        <cusip>762009AK4</cusip>
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          <isin value="US762009AK44"/>
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        <balance>7109.42110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6935.14000000</valUSD>
        <pctVal>0.008666917250</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2019-20, Class FE</title>
        <cusip>38381RCM9</cusip>
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          <isin value="US38381RCM97"/>
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        <balance>358025.43000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>357311.85000000</valUSD>
        <pctVal>0.446536369335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.16463000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Park Place Securities, Inc.</name>
        <lei>N/A</lei>
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        <cusip>70069FKF3</cusip>
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          <isin value="US70069FKF35"/>
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        <balance>101804.34000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100961.75000000</valUSD>
        <pctVal>0.126172958682</pctVal>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.26199900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury 10 Year Note</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Sedol" value="DF46679"/>
          <other otherDesc="Option Ticker" value="TYG0P 129.50 Comdty"/>
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        <balance>-10.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-12187.50000000</valUSD>
        <pctVal>-0.01523084667</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury 10 Year Note</issueTitle>
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            <shareNo>100000.00000000</shareNo>
            <exercisePrice>129.5</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>-3373.62</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDI</title>
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          <other otherDesc="Inhouse Asset ID" value="010702AHS"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-17718.86000000</valUSD>
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        <assetCat>DCR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>ICE Clear US</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CDX North American High Yield Index Series 33-V2</indexName>
                <indexIdentifier>Markit CDX North American High Yield Index Series 33-V2</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Receipt of notional amount upon default event with regard to the reference instrument</otherRecDesc>
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            <unrealizedAppr>-17718.86</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RALI Trust</name>
        <lei>N/A</lei>
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        <cusip>74924EAA5</cusip>
        <identifiers>
          <isin value="US74924EAA55"/>
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        <balance>55017.16970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51511.86000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="010732AHS"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-2478.17000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>200000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2478.17</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Asset Mortgage Investments II Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust, Series 2006-AR3, Class 11A1</title>
        <cusip>86360KAA6</cusip>
        <identifiers>
          <isin value="US86360KAA60"/>
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        <balance>8781.69000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8881.44000000</valUSD>
        <pctVal>0.011099228788</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.00200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Bank of America Corp.</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp., Series FF</title>
        <cusip>060505FL3</cusip>
        <identifiers>
          <isin value="US060505FL38"/>
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        <balance>20000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22163.40000000</valUSD>
        <pctVal>0.027697833609</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.87499800</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Duke Energy Corp.</name>
        <lei>I1BZKREC126H0VB1BL91</lei>
        <title>Duke Energy Corp.</title>
        <cusip>26441CBA2</cusip>
        <identifiers>
          <isin value="US26441CBA27"/>
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        <balance>210000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>210566.31000000</valUSD>
        <pctVal>0.263146927737</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="35124"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>3008.07000000</valUSD>
        <pctVal>0.003759216652</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America</counterpartyName>
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            <amtCurSold>108000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>128136600.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>3008.07</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOP</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010706AH"/>
        </identifiers>
        <balance>11500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10309.21000000</valUSD>
        <pctVal>0.012883527943</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swaption" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>J.P. Morgan</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Swaption</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>1.066</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-10-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-35594.15</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Legacy Mortgage Asset Trust</name>
        <lei>N/A</lei>
        <title>Legacy Mortgage Asset Trust, Series 2019-GS3, Class A1</title>
        <cusip>52474WAA5</cusip>
        <identifiers>
          <isin value="US52474WAA53"/>
        </identifiers>
        <balance>92046.10000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92672.37000000</valUSD>
        <pctVal>0.115813633490</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.75000100</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>United States Small Business Administration</name>
        <lei>N/A</lei>
        <title>United States Small Business Administration, Series 2008-20H, Class 1</title>
        <cusip>83162CRY1</cusip>
        <identifiers>
          <isin value="US83162CRY11"/>
        </identifiers>
        <balance>10158.89000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10958.36000000</valUSD>
        <pctVal>0.013694777512</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.02000000</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>GSR Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSR Mortgage Loan Trust, Series 2004-12, Class 3A6</title>
        <cusip>36242DLF8</cusip>
        <identifiers>
          <isin value="US36242DLF86"/>
        </identifiers>
        <balance>7185.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7281.25000000</valUSD>
        <pctVal>0.009099454549</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.13248000</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>FNMA or FHLMC</name>
        <lei>N/A</lei>
        <title>UMBS, 30 Year, Single Family</title>
        <cusip>01F040628</cusip>
        <identifiers>
          <isin value="US01F0406284"/>
        </identifiers>
        <balance>5500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5723867.05000000</valUSD>
        <pctVal>7.153176730826</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP Trust</name>
        <lei>N/A</lei>
        <title>GSAMP Trust, Series 2007-FM1, Class A2A</title>
        <cusip>3622MAAB7</cusip>
        <identifiers>
          <isin value="US3622MAAB76"/>
        </identifiers>
        <balance>3445.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2042.19000000</valUSD>
        <pctVal>0.002552146278</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.86199900</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810FS2</cusip>
        <identifiers>
          <isin value="US912810FS25"/>
        </identifiers>
        <balance>1360000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1960176.70000000</valUSD>
        <pctVal>2.449653396255</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Jamestown CLO V Ltd.</name>
        <lei>549300J8XCULR2IX5L98</lei>
        <title>Jamestown CLO V Ltd., Series 2014-5A, Class AR</title>
        <cusip>470473AF6</cusip>
        <identifiers>
          <isin value="US470473AF63"/>
        </identifiers>
        <balance>163348.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>163351.73000000</valUSD>
        <pctVal>0.204142371541</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.22213000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley IXIS Real Estate Capital Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A1</title>
        <cusip>617463AA2</cusip>
        <identifiers>
          <isin value="US617463AA25"/>
        </identifiers>
        <balance>387.17000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>187.62000000</valUSD>
        <pctVal>0.000234470683</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.84200100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810QV3</cusip>
        <identifiers>
          <isin value="US912810QV35"/>
        </identifiers>
        <balance>440000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>520820.73000000</valUSD>
        <pctVal>0.650875132882</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Euro-Galaxy V CLO BV</name>
        <lei>724500O6SPJ0UVQ6DN40</lei>
        <title>Euro-Galaxy V CLO BV, Series 2016-5A, Class ARV</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS2032717865"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>279457.25000000</valUSD>
        <pctVal>0.349240658544</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.82000100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FCPIX</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000653AHS"/>
        </identifiers>
        <balance>900000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>-3317.98000000</valUSD>
        <pctVal>-0.00414651443</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="FRCPI" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.03"/>
            <terminationDt>2024-03-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>900000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-3317.98</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Republic of Peru</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>Republic of Peru</title>
        <cusip>715638BX9</cusip>
        <identifiers>
          <isin value="US715638BX94"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.31300000"/>
        <valUSD>67811.41000000</valUSD>
        <pctVal>0.084744630834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.94000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHL Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust, Series 2006-6, Class A4</title>
        <cusip>126694K64</cusip>
        <identifiers>
          <isin value="US126694K641"/>
        </identifiers>
        <balance>18471.45480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14692.49000000</valUSD>
        <pctVal>0.018361358967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Towd Point Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Towd Point Mortgage Trust, Series 2019-HY2, Class A1</title>
        <cusip>89177HAA0</cusip>
        <identifiers>
          <isin value="US89177HAA05"/>
        </identifiers>
        <balance>77124.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77178.76000000</valUSD>
        <pctVal>0.096451106450</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.79200200</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust, Series 2006-OA11, Class A1B</title>
        <cusip>02147DAB7</cusip>
        <identifiers>
          <isin value="US02147DAB73"/>
        </identifiers>
        <balance>100192.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94400.86000000</valUSD>
        <pctVal>0.117973745585</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.98200200</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgages Trust</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A7</title>
        <cusip>576433UM6</cusip>
        <identifiers>
          <isin value="US576433UM63"/>
        </identifiers>
        <balance>3363.68000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3444.01000000</valUSD>
        <pctVal>0.004304015445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-21</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.69967000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
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          <isin value="US52525AAA25"/>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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          <other otherDesc="Inhouse Asset ID" value="010703AHS"/>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>ICE Clear US</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CDX North American High Yield Index Series 33-V2</indexName>
                <indexIdentifier>Markit CDX North American High Yield Index Series 33-V2</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
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          <isin value="US912828Y388"/>
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        <balance>3590000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-5, Class 1A1D</title>
        <cusip>68383NCY7</cusip>
        <identifiers>
          <isin value="US68383NCY76"/>
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        <balance>256742.69000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>243649.20000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.17199900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="35589"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank</counterpartyName>
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            <amtCurSold>131000000.00000000</amtCurSold>
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            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-8070.98</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC Structured Pass-Through Certificates, Series T-62, Class 1A1</title>
        <cusip>31395HHV5</cusip>
        <identifiers>
          <isin value="US31395HHV50"/>
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        <balance>59774.44000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60611.88000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-25</maturityDt>
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          <annualizedRt>3.43947600</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="33829"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>9466.66000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co.</counterpartyName>
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            <amtCurSold>189413.20000000</amtCurSold>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Charter Communications Operating LLC</name>
        <lei>N/A</lei>
        <title>Charter Communications Operating LLC</title>
        <cusip>161175BB9</cusip>
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          <isin value="US161175BB96"/>
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        <balance>10000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10508.10000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.46400000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="010618AHS"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-16299.38000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>CME Group Inc.</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
            <unrealizedAppr>-16299.38</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>OZLME BV</name>
        <lei>7245005PU4T31PXX6910</lei>
        <title>OZLME BV, Series 1A, Class AR</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS2038485285"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>443449.29000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.82000100</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>SLM Student Loan Trust</name>
        <lei>549300MTK92VF84VT259</lei>
        <title>SLM Student Loan Trust, Series 2008-9, Class A</title>
        <cusip>78445JAA5</cusip>
        <identifiers>
          <isin value="US78445JAA51"/>
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        <balance>89340.59000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89834.38000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.43963100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Credit-Based Asset Servicing &amp; Securitization LLC</name>
        <lei>N/A</lei>
        <title>Credit-Based Asset Servicing &amp; Securitization LLC, Series 2005-CB3, Class M4</title>
        <cusip>12489WLH5</cusip>
        <identifiers>
          <isin value="US12489WLH50"/>
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        <balance>25000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24771.03000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.84199800</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust, Series 2004-19, Class 2A1</title>
        <cusip>863579JG4</cusip>
        <identifiers>
          <isin value="US863579JG47"/>
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        <balance>2260.82000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2202.43000000</valUSD>
        <pctVal>0.002752399887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.63947800</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Schatz</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="DUH01400C"/>
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        <balance>98.00000000</balance>
        <units>NC</units>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Eurex Clearing</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <issuerName>Federal Republic of Germany</issuerName>
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            <shareNo>100000.00000000</shareNo>
            <exercisePrice>114</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>-55.1</unrealizedAppr>
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      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust, Series 2005-9, Class 2A1A</title>
        <cusip>41161PSK0</cusip>
        <identifiers>
          <isin value="US41161PSK02"/>
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        <balance>2805.38000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2797.48000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RPI</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="000587AHS"/>
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        <balance>340000.00000000</balance>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Clearnet</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>RALI Trust</name>
        <lei>N/A</lei>
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          <isin value="US761118EN47"/>
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        <balance>2769.42000000</balance>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>Alternative Loan Trust</name>
        <lei>549300QTQ6MX6ER06N64</lei>
        <title>Alternative Loan Trust, Series 2007-OA7, Class A1A</title>
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          <isin value="US126680AA57"/>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bobl</title>
        <cusip>N/A</cusip>
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          <isin value="DE000C3ZZTL1"/>
          <other otherDesc="Future Ticker" value="OEH0 Comdty"/>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex Clearing</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>Federal Republic of Germany</issuerName>
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                  <isin value="DE0001102333"/>
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            <expDate>2020-03-06</expDate>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
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          <isin value="US9128287D64"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-07-15</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>First Horizon Alternative Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>First Horizon Alternative Mortgage Securities Trust, Series 2006-FA8, Class 1A7</title>
        <cusip>32052DAG6</cusip>
        <identifiers>
          <isin value="US32052DAG60"/>
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        <balance>13233.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9302.39000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>USCPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010685AHS"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2201.54000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USCPI" floatingRtSpread="0" pmntAmt="0">
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            <unrealizedAppr>2201.54</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="33149"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-15820.73000000</valUSD>
        <pctVal>-0.01977133233</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank</counterpartyName>
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            <amtCurSold>707000.00000000</amtCurSold>
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            <amtCurPur>480841.80000000</amtCurPur>
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            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-15820.73</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust, Series 2006-AR1, Class 2A1</title>
        <cusip>17307G3C0</cusip>
        <identifiers>
          <isin value="US17307G3C01"/>
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        <balance>10030.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10125.12000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.14000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>RPI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010698AHS"/>
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        <balance>370000.00000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
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            <swapFlag>Y</swapFlag>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-25653.93</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CIT Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>CIT Mortgage Loan Trust, Series 2007-1, Class 1M1</title>
        <cusip>12559QAF9</cusip>
        <identifiers>
          <isin value="US12559QAF90"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200004.96000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-10-25</maturityDt>
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          <annualizedRt>3.29199800</annualizedRt>
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      <invstOrSec>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
        <title>Lehman XS Trust, Series 2006-7, Class 1A1A</title>
        <cusip>52522EAA7</cusip>
        <identifiers>
          <isin value="US52522EAA73"/>
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        <balance>45792.21440000</balance>
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        <curCd>USD</curCd>
        <valUSD>46756.72000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.95199900</annualizedRt>
          <isDefault>N</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Banc of America Funding Trust</name>
        <lei>N/A</lei>
        <title>Banc of America Funding Trust, Series 2006-G, Class 2A1</title>
        <cusip>05950MAB6</cusip>
        <identifiers>
          <isin value="US05950MAB63"/>
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        <balance>1142.33000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1141.90000000</valUSD>
        <pctVal>0.001427044415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20462900</annualizedRt>
          <isDefault>N</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Bancorp Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Bancorp Commercial Mortgage Trust, Series 2019-CRE6, Class A</title>
        <cusip>05973BAA5</cusip>
        <identifiers>
          <isin value="US05973BAA52"/>
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        <balance>99365.30000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99426.67000000</valUSD>
        <pctVal>0.124254553094</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81538000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Alternative Loan Trust, Series 2006-A7, Class 1A4</title>
        <cusip>466286AD3</cusip>
        <identifiers>
          <isin value="US466286AD37"/>
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        <balance>49095.34820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46819.35000000</valUSD>
        <pctVal>0.058510633116</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.02200100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
        <title>Lehman XS Trust, Series 2006-8, Class 3A4</title>
        <cusip>52522HAM4</cusip>
        <identifiers>
          <isin value="US52522HAM43"/>
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        <balance>19145.92120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19529.93000000</valUSD>
        <pctVal>0.024406758509</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.83052700</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>Citigroup Mortgage Loan Trust, Inc.</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH3, Class A3</title>
        <cusip>17313CAC3</cusip>
        <identifiers>
          <isin value="US17313CAC38"/>
        </identifiers>
        <balance>156002.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155300.97000000</valUSD>
        <pctVal>0.194081252267</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.04199900</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>HICPXT</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000654AHS"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>399.67000000</valUSD>
        <pctVal>0.000499471793</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.1675"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="HICPXT" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            </floatingPmntDesc>
            <terminationDt>2024-03-15</terminationDt>
            <upfrontPmnt>50.83</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>100000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>399.67</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Southern Power Co.</name>
        <lei>5LADC78JBG2BMZD5XF57</lei>
        <title>Southern Power Co.</title>
        <cusip>843646AV2</cusip>
        <identifiers>
          <isin value="US843646AV22"/>
        </identifiers>
        <balance>60000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59995.64000000</valUSD>
        <pctVal>0.074977181029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.45800100</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>Residential Asset Securitization Trust</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust, Series 2005-A5, Class A3</title>
        <cusip>45660LJZ3</cusip>
        <identifiers>
          <isin value="US45660LJZ31"/>
        </identifiers>
        <balance>25141.42000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20749.10000000</valUSD>
        <pctVal>0.025930368055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.19200000</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>Banc of America Funding Trust</name>
        <lei>N/A</lei>
        <title>Banc of America Funding Trust, Series 2006-J, Class 2A1</title>
        <cusip>05951EAC1</cusip>
        <identifiers>
          <isin value="US05951EAC12"/>
        </identifiers>
        <balance>133549.97000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129335.12000000</valUSD>
        <pctVal>0.161631456981</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.87621000</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>First Horizon Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>First Horizon Mortgage Pass-Through Trust, Series 2005-AR3, Class 2A1</title>
        <cusip>32051GQL2</cusip>
        <identifiers>
          <isin value="US32051GQL22"/>
        </identifiers>
        <balance>7164.86000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5971.88000000</valUSD>
        <pctVal>0.007463121117</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.66440800</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>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="33146"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-4199.14000000</valUSD>
        <pctVal>-0.00524770933</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC Bank</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>262000.00000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>197601.97000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-4199.14</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM Student Loan Trust</name>
        <lei>549300Q3EYTM3HF1XJ85</lei>
        <title>SLM Student Loan Trust, Series 2003-5, Class A5</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0168279080"/>
        </identifiers>
        <balance>7569.41000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>8475.25000000</valUSD>
        <pctVal>0.010591608882</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.00001100</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>American Home Mortgage Investment Trust</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Investment Trust, Series 2005-2, Class 4A1</title>
        <cusip>02660TEQ2</cusip>
        <identifiers>
          <isin value="US02660TEQ22"/>
        </identifiers>
        <balance>2747.41000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2776.87000000</valUSD>
        <pctVal>0.003470283585</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.40688200</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>FCPIX</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000674AHS"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>-395.92000000</valUSD>
        <pctVal>-0.00049478537</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Clearnet</counterpartyName>
              <counterpartyLei>549300TXTCI7WVVJS380</counterpartyLei>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="FRCPI" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
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            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.03"/>
            <terminationDt>2024-03-15</terminationDt>
            <upfrontPmnt>27.26</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>100000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-395.92</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>New Zealand Government Inflation Linked Bond</name>
        <lei>549300237GPHG2AI7C34</lei>
        <title>New Zealand Government Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="NZIIBDT002C2"/>
        </identifiers>
        <balance>251390.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="NZD" exchangeRt="1.48544279"/>
        <valUSD>184628.82000000</valUSD>
        <pctVal>0.230732574241</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIT Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>CIT Mortgage Loan Trust, Series 2007-1, Class 1A</title>
        <cusip>12559QAA0</cusip>
        <identifiers>
          <isin value="US12559QAA04"/>
        </identifiers>
        <balance>23986.60000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24111.32000000</valUSD>
        <pctVal>0.030132169679</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.14200100</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>GreenPoint MTA Trust</name>
        <lei>N/A</lei>
        <title>GreenPoint MTA Trust, Series 2005-AR1, Class A2</title>
        <cusip>39538RAB5</cusip>
        <identifiers>
          <isin value="US39538RAB50"/>
        </identifiers>
        <balance>6465.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6123.03000000</valUSD>
        <pctVal>0.007652014859</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.23200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2004-63, Class FA</title>
        <cusip>31394ANT9</cusip>
        <identifiers>
          <isin value="US31394ANT96"/>
        </identifiers>
        <balance>788.46000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>780.64000000</valUSD>
        <pctVal>0.000975574001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.94199800</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>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust, Series 2007-AMC2, Class A3A</title>
        <cusip>17311XAA3</cusip>
        <identifiers>
          <isin value="US17311XAA37"/>
        </identifiers>
        <balance>4844.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3548.75000000</valUSD>
        <pctVal>0.004434910123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.87200000</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>Deutsche Alt-B Securities Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Deutsche Alt-B Securities Mortgage Loan Trust, Series 2006-AB4, Class A1B1</title>
        <cusip>251513AR8</cusip>
        <identifiers>
          <isin value="US251513AR81"/>
        </identifiers>
        <balance>288.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="33686"/>
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        <curCd>N/A</curCd>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>HSBC Bank</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T, Inc.</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T, Inc.</title>
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          <isin value="US00206RFU14"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
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          <isin value="US92925CDA71"/>
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        <balance>3035.31000000</balance>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Investors Trust</name>
        <lei>N/A</lei>
        <title>Merrill Lynch Mortgage Investors Trust, Series 2005-A9, Class 5A1</title>
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          <isin value="US59020UW687"/>
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        <balance>3675.38000000</balance>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
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          <isin value="US9128284H06"/>
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        <balance>1180000.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Allergan Sales LLC</name>
        <lei>254900TUPGX2F5Y3AU71</lei>
        <title>Allergan Sales LLC</title>
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          <isin value="US345838AA47"/>
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        <balance>60000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust, Series 2004-1, Class 4A2</title>
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          <isin value="US86359BGG05"/>
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        <balance>3012.84000000</balance>
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      <invstOrSec>
        <name>International Lease Finance Corp.</name>
        <lei>N/A</lei>
        <title>International Lease Finance Corp.</title>
        <cusip>459745GF6</cusip>
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          <isin value="US459745GF62"/>
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        <balance>90000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>8.25000000</annualizedRt>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
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          <isin value="US912828N712"/>
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        <balance>4540000.00000000</balance>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
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          <isin value="US912810QF84"/>
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        <balance>1350000.00000000</balance>
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        <name>GreenPoint Mortgage Funding Trust</name>
        <lei>N/A</lei>
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          <isin value="US39539FAK03"/>
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        <name>N/A</name>
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        <name>Saxon Asset Securities Trust</name>
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      <invstOrSec>
        <name>NCUA Guaranteed Notes Trust</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-08</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27313000</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>Alliance Bancorp Trust</name>
        <lei>N/A</lei>
        <title>Alliance Bancorp Trust, Series 2007-OA1, Class A1</title>
        <cusip>01852TAA1</cusip>
        <identifiers>
          <isin value="US01852TAA16"/>
        </identifiers>
        <balance>37220.82000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34192.00000000</valUSD>
        <pctVal>0.042730101283</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03199800</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>Structured Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust, Series 2005-17, Class 3A1</title>
        <cusip>863579VM7</cusip>
        <identifiers>
          <isin value="US863579VM76"/>
        </identifiers>
        <balance>2778.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2815.25000000</valUSD>
        <pctVal>0.003518247474</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.24144100</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>Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust, Series 2007-1T1, Class 1A1</title>
        <cusip>23246KAA9</cusip>
        <identifiers>
          <isin value="US23246KAA97"/>
        </identifiers>
        <balance>144457.43000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99121.91000000</valUSD>
        <pctVal>0.123873691323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDI</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010709AHS"/>
        </identifiers>
        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-31762.19000000</valUSD>
        <pctVal>-0.03969354222</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="Swap" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>ICE Clear US</counterpartyName>
              <counterpartyLei>549300HWWR1D8OTS2G29</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CDX North American High Yield Index Series 33-V2</indexName>
                <indexIdentifier>Markit CDX North American High Yield Index Series 33-V2</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Receipt of notional amount upon default event with regard to the reference instrument</otherRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5"/>
            <terminationDt>2024-12-20</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>45876.77</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>800000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-31762.19</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Schatz</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="DE000C3ZZTM9"/>
          <other otherDesc="Future Ticker" value="DUH0 Comdty"/>
        </identifiers>
        <balance>-98.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>11108.99000000</valUSD>
        <pctVal>0.013883021404</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex Clearing</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Federal Republic of Germany</issuerName>
                <issueTitle>Euro-Schatz</issueTitle>
                <identifiers>
                  <isin value="DE0001135424"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-03-06</expDate>
            <notionalAmt>-10966690</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>11108.99</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Trust, Series 2006-AR7, Class 3A</title>
        <cusip>93363CAC3</cusip>
        <identifiers>
          <isin value="US93363CAC38"/>
        </identifiers>
        <balance>15358.13000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14804.99000000</valUSD>
        <pctVal>0.018501951398</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.62699900</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828B25</cusip>
        <identifiers>
          <isin value="US912828B253"/>
        </identifiers>
        <balance>140000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>157653.52000000</valUSD>
        <pctVal>0.197021258695</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bund</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="RXH07200C"/>
        </identifiers>
        <balance>-5.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>-3140.76000000</valUSD>
        <pctVal>-0.00392504073</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Eurex Clearing</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Federal Republic of Germany</issuerName>
                <issueTitle>Euro-Bund</issueTitle>
                <identifiers>
                  <cusip value="N/A"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>172</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3789.62</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>C-BASS TRUST</name>
        <lei>N/A</lei>
        <title>C-BASS TRUST, Series 2006-CB9, Class A1</title>
        <cusip>12465MAA2</cusip>
        <identifiers>
          <isin value="US12465MAA27"/>
        </identifiers>
        <balance>2163.91000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1345.18000000</valUSD>
        <pctVal>0.001681085565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.85199800</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>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="36681"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-394.73000000</valUSD>
        <pctVal>-0.00049329822</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Morgan Stanley &amp; Co.</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <amtCurSold>800034.00000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>198485.13000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>-394.73</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="36682"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>394.73000000</valUSD>
        <pctVal>0.000493298224</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="Forward Foreign Currency Contract" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
            </counterparties>
            <amtCurSold>198485.13000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>800034.00000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>394.73</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <signature>
      <ncom:dateSigned>2020-01-30</ncom:dateSigned>
      <ncom:nameOfApplicant>EQ Advisors Trust</ncom:nameOfApplicant>
      <ncom:signature>Brian Walsh</ncom:signature>
      <ncom:signerName>Brian Walsh</ncom:signerName>
      <ncom:title>Chief Financial Officer and Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
