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        <valUSD>0.00000000</valUSD>
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        <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>Purchased</writtenOrPur>
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              <otherRefInst>
                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury 5 Year Note</issueTitle>
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            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-111.8</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>UMBS</title>
        <cusip>3138EPLH5</cusip>
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          <isin value="US3138EPLH51"/>
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        <balance>104445.66000000</balance>
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        <curCd>USD</curCd>
        <valUSD>112533.26000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>UDR, Inc.</name>
        <lei>P3CH2EG5X6Z1XWU1OO74</lei>
        <title>UDR, Inc.</title>
        <cusip>90265EAQ3</cusip>
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          <isin value="US90265EAQ35"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>712107.27000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Prime Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Prime Mortgage Trust, Series 2006-CL1, Class A1</title>
        <cusip>74161QAA0</cusip>
        <identifiers>
          <isin value="US74161QAA04"/>
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        <balance>110323.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105318.84000000</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>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.29200100</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>Accredited Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Accredited Mortgage Loan Trust, Series 2006-2, Class A4</title>
        <cusip>00437NAD4</cusip>
        <identifiers>
          <isin value="US00437NAD49"/>
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        <balance>267132.45000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>260588.59000000</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>2036-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.05200000</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>GSAMP Trust</name>
        <lei>N/A</lei>
        <title>GSAMP Trust, Series 2006-NC2, Class A2B</title>
        <cusip>362463AC5</cusip>
        <identifiers>
          <isin value="US362463AC59"/>
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        <balance>166110.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111282.55000000</valUSD>
        <pctVal>0.037908947555</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>Floating</couponKind>
          <annualizedRt>1.88200100</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>Bear Stearns ALT-A Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ALT-A Trust, Series 2006-3, Class 35A1</title>
        <cusip>07386HQ87</cusip>
        <identifiers>
          <isin value="US07386HQ874"/>
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        <balance>78764.07000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55260.57000000</valUSD>
        <pctVal>0.018824784748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.27560800</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>RALI Trust</name>
        <lei>N/A</lei>
        <title>RALI Trust, Series 2008-QR1, Class 1A1</title>
        <cusip>74925FAA1</cusip>
        <identifiers>
          <isin value="US74925FAA12"/>
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        <balance>96334.41000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90622.01000000</valUSD>
        <pctVal>0.030870833068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.19200100</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>Conagra Brands, Inc.</name>
        <lei>54930035UDEIH090K650</lei>
        <title>Conagra Brands, Inc.</title>
        <cusip>205887CA8</cusip>
        <identifiers>
          <isin value="US205887CA82"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>750169.98000000</valUSD>
        <pctVal>0.255549090394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.30000000</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>Enel Finance International NV</name>
        <lei>0YQH6LCEF474UTUV4B96</lei>
        <title>Enel Finance International NV</title>
        <cusip>29278GAH1</cusip>
        <identifiers>
          <isin value="US29278GAH11"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>741915.23000000</valUSD>
        <pctVal>0.252737069239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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="DF47130"/>
          <other otherDesc="Option Ticker" value="TYG0C 130.00 Comdty"/>
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        <balance>-26.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2031.25000000</valUSD>
        <pctVal>-0.00069195529</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>
              <counterpartyLei>LCZ7XYGSLJUHFXXNXD88</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury 10 Year Note</issueTitle>
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                  <ticker value="TYH0 Comdty"/>
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            <shareNo>100000.00000000</shareNo>
            <exercisePrice>130</exercisePrice>
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            <expDt>2020-01-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6061.25</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Towd Point Mortgage Funding</name>
        <lei>N/A</lei>
        <title>Towd Point Mortgage Funding, Series 2019-A13A, Class A1</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS2053911264"/>
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        <balance>2000000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>2641440.45000000</valUSD>
        <pctVal>0.899819670641</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.61000000</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>Westlake Automobile Receivables Trust</name>
        <lei>5493000EWZKZ6H2PNY04</lei>
        <title>Westlake Automobile Receivables Trust, Series 2018-3A, Class A2A</title>
        <cusip>96042GAC6</cusip>
        <identifiers>
          <isin value="US96042GAC69"/>
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        <balance>151989.35000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>152224.42000000</valUSD>
        <pctVal>0.051855996779</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.98000000</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>Deutsche Bank AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>Deutsche Bank AG</title>
        <cusip>251525AV3</cusip>
        <identifiers>
          <isin value="US251525AV32"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400074.60000000</valUSD>
        <pctVal>0.136287378655</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.97087800</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>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"/>
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        <balance>575019.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>541778.82000000</valUSD>
        <pctVal>0.184559617603</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>
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      </invstOrSec>
      <invstOrSec>
        <name>Cooperatieve Rabobank UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>Cooperatieve Rabobank UA</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0496281618"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>341088.22000000</valUSD>
        <pctVal>0.116193378419</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.87500000</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>Credit Suisse Group Funding Guernsey Ltd.</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd.</title>
        <cusip>225433AM3</cusip>
        <identifiers>
          <isin value="US225433AM38"/>
        </identifiers>
        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>507908.25000000</valUSD>
        <pctVal>0.173021441475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45000000</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>Sabra Health Care LP</name>
        <lei>N/A</lei>
        <title>Sabra Health Care LP</title>
        <cusip>78572XAF8</cusip>
        <identifiers>
          <isin value="US78572XAF87"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>744254.00000000</valUSD>
        <pctVal>0.253533782733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.80000000</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>STARM Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>STARM Mortgage Loan Trust, Series 2007-1, Class 2A1</title>
        <cusip>78473NAC7</cusip>
        <identifiers>
          <isin value="US78473NAC74"/>
        </identifiers>
        <balance>70834.07000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67063.78000000</valUSD>
        <pctVal>0.022845606241</pctVal>
        <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>Variable</couponKind>
          <annualizedRt>4.31107600</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>JP Morgan Mortgage Acquisition Corp.</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Acquisition Corp., Series 2005-FRE1, Class M1</title>
        <cusip>46626LCC2</cusip>
        <identifiers>
          <isin value="US46626LCC28"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>293301.06000000</valUSD>
        <pctVal>0.099914447515</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20200100</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>Oracle Corp.</name>
        <lei>1Z4GXXU7ZHVWFCD8TV52</lei>
        <title>Oracle Corp.</title>
        <cusip>68389XBK0</cusip>
        <identifiers>
          <isin value="US68389XBK00"/>
        </identifiers>
        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400318.00000000</valUSD>
        <pctVal>0.136370294061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.90000000</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 2006-118, Class A1</title>
        <cusip>31396L4R8</cusip>
        <identifiers>
          <isin value="US31396L4R81"/>
        </identifiers>
        <balance>6773.74000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6732.65000000</valUSD>
        <pctVal>0.002293510310</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.76800000</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 30 Year Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="DCFC077"/>
          <other otherDesc="Option Ticker" value="USH0C 195.0 Comdty"/>
        </identifiers>
        <balance>77.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</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>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury 30 Year Bond</issueTitle>
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                  <ticker value="USH0 Comdty"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
            <exercisePrice>195</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-662.2</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RALI Trust</name>
        <lei>N/A</lei>
        <title>RALI Trust, Series 2006-QS12, Class 1A1</title>
        <cusip>751151AA9</cusip>
        <identifiers>
          <isin value="US751151AA94"/>
        </identifiers>
        <balance>230261.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>169977.42000000</valUSD>
        <pctVal>0.057903643476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <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>
          <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>U.S. Treasury 10 Year Note</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="D62D2F3"/>
          <other otherDesc="Option Ticker" value="TYH0C 144.50 Comdty"/>
        </identifiers>
        <balance>52.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</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>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</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>144.5</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-447.2</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLB</name>
        <lei>2549001DPIFGXC1TOL40</lei>
        <title>FHLB</title>
        <cusip>313384SH3</cusip>
        <identifiers>
          <isin value="US313384SH38"/>
        </identifiers>
        <balance>2200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2197639.18000000</valUSD>
        <pctVal>0.748636586956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-27</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>9128284H0</cusip>
        <identifiers>
          <isin value="US9128284H06"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>420763.11000000</valUSD>
        <pctVal>0.143335021260</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</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>Option One Mortgage Loan Trust Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Option One Mortgage Loan Trust Asset-Backed Certificates, Series 2005-4, Class M2</title>
        <cusip>68389FJJ4</cusip>
        <identifiers>
          <isin value="US68389FJJ49"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>586172.22000000</valUSD>
        <pctVal>0.199682447484</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</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>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Lloyds Banking Group plc</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>Lloyds Banking Group plc</title>
        <cusip>53944YAK9</cusip>
        <identifiers>
          <isin value="US53944YAK91"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>910992.33000000</valUSD>
        <pctVal>0.310334014282</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-17</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.85800000</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>Healthcare Trust of America Holdings LP</name>
        <lei>549300IYGAS4GE6VDL07</lei>
        <title>Healthcare Trust of America Holdings LP</title>
        <cusip>42225UAD6</cusip>
        <identifiers>
          <isin value="US42225UAD63"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>729150.24000000</valUSD>
        <pctVal>0.248388612662</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TWDC Enterprises 18 Corp.</name>
        <lei>7260JQNI6SCF9FIV2392</lei>
        <title>TWDC Enterprises 18 Corp.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1678630432"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200484.38000000</valUSD>
        <pctVal>0.068295989326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.12500000</annualizedRt>
          <isDefault>N</isDefault>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>United Group BV</name>
        <lei>213800PC85O8BJ7DU398</lei>
        <title>United Group BV</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1647814968"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>799661.05000000</valUSD>
        <pctVal>0.272408466613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Allegro CLO I Ltd.</name>
        <lei>N/A</lei>
        <title>Allegro CLO I Ltd., Series 2013-1A, Class A1R</title>
        <cusip>01749GAJ7</cusip>
        <identifiers>
          <isin value="US01749GAJ76"/>
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        <balance>49710.91000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49722.24000000</valUSD>
        <pctVal>0.016938125415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.15550100</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>SLM Student Loan Trust</name>
        <lei>549300HZ5P6KYIDITL52</lei>
        <title>SLM Student Loan Trust, Series 2003-2, Class A5</title>
        <cusip>N/A</cusip>
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          <isin value="XS0163731846"/>
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        <balance>6821.47000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.00001100</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2015-H18, Class FB</title>
        <cusip>38376REZ5</cusip>
        <identifiers>
          <isin value="US38376REZ55"/>
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        <balance>585616.96000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>584760.03000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.37425000</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>Platin 1426 GmbH</name>
        <lei>213800NMYXIGFN77O655</lei>
        <title>Platin 1426 GmbH</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1862512024"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Keurig Dr Pepper, Inc.</name>
        <lei>DYTQ8KRTKO7Y2BVU5K74</lei>
        <title>Keurig Dr Pepper, Inc.</title>
        <cusip>49271VAG5</cusip>
        <identifiers>
          <isin value="US49271VAG59"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>528015.30000000</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>2023-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.05700000</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="24459"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>70828.89000000</valUSD>
        <pctVal>0.024128209466</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>Goldman Sachs Bank</counterpartyName>
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            <amtCurSold>1160249.25000000</amtCurSold>
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            <curPur>MXN</curPur>
            <settlementDt>2020-01-28</settlementDt>
            <unrealizedAppr>70828.89</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Boston Properties LP</name>
        <lei>BVHHEFJI6SHNOKQT2572</lei>
        <title>Boston Properties LP</title>
        <cusip>10112RBA1</cusip>
        <identifiers>
          <isin value="US10112RBA14"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>676036.80000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>
        <name>Telos CLO Ltd.</name>
        <lei>549300S94NIRW4K03T89</lei>
        <title>Telos CLO Ltd., Series 2014-6A, Class A1R</title>
        <cusip>87970UAS5</cusip>
        <identifiers>
          <isin value="US87970UAS50"/>
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        <balance>342488.70000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>342573.64000000</valUSD>
        <pctVal>0.116699394042</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>3.27213000</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>
      <invstOrSec>
        <name>General Motors Financial Co., Inc.</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co., Inc.</title>
        <cusip>37045XCU8</cusip>
        <identifiers>
          <isin value="US37045XCU81"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>718235.77000000</valUSD>
        <pctVal>0.244670544817</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.55000000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Credit Suisse AG</name>
        <lei>ANGGYXNX0JLX3X63JN86</lei>
        <title>Credit Suisse AG</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0957135212"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>223000.00000000</valUSD>
        <pctVal>0.075966045932</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</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>Volkswagen Bank GmbH</name>
        <lei>529900GJD3OQLRZCKW37</lei>
        <title>Volkswagen Bank GmbH</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1830992480"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>113274.87000000</valUSD>
        <pctVal>0.038587641154</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</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>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"/>
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        <balance>15141.63000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9412.67000000</valUSD>
        <pctVal>0.003206472294</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Jackson National Life Global Funding</name>
        <lei>635400PQXLYXWJI5QD78</lei>
        <title>Jackson National Life Global Funding</title>
        <cusip>46849LTB7</cusip>
        <identifiers>
          <isin value="US46849LTB70"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>815553.84000000</valUSD>
        <pctVal>0.277822423632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.30000000</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 Acquisition Corp.</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Acquisition Corp., Series 2006-FRE1, Class M1</title>
        <cusip>46626LFN5</cusip>
        <identifiers>
          <isin value="US46626LFN55"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>197101.54000000</valUSD>
        <pctVal>0.067143608255</pctVal>
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        <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>2.18200000</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>Spirit AeroSystems, Inc.</name>
        <lei>ZD2NBKV6GCC3UMGBM518</lei>
        <title>Spirit AeroSystems, Inc.</title>
        <cusip>85205TAK6</cusip>
        <identifiers>
          <isin value="US85205TAK60"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>732970.00000000</valUSD>
        <pctVal>0.249689832678</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.60000000</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>SMB Private Education Loan Trust</name>
        <lei>549300QHI21JZK7YIR34</lei>
        <title>SMB Private Education Loan Trust, Series 2018-A, Class A1</title>
        <cusip>78449PAA7</cusip>
        <identifiers>
          <isin value="US78449PAA75"/>
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        <balance>91897.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91885.86000000</valUSD>
        <pctVal>0.031301369781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.08975000</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>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2005-S3, Class 1A2</title>
        <cusip>466247ZP1</cusip>
        <identifiers>
          <isin value="US466247ZP16"/>
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        <balance>15204.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11540.25000000</valUSD>
        <pctVal>0.003931242877</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Thornburg Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>Thornburg Mortgage Securities Trust, Series 2007-3, Class 3A1</title>
        <cusip>88522XAE1</cusip>
        <identifiers>
          <isin value="US88522XAE13"/>
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        <balance>355486.57000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>329770.64000000</valUSD>
        <pctVal>0.112337989172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25149800</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>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-13, Class 3AV2</title>
        <cusip>23242EAJ8</cusip>
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        <curCd>USD</curCd>
        <valUSD>11534.78000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Washington Prime Group LP</name>
        <lei>549300K4BNOIQ154O537</lei>
        <title>Washington Prime Group LP</title>
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          <isin value="US939648AE19"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Hilton USA Trust</name>
        <lei>N/A</lei>
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          <isin value="US43289VAA17"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UBS Group AG</name>
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        <balance>600000.00000000</balance>
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        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2026-04-15</maturityDt>
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      <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"/>
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        <payoffProfile>Long</payoffProfile>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2053-05-25</maturityDt>
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          <annualizedRt>1.76100100</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Wynn Las Vegas LLC</name>
        <lei>N/A</lei>
        <title>Wynn Las Vegas LLC</title>
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          <isin value="US983130AV78"/>
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        <balance>800000.00000000</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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          <maturityDt>2025-03-01</maturityDt>
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          <annualizedRt>5.50000000</annualizedRt>
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      <invstOrSec>
        <name>Daimler Finance North America LLC</name>
        <lei>549300423Z16BB673J12</lei>
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          <isin value="US233851DG63"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-05-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.10000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>RAAC Trust</name>
        <lei>N/A</lei>
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          <isin value="US74919PAD15"/>
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        <balance>68926.54000000</balance>
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        <curCd>USD</curCd>
        <valUSD>68293.92000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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-HY7, Class 4A2</title>
        <cusip>93364FAM3</cusip>
        <identifiers>
          <isin value="US93364FAM32"/>
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        <balance>83768.59000000</balance>
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        <curCd>USD</curCd>
        <valUSD>78709.96000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.99539200</annualizedRt>
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      <invstOrSec>
        <name>Netflix, Inc.</name>
        <lei>549300Y7VHGU0I7CE873</lei>
        <title>Netflix, Inc.</title>
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          <isin value="XS2076099865"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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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>MASTR Asset-Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>MASTR Asset-Backed Securities Trust, Series 2006-FRE1, Class A4</title>
        <cusip>57643LPP5</cusip>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Evergreen Credit Card Trust</name>
        <lei>5493002G9KVV6J3CNU15</lei>
        <title>Evergreen Credit Card Trust, Series 2019-2, Class A</title>
        <cusip>30023JBH0</cusip>
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          <isin value="US30023JBH05"/>
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        <balance>900000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>RASC Trust</name>
        <lei>N/A</lei>
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        <cusip>76110W7R1</cusip>
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          <isin value="US76110W7R11"/>
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        <balance>186110.72580000</balance>
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        <invCountry>US</invCountry>
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          <couponKind>Floating</couponKind>
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        <name>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2002-11, Class 1A2</title>
        <cusip>07384MSJ2</cusip>
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          <isin value="US07384MSJ26"/>
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        <balance>545.55000000</balance>
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        <valUSD>515.47000000</valUSD>
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        <invCountry>US</invCountry>
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          <couponKind>Variable</couponKind>
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        <name>Ford Motor Credit Co. LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>Ford Motor Credit Co. LLC</title>
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        <balance>700000.00000000</balance>
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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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      <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="28810"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust, Series 2006-AR9, Class 2A1</title>
        <cusip>45661EGE8</cusip>
        <identifiers>
          <isin value="US45661EGE86"/>
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        <balance>250694.56620000</balance>
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        <curCd>USD</curCd>
        <valUSD>217997.45000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.62508500</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>Broadcom, Inc.</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>Broadcom, Inc.</title>
        <cusip>11135FAD3</cusip>
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          <isin value="US11135FAD33"/>
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        <balance>700000.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Business Mortgage Finance 7 plc</name>
        <lei>6354003XKCGEIVFGHI58</lei>
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          <isin value="XS0330211359"/>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CFCRE Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CFCRE Commercial Mortgage Trust, Series 2016-C7, Class ASB</title>
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          <isin value="US12532BAB36"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Dell International LLC</name>
        <lei>N/A</lei>
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          <isin value="US25272KAD54"/>
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        <curCd>USD</curCd>
        <valUSD>102820.30000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury 10 Year Note</title>
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          <other otherDesc="Inhouse Sedol" value="D62D7E5"/>
          <other otherDesc="Option Ticker" value="TYH0C 138.00 Comdty"/>
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        <balance>3.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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              <otherRefInst>
                <issuerName>United States of America</issuerName>
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            </descRefInstrmnt>
            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-25.8</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Inhouse Sedol" value="D76FB5A"/>
          <other otherDesc="Option Ticker" value="FVH0P 112.00 Comdty"/>
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        <balance>74.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                <issuerName>United States of America</issuerName>
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            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-636.4</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>Service Properties Trust</name>
        <lei>529900IS770AG1K9QG27</lei>
        <title>Service Properties Trust</title>
        <cusip>44106MAR3</cusip>
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          <isin value="US44106MAR34"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>Banc of America Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Banc of America Mortgage Trust, Series 2003-D, Class 2A4</title>
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          <isin value="US05948XBV29"/>
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        <balance>11471.47000000</balance>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.21150000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>General Motors Financial Co., Inc.</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co., Inc.</title>
        <cusip>37045XBD7</cusip>
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          <isin value="US37045XBD75"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>202117.14000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.70000000</annualizedRt>
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      <invstOrSec>
        <name>Option One Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Option One Mortgage Loan Trust, Series 2007-5, Class 1A1</title>
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          <isin value="US68403HAA05"/>
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        <balance>481188.96000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-05-25</maturityDt>
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        <securityLending>
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      <invstOrSec>
        <name>Arrow Electronics, Inc.</name>
        <lei>549300YNNLBXT8N8R512</lei>
        <title>Arrow Electronics, Inc.</title>
        <cusip>042735BD1</cusip>
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          <isin value="US042735BD16"/>
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        <balance>100000.00000000</balance>
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        <valUSD>102506.26000000</valUSD>
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        <invCountry>US</invCountry>
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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="010689AHS"/>
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        <balance>800000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>ICE Clear US</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>General Electric Co.</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2015-58, Class AI</title>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Royal Bank of Scotland Group plc</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>Royal Bank of Scotland Group plc</title>
        <cusip>N/A</cusip>
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        <balance>100000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Odebrecht Drilling Norbe VIII/IX Ltd.</name>
        <lei>549300YNW6BY570L6488</lei>
        <title>Odebrecht Drilling Norbe VIII/IX Ltd.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="USG67106AC18"/>
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        <balance>309646.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>166815.78000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2026-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.35000000</annualizedRt>
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      <invstOrSec>
        <name>City of Chicago IL</name>
        <lei>T5UYO5SYLC8K73MJQX30</lei>
        <title>City of Chicago Taxable General Obligation Bonds, Series 2015B</title>
        <cusip>167486D22</cusip>
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          <isin value="US167486D225"/>
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        <balance>50000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56629.50000000</valUSD>
        <pctVal>0.019291117480</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75000000</annualizedRt>
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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>Province of Ontario Canada</name>
        <lei>C7PVKCRGLG18EBQGZV36</lei>
        <title>Province of Ontario</title>
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        <name>BNP Paribas SA</name>
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        <name>FNMA</name>
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        <name>Energy Transfer Operating LP</name>
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        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>Chase Mortgage Finance Trust</name>
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        <name>AbbVie, Inc.</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>AbbVie, Inc.</title>
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      <invstOrSec>
        <name>Bear Stearns ALT-A Trust</name>
        <lei>N/A</lei>
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        <cusip>07386HSY8</cusip>
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        <balance>41008.30000000</balance>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>First Horizon Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>First Horizon Mortgage Pass-Through Trust, Series 2005-AR4, Class 2A1</title>
        <cusip>32051GTX3</cusip>
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        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Avery Point IV CLO Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Brixmor Operating Partnership LP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>California Street CLO XII Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2025-10-15</maturityDt>
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      <invstOrSec>
        <name>American Airlines Pass-Through Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Home Equity Loan Trust</name>
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        <name>Ford Credit Floorplan Master Owner Trust A</name>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
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          <annualizedRt>2.01975100</annualizedRt>
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      <invstOrSec>
        <name>American Honda Finance Corp.</name>
        <lei>B6Q2VFHD1797Q7NZ3E43</lei>
        <title>American Honda Finance Corp.</title>
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        <balance>200000.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Lloyds Banking Group plc</name>
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        <title>Lloyds Banking Group plc</title>
        <cusip>N/A</cusip>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>BCAP LLC Trust</name>
        <lei>N/A</lei>
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          <isin value="US05534AAN19"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>CVS Health Corp.</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS Health Corp.</title>
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        <balance>900000.00000000</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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          <maturityDt>2028-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.30000000</annualizedRt>
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        <name>Banc of America Funding Trust</name>
        <lei>N/A</lei>
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        <cusip>05951GAQ5</cusip>
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        <balance>115239.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>102731.38000000</valUSD>
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        <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>
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        <name>Mitsubishi UFJ Financial Group, Inc.</name>
        <lei>353800V2V8PUY9TK3E06</lei>
        <title>Mitsubishi UFJ Financial Group, Inc.</title>
        <cusip>606822AT1</cusip>
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          <isin value="US606822AT15"/>
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        <balance>900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>933267.06000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45500000</annualizedRt>
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        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC</title>
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        <balance>253056.69000000</balance>
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        <curCd>USD</curCd>
        <valUSD>262415.36000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>Avolon Holdings Funding Ltd.</name>
        <lei>635400ZRKEX9L1BKCH30</lei>
        <title>Avolon Holdings Funding Ltd.</title>
        <cusip>05401AAA9</cusip>
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          <isin value="US05401AAA97"/>
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        <balance>600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>646395.18000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
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      <invstOrSec>
        <name>Wells Fargo Home Equity Asset-Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>Wells Fargo Home Equity Asset-Backed Securities Trust, Series 2005-3, Class M4</title>
        <cusip>9497ENAD5</cusip>
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        <balance>38992.46000000</balance>
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        <curCd>USD</curCd>
        <valUSD>38976.00000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.67700000</annualizedRt>
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      <invstOrSec>
        <name>Bayer US Finance II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>Bayer US Finance II LLC</title>
        <cusip>07274NAG8</cusip>
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          <isin value="US07274NAG88"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>301135.95000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90363000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust, Series 2006-OA3, Class 1A1</title>
        <cusip>12668BB44</cusip>
        <identifiers>
          <isin value="US12668BB444"/>
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        <balance>49767.61000000</balance>
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        <curCd>USD</curCd>
        <valUSD>44573.96000000</valUSD>
        <pctVal>0.015184338532</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-05-25</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Mortgage Loan Trust, Series 2005-3AR, Class 3A</title>
        <cusip>61745M4R1</cusip>
        <identifiers>
          <isin value="US61745M4R15"/>
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        <balance>98921.60000000</balance>
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        <valUSD>92027.84000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.98495200</annualizedRt>
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      <invstOrSec>
        <name>Baker Hughes a GE Co. LLC</name>
        <lei>N/A</lei>
        <title>Baker Hughes a GE Co. LLC</title>
        <cusip>05723KAD2</cusip>
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          <isin value="US05723KAD28"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>306003.45000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.77300000</annualizedRt>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC</title>
        <cusip>3128P7LZ4</cusip>
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          <isin value="US3128P7LZ40"/>
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        <balance>38426.71000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41016.53000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Oversea-Chinese Banking Corp. Ltd.</name>
        <lei>5493007O3QFXCPOGWK22</lei>
        <title>Oversea-Chinese Banking Corp. Ltd.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1822309107"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>598599.00000000</valUSD>
        <pctVal>0.203915691162</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35413000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Westinghouse Air Brake Technologies Corp.</name>
        <lei>06BTX5UWZD0GQ5N5Y745</lei>
        <title>Westinghouse Air Brake Technologies Corp.</title>
        <cusip>960386AP5</cusip>
        <identifiers>
          <isin value="US960386AP59"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>298916.70000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.19362800</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Asset Securities Corp. Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Securities Corp. Mortgage Loan Trust, Series 2007-GEL2, Class A3</title>
        <cusip>86363MAC5</cusip>
        <identifiers>
          <isin value="US86363MAC55"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>282239.79000000</valUSD>
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        <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>2.24200100</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Imperial Brands Finance plc</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>Imperial Brands Finance plc</title>
        <cusip>45262BAB9</cusip>
        <identifiers>
          <isin value="US45262BAB99"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>604161.66000000</valUSD>
        <pctVal>0.205810638629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Sumitomo Mitsui Financial Group, Inc.</name>
        <lei>35380028MYWPB6AUO129</lei>
        <title>Sumitomo Mitsui Financial Group, Inc.</title>
        <cusip>86562MAB6</cusip>
        <identifiers>
          <isin value="US86562MAB63"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>808256.80000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.93400000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>Banc of America Funding Trust</name>
        <lei>N/A</lei>
        <title>Banc of America Funding Trust, Series 2005-D, Class A1</title>
        <cusip>06051GDM8</cusip>
        <identifiers>
          <isin value="US06051GDM87"/>
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        <balance>12476.64000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12719.88000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.67489900</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC, Series 2266, Class F</title>
        <cusip>3133TQFM4</cusip>
        <identifiers>
          <isin value="US3133TQFM42"/>
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        <balance>84.23000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84.28000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.18975000</annualizedRt>
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      <invstOrSec>
        <name>Autonomous Community of Catalonia</name>
        <lei>95980020140005848404</lei>
        <title>Autonomous Community of Catalonia</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="ES00000950E9"/>
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        <balance>400000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-02-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.95000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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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>50264.99000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49965.27000000</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>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01388000</annualizedRt>
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      <invstOrSec>
        <name>Electricite de France SA</name>
        <lei>549300X3UK4GG3FNMO06</lei>
        <title>Electricite de France SA</title>
        <cusip>268317AD6</cusip>
        <identifiers>
          <isin value="US268317AD63"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>100160.07000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.60000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Tharaldson Hotel Portfolio Trust</name>
        <lei>N/A</lei>
        <title>Tharaldson Hotel Portfolio Trust, Series 2018-THL, Class A</title>
        <cusip>88327HAA1</cusip>
        <identifiers>
          <isin value="US88327HAA14"/>
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        <balance>324032.10000000</balance>
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        <curCd>USD</curCd>
        <valUSD>323424.41000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.46012800</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>GS Mortgage Securities Corp. Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Corp. Trust, Series 2017-GPTX, Class A</title>
        <cusip>36257CAA5</cusip>
        <identifiers>
          <isin value="US36257CAA53"/>
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        <balance>400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>398983.24000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>2.85554600</annualizedRt>
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      <invstOrSec>
        <name>General Motors Financial Co., Inc.</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co., Inc.</title>
        <cusip>37045XCH7</cusip>
        <identifiers>
          <isin value="US37045XCH70"/>
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        <balance>400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>400076.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.86200000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Argent Securities Trust</name>
        <lei>N/A</lei>
        <title>Argent Securities Trust, Series 2006-W2, Class A2B</title>
        <cusip>040104RV5</cusip>
        <identifiers>
          <isin value="US040104RV54"/>
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        <balance>259717.67000000</balance>
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        <curCd>USD</curCd>
        <valUSD>168073.38000000</valUSD>
        <pctVal>0.057255022893</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
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        <name>Province of Quebec Canada</name>
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        <name>Kraft Heinz Foods Co.</name>
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        <name>Bacardi Ltd.</name>
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        <name>Alternative Loan Trust</name>
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        <name>FNMA</name>
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        <name>Bear Stearns ARM Trust</name>
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        <name>N/A</name>
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        <name>Renaissance Home Equity Loan Trust</name>
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        <name>AIG Global Funding</name>
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        <name>N/A</name>
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        <name>Standard Chartered plc</name>
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        <name>Santander UK plc</name>
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        <name>Ford Motor Credit Co. LLC</name>
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        <name>Deutsche Bank AG</name>
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        <name>Specialty Underwriting &amp; Residential Finance Trust</name>
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        <name>N/A</name>
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        <name>Synchrony Bank</name>
        <lei>549300UATVPGSLE43Z27</lei>
        <title>Synchrony Bank</title>
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        <name>FNMA</name>
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        <name>Simon Property Group LP</name>
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        <name>Cigna Corp.</name>
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        <name>HSBC Holdings plc</name>
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        <name>BAT Capital Corp.</name>
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        <name>CenterPoint Energy Resources Corp.</name>
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        <name>Bank of America Corp.</name>
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        <name>AP Moller - Maersk A/S</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Inhouse Sedol" value="D839142"/>
          <other otherDesc="Option Ticker" value="FVH0P 110.25 Comdty"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                <issuerName>United States of America</issuerName>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
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          <isin value="US38376RVV58"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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          <other otherDesc="Inhouse Asset ID" value="000596AHS"/>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>ICE Clear US</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>General Electric Co.</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>JPMorgan Chase &amp; Co.</name>
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          <isin value="US46647PAU03"/>
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        <balance>700000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UBS Group AG</name>
        <lei>549300SZJ9VS8SGXAN81</lei>
        <title>UBS Group AG</title>
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          <isin value="US90351DAB38"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>216428.26000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-24</maturityDt>
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        <securityLending>
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      <invstOrSec>
        <name>RASC Trust</name>
        <lei>N/A</lei>
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        <cusip>74924YAC7</cusip>
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          <isin value="US74924YAC75"/>
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        <balance>109881.21000000</balance>
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        <curCd>USD</curCd>
        <valUSD>107310.87000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.04199900</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>JMP Credit Advisors CLO IIIR Ltd.</name>
        <lei>254900CF9PN2ZUP3VA26</lei>
        <title>JMP Credit Advisors CLO IIIR Ltd., Series 2014-1RA, Class A</title>
        <cusip>46649DAA9</cusip>
        <identifiers>
          <isin value="US46649DAA90"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>895986.00000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-17</maturityDt>
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        <securityLending>
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      <invstOrSec>
        <name>Credit Suisse Group Funding Guernsey Ltd.</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd.</title>
        <cusip>225433AT8</cusip>
        <identifiers>
          <isin value="US225433AT80"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>314064.36000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.80000000</annualizedRt>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828Y38</cusip>
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          <isin value="US912828Y388"/>
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        <balance>7220000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7788461.87000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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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="22307"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JP Morgan Chase Bank</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3 Month Euro Euribor</title>
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          <isin value="GB00H1QMN017"/>
          <other otherDesc="Future Ticker" value="ERU0 Comdty"/>
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        <balance>-33.00000000</balance>
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        <issuerConditional desc="Future" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>ICE Clear Europe</counterpartyName>
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            <payOffProf>Short</payOffProf>
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      <invstOrSec>
        <name>AT&amp;T, Inc.</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T, Inc.</title>
        <cusip>00206RDV1</cusip>
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          <isin value="US00206RDV15"/>
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        <balance>600000.00000000</balance>
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        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>Halcyon Loan Advisors Funding Ltd.</name>
        <lei>549300NL4H585I318G08</lei>
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          <isin value="US40538FAQ63"/>
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      <invstOrSec>
        <name>Figueroa CLO Ltd.</name>
        <lei>549300EUEEB937ZBYB92</lei>
        <title>Figueroa CLO Ltd., Series 2014-1A, Class AR</title>
        <cusip>31683YAJ3</cusip>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
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      <invstOrSec>
        <name>Daimler Finance North America LLC</name>
        <lei>549300423Z16BB673J12</lei>
        <title>Daimler Finance North America LLC</title>
        <cusip>233851DL5</cusip>
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          <isin value="US233851DL58"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>728870.17000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.70000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Prime Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Prime Mortgage Trust, Series 2004-CL1, Class 1A2</title>
        <cusip>74160MDL3</cusip>
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          <isin value="US74160MDL37"/>
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        <balance>2365.99000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2233.92000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Development Bank of Japan, Inc.</name>
        <lei>5493001HGBABMWFZUI25</lei>
        <title>Development Bank of Japan, Inc.</title>
        <cusip>25159MAT4</cusip>
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          <isin value="US25159MAT45"/>
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        <balance>800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>802994.88000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.12500000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Hyundai Capital America</name>
        <lei>549300RIPPWJB5Z0FK07</lei>
        <title>Hyundai Capital America</title>
        <cusip>44891AAX5</cusip>
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          <isin value="US44891AAX54"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200390.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-09-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.69849900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2003-8, Class 2A1</title>
        <cusip>07384MZS4</cusip>
        <identifiers>
          <isin value="US07384MZS42"/>
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        <balance>8428.30000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8763.04000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.15276900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Mountain Hawk III CLO Ltd.</name>
        <lei>549300LQ6MVS0NGUT623</lei>
        <title>Mountain Hawk III CLO Ltd., Series 2014-3A, Class AR</title>
        <cusip>62405CAN4</cusip>
        <identifiers>
          <isin value="US62405CAN48"/>
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        <balance>207313.27000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207362.82000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.20325100</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GlaxoSmithKline Capital plc</name>
        <lei>549300U0LV41VX7LEP38</lei>
        <title>GlaxoSmithKline Capital plc</title>
        <cusip>377373AE5</cusip>
        <identifiers>
          <isin value="US377373AE54"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>508718.75000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.12500000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>JPMorgan Prime Money Market Fund, IM Shares</name>
        <lei>N/A</lei>
        <title>JPMorgan Prime Money Market Fund, IM Shares</title>
        <cusip>N/A</cusip>
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          <other otherDesc="CINS" value="741994511"/>
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        <balance>0.00600000</balance>
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        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Eurosail-UK plc</name>
        <lei>213800HEU63KH3XHB844</lei>
        <title>Eurosail-UK plc, Series 2007-1X, Class A3C</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS0284999496"/>
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        <balance>173385.66000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.93863000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>UMBS</title>
        <cusip>31416TL80</cusip>
        <identifiers>
          <isin value="US31416TL800"/>
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        <balance>85049.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93898.11000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GSPA Monetization Trust</name>
        <lei>N/A</lei>
        <title>GSPA Monetization Trust</title>
        <cusip>36298GAA7</cusip>
        <identifiers>
          <isin value="US36298GAA76"/>
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        <balance>309792.91000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>360058.31000000</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>2029-10-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.42200000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSR Mortgage Loan Trust, Series 2005-AR6, Class 2A1</title>
        <cusip>362341RX9</cusip>
        <identifiers>
          <isin value="US362341RX95"/>
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        <balance>46715.96000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47885.28000000</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>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.26933000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>GS Mortgage Securities Corp. Trust</name>
        <lei>5493006UCJFJVDKIY756</lei>
        <title>GS Mortgage Securities Corp. Trust, Series 2016-RENT, Class B</title>
        <cusip>36251GAG9</cusip>
        <identifiers>
          <isin value="US36251GAG91"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>710104.43000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.98000000</annualizedRt>
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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 Notes</title>
        <cusip>9128282L3</cusip>
        <identifiers>
          <isin value="US9128282L36"/>
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        <balance>1200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1287704.29000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.37500000</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>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-12, Class 2A2</title>
        <cusip>12667AAC0</cusip>
        <identifiers>
          <isin value="US12667AAC09"/>
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        <balance>32204.12000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32133.27000000</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>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.94199800</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HSBC Holdings plc</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings plc</title>
        <cusip>404280BG3</cusip>
        <identifiers>
          <isin value="US404280BG30"/>
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        <balance>1000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1018830.20000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.54313100</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>
      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR13, Class A1A1</title>
        <cusip>92922F4M7</cusip>
        <identifiers>
          <isin value="US92922F4M79"/>
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        <balance>7184.91000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7068.62000000</valUSD>
        <pctVal>0.002407960141</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.08199900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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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 2006-AR16, Class 3A3</title>
        <cusip>92925GAJ2</cusip>
        <identifiers>
          <isin value="US92925GAJ22"/>
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        <balance>23602.90120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22633.28000000</valUSD>
        <pctVal>0.007710138063</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>Variable</couponKind>
          <annualizedRt>3.52168900</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>Province of Quebec Canada</name>
        <lei>549300WN65YFEQH74Y36</lei>
        <title>Province of Quebec</title>
        <cusip>74814ZES8</cusip>
        <identifiers>
          <isin value="CA74814ZES89"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.29855000"/>
        <valUSD>165809.94000000</valUSD>
        <pctVal>0.056483970933</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Ventas Realty LP</name>
        <lei>32SXKSJ72K64GM3HOU64</lei>
        <title>Ventas Realty LP</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2026-10-15</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>CWABS Asset-Backed Certificates Trust</name>
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        <valUSD>43736.18000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NXP BV</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CLNC Ltd.</name>
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          <isin value="US12565DAA19"/>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2035-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.98325200</annualizedRt>
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      <invstOrSec>
        <name>Royal Bank of Canada</name>
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        <balance>800000.00000000</balance>
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        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-03-22</maturityDt>
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          <annualizedRt>2.30000000</annualizedRt>
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      <invstOrSec>
        <name>Lloyds Bank plc</name>
        <lei>H7FNTJ4851HG0EXQ1Z70</lei>
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          <isin value="XS0767581407"/>
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        <balance>600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>495684.23000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-02</maturityDt>
          <couponKind>Variable</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>UMBS</title>
        <cusip>31402C4J8</cusip>
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          <isin value="US31402C4J86"/>
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        <balance>44453.49000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49645.48000000</valUSD>
        <pctVal>0.016911976744</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
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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="D76F9B2"/>
          <other otherDesc="Option Ticker" value="FVH0P 111.00 Comdty"/>
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        <balance>32.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</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>Purchased</writtenOrPur>
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                <issuerName>United States of America</issuerName>
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            <shareNo>100000.00000000</shareNo>
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            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-275.2</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>Realty Income Corp.</name>
        <lei>549300CUWDAUZSH43859</lei>
        <title>Realty Income Corp.</title>
        <cusip>756109AS3</cusip>
        <identifiers>
          <isin value="US756109AS39"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>307818.30000000</valUSD>
        <pctVal>0.104859816666</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="28887"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>4578.25000000</valUSD>
        <pctVal>0.001559603362</pctVal>
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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>HSBC Bank</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
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            <amtCurSold>456538.08000000</amtCurSold>
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            <amtCurPur>410000.00000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>4578.25</unrealizedAppr>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>U.S. Treasury 10 Year Note</title>
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        <identifiers>
          <other otherDesc="Inhouse Sedol" value="D6133C2"/>
          <other otherDesc="Option Ticker" value="TYH0C 143.50 Comdty"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <issuerName>United States of America</issuerName>
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            <shareNo>100000.00000000</shareNo>
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            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8.6</unrealizedAppr>
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      <invstOrSec>
        <name>Thornburg Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>Thornburg Mortgage Securities Trust, Series 2007-1, Class A2B</title>
        <cusip>88522EAC7</cusip>
        <identifiers>
          <isin value="US88522EAC75"/>
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        <balance>54306.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>50118.51000000</valUSD>
        <pctVal>0.017073116738</pctVal>
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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>Floating</couponKind>
          <annualizedRt>3.30149900</annualizedRt>
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        <name>Chesapeake Funding II LLC</name>
        <lei>5493000HT7H4OFOD6Z12</lei>
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        <cusip>165183BN3</cusip>
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          <isin value="US165183BN36"/>
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        <balance>434767.46000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>440122.88000000</valUSD>
        <pctVal>0.149930022054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.23000000</annualizedRt>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC</title>
        <cusip>3132XXB32</cusip>
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          <isin value="US3132XXB328"/>
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        <balance>254755.01000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>264335.71000000</valUSD>
        <pctVal>0.090047258688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>Central Japan Railway Co.</name>
        <lei>353800YAR3OVUITHTG64</lei>
        <title>Central Japan Railway Co.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1871094428"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>622902.60000000</valUSD>
        <pctVal>0.212194831942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.40000000</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>Citigroup, Inc.</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup, Inc.</title>
        <cusip>172967LM1</cusip>
        <identifiers>
          <isin value="US172967LM17"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101727.72000000</valUSD>
        <pctVal>0.034654047758</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-24</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.87600000</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>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2004-10, Class 23A1</title>
        <cusip>07384M4K5</cusip>
        <identifiers>
          <isin value="US07384M4K58"/>
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        <balance>2625.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2701.09000000</valUSD>
        <pctVal>0.000920139582</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>4.08613000</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>State of Qatar</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>State of Qatar</title>
        <cusip>74727PBA8</cusip>
        <identifiers>
          <isin value="US74727PBA84"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>782468.75000000</valUSD>
        <pctVal>0.266551825127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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="25643"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>8487.47000000</valUSD>
        <pctVal>0.002891298367</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>508550.32000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3608774.79000000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>8487.47</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VB-S1 Issuer LLC</name>
        <lei>N/A</lei>
        <title>VB-S1 Issuer LLC, Series 2016-1A, Class F</title>
        <cusip>91823AAE1</cusip>
        <identifiers>
          <isin value="US91823AAE10"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102022.65000000</valUSD>
        <pctVal>0.034754517112</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.90100000</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>912810RW0</cusip>
        <identifiers>
          <isin value="US912810RW09"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>458098.11000000</valUSD>
        <pctVal>0.156053372492</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>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MPLX LP</name>
        <lei>5493000CZJ19CK4P3G36</lei>
        <title>MPLX LP</title>
        <cusip>55336VAR1</cusip>
        <identifiers>
          <isin value="US55336VAR15"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>310188.60000000</valUSD>
        <pctVal>0.105667271010</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>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Syngenta Finance NV</name>
        <lei>54930042S3BYCEGOCN86</lei>
        <title>Syngenta Finance NV</title>
        <cusip>87164KAE4</cusip>
        <identifiers>
          <isin value="US87164KAE47"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>509198.00000000</valUSD>
        <pctVal>0.173460801151</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.93300000</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>Barclays plc</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays plc</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1002801758"/>
        </identifiers>
        <balance>500000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>598011.92000000</valUSD>
        <pctVal>0.203715699475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.99999900</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Bonds</title>
        <cusip>912810RF7</cusip>
        <identifiers>
          <isin value="US912810RF75"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>391212.99000000</valUSD>
        <pctVal>0.133268627658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.37500000</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>Securitized Asset-Backed Receivables LLC Trust</name>
        <lei>N/A</lei>
        <title>Securitized Asset-Backed Receivables LLC Trust, Series 2007-BR5, Class A2A</title>
        <cusip>81379EAA0</cusip>
        <identifiers>
          <isin value="US81379EAA01"/>
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        <balance>50837.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39405.80000000</valUSD>
        <pctVal>0.013423779429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.92200000</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>Dominion Energy Gas Holdings LLC</name>
        <lei>549300BFOD6TDMVV4O24</lei>
        <title>Dominion Energy Gas Holdings LLC, Series A</title>
        <cusip>257375AM7</cusip>
        <identifiers>
          <isin value="US257375AM72"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>802778.32000000</valUSD>
        <pctVal>0.273470379959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49363000</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>Bear Stearns Structured Products, Inc. Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns Structured Products, Inc. Trust, Series 2007-R6, Class 2A1</title>
        <cusip>07402FAC9</cusip>
        <identifiers>
          <isin value="US07402FAC95"/>
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        <balance>44183.97000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37944.42000000</valUSD>
        <pctVal>0.012925953150</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.64915100</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>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2016-H17, Class FC</title>
        <cusip>38376RXT8</cusip>
        <identifiers>
          <isin value="US38376RXT84"/>
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        <balance>687226.94000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>692152.50000000</valUSD>
        <pctVal>0.235785150705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.60425100</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>U.S. Treasury 5 Year Note</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="FVH0COM"/>
          <other otherDesc="Future Ticker" value="FVH0 Comdty"/>
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        <balance>425.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-145172.51000000</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>
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            <counterparties>
              <counterpartyName>CME Clearing House</counterpartyName>
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            <payOffProf>Long</payOffProf>
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              <otherRefInst>
                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury 5 Year Note</issueTitle>
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            </descRefInstrmnt>
            <expDate>2020-03-31</expDate>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>HSBC SECURITIES,INC.</name>
        <lei>CYYGQCGNHMHPSMRL3R97</lei>
        <title>Treasury Repurchase Agreement</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Custodian Internal ID" value="191231012"/>
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        <balance>100239.73000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100239.73000000</valUSD>
        <pctVal>0.034147156652</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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            <repurchaseCollateral>
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        <securityLending>
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      <invstOrSec>
        <name>State of Qatar</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>State of Qatar</title>
        <cusip>74727PAW1</cusip>
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          <isin value="US74727PAW14"/>
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        <balance>800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>844000.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.87500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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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 30 Year Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="F4F64F6"/>
          <other otherDesc="Option Ticker" value="USH0C 197.0 Comdty"/>
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        <balance>16.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</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>
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            <putOrCall>Call</putOrCall>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
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          <isin value="US17315MAK18"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NiSource, Inc.</name>
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          <isin value="US65473QBH56"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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          <other otherDesc="Inhouse Asset ID" value="010711AHS"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>ICE Clear US</counterpartyName>
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                <issuerName>General Electric Co.</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>Morgan Stanley</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
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          <isin value="US6174468J17"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
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          <isin value="US1266713Z76"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Seven &amp; i Holdings Co. Ltd.</name>
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        <title>Seven &amp; i Holdings Co. Ltd.</title>
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          <isin value="US81783HAA32"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-09-17</maturityDt>
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      <invstOrSec>
        <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>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>513857.10000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>DE</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Bear Stearns Structured Products, Inc. Trust</name>
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        <cusip>07402FAA3</cusip>
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          <isin value="US07402FAA30"/>
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        <balance>53449.75000000</balance>
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        <curCd>USD</curCd>
        <valUSD>47679.18000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA</title>
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        <balance>251314.74000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>JPMorgan Chase &amp; Co.</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Notes</title>
        <cusip>9128284V9</cusip>
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          <isin value="US9128284V99"/>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Springleaf Finance Corp.</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>Springleaf Finance Corp.</title>
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        <curCd>USD</curCd>
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        <name>N/A</name>
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        <cusip>N/A</cusip>
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        <curCd>N/A</curCd>
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        <name>Odebrecht Drilling Norbe VIII/IX Ltd.</name>
        <lei>549300YNW6BY570L6488</lei>
        <title>Odebrecht Drilling Norbe VIII/IX Ltd.</title>
        <cusip>675757AC2</cusip>
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        <balance>773.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7.35000000</annualizedRt>
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      <invstOrSec>
        <name>Credit Suisse Group Funding Guernsey Ltd.</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd.</title>
        <cusip>225433AH4</cusip>
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        <balance>600000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC, Series 3360, Class FC</title>
        <cusip>31397KE31</cusip>
        <identifiers>
          <isin value="US31397KE319"/>
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        <balance>8355.89000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8479.57000000</valUSD>
        <pctVal>0.002888607193</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.45975000</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>Morgan Stanley ABS Capital I, Inc. Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-WMC2, Class A2C</title>
        <cusip>61749KAE3</cusip>
        <identifiers>
          <isin value="US61749KAE38"/>
        </identifiers>
        <balance>299197.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153781.14000000</valUSD>
        <pctVal>0.052386301097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>1.94199800</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>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>21H030625</cusip>
        <identifiers>
          <isin value="US21H0306256"/>
        </identifiers>
        <balance>4400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4516875.00000000</valUSD>
        <pctVal>1.538695666915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-15</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHL Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust, Series 2005-HYB9, Class 3A2A</title>
        <cusip>126670JY5</cusip>
        <identifiers>
          <isin value="US126670JY52"/>
        </identifiers>
        <balance>7535.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6627.14000000</valUSD>
        <pctVal>0.002257567810</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.71138000</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>Fremont Home Loan Trust</name>
        <lei>N/A</lei>
        <title>Fremont Home Loan Trust, Series 2006-E, Class 2A1</title>
        <cusip>35729NAB1</cusip>
        <identifiers>
          <isin value="US35729NAB10"/>
        </identifiers>
        <balance>2665.37000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1506.37000000</valUSD>
        <pctVal>0.000513152343</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>1.85199800</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 2005-32T1, Class A3</title>
        <cusip>12667GC84</cusip>
        <identifiers>
          <isin value="US12667GC849"/>
        </identifiers>
        <balance>130009.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80062.75000000</valUSD>
        <pctVal>0.027273769255</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>Floating</couponKind>
          <annualizedRt>2.79200200</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>Landmark Mortgage Securities No. 3 plc</name>
        <lei>213800S8KWEEVI3XTK68</lei>
        <title>Landmark Mortgage Securities No. 3 plc, Series 3, Class A</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1110731806"/>
        </identifiers>
        <balance>757561.92000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>944971.43000000</valUSD>
        <pctVal>0.321909161688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07312900</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>SLM Student Loan Trust</name>
        <lei>5493000NQN5E3MSIIG77</lei>
        <title>SLM Student Loan Trust, Series 2003-10A, Class A3</title>
        <cusip>78442GJG2</cusip>
        <identifiers>
          <isin value="US78442GJG29"/>
        </identifiers>
        <balance>323610.01000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>323760.97000000</valUSD>
        <pctVal>0.110290765552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.36363000</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>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2002-11, Class 1A1</title>
        <cusip>07384MSH6</cusip>
        <identifiers>
          <isin value="US07384MSH69"/>
        </identifiers>
        <balance>225.81000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>230.76000000</valUSD>
        <pctVal>0.000078609528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.54386200</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>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Bonds</title>
        <cusip>912810SH2</cusip>
        <identifiers>
          <isin value="US912810SH23"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>994719.42000000</valUSD>
        <pctVal>0.338856058967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.87500000</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>Warwick Finance Residential Mortgages Number Three plc</name>
        <lei>213800JVKL1PIG7KRI38</lei>
        <title>Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class B</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1697693627"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>133592.53000000</valUSD>
        <pctVal>0.045508951884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.29963100</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>UMBS</title>
        <cusip>31418C3D4</cusip>
        <identifiers>
          <isin value="US31418C3D48"/>
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        <balance>78957.70000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82299.13000000</valUSD>
        <pctVal>0.028035603093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Cantor Fitzgerald LP</name>
        <lei>549300RLUEEVQEMX0450</lei>
        <title>Cantor Fitzgerald LP</title>
        <cusip>138616AC1</cusip>
        <identifiers>
          <isin value="US138616AC18"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>324317.43000000</valUSD>
        <pctVal>0.110480326386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FFMLT Trust</name>
        <lei>N/A</lei>
        <title>FFMLT Trust, Series 2005-FF8, Class M1</title>
        <cusip>362341QR3</cusip>
        <identifiers>
          <isin value="US362341QR37"/>
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        <balance>16096.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16067.67000000</valUSD>
        <pctVal>0.005473530750</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>2.52699800</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>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust, Series 2005-14, Class 4A1A</title>
        <cusip>41161PWV1</cusip>
        <identifiers>
          <isin value="US41161PWV11"/>
        </identifiers>
        <balance>101140.23200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74120.64000000</valUSD>
        <pctVal>0.025249560281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-19</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.80757600</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>Essex Portfolio LP</name>
        <lei>5493003GN3O58H286O74</lei>
        <title>Essex Portfolio LP</title>
        <cusip>29717PAU1</cusip>
        <identifiers>
          <isin value="US29717PAU12"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>704828.11000000</valUSD>
        <pctVal>0.240103159546</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>Mylan, Inc.</name>
        <lei>30ZMPDNA1RHIBH89C294</lei>
        <title>Mylan, Inc.</title>
        <cusip>628530AV9</cusip>
        <identifiers>
          <isin value="US628530AV91"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>711636.59000000</valUSD>
        <pctVal>0.242422501718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.12500000</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>Imperial Brands Finance plc</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>Imperial Brands Finance plc</title>
        <cusip>45262BAC7</cusip>
        <identifiers>
          <isin value="US45262BAC72"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>804988.56000000</valUSD>
        <pctVal>0.274223309077</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.87500000</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>Warwick Finance Residential Mortgages Number Three plc</name>
        <lei>213800JVKL1PIG7KRI38</lei>
        <title>Warwick Finance Residential Mortgages Number Three plc, Series 3A, Class A</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1697686928"/>
        </identifiers>
        <balance>838620.20000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>1114627.58000000</valUSD>
        <pctVal>0.379703362960</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.59963100</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>RALI Trust</name>
        <lei>N/A</lei>
        <title>RALI Trust, Series 2006-QS13, Class 1A10</title>
        <cusip>75115DAK1</cusip>
        <identifiers>
          <isin value="US75115DAK19"/>
        </identifiers>
        <balance>22827.79480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20413.57000000</valUSD>
        <pctVal>0.006953982942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</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>FNMA or FHLMC</name>
        <lei>N/A</lei>
        <title>UMBS, 30 Year, Single Family</title>
        <cusip>01F040636</cusip>
        <identifiers>
          <isin value="US01F0406367"/>
        </identifiers>
        <balance>5000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5202929.50000000</valUSD>
        <pctVal>1.772403503953</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-25</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>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2006-A3, Class 6A1</title>
        <cusip>46628KAT7</cusip>
        <identifiers>
          <isin value="US46628KAT79"/>
        </identifiers>
        <balance>70127.36000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70553.53000000</valUSD>
        <pctVal>0.024034406729</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.16090200</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 ABS Capital I, Inc. Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley ABS Capital I, Inc. Trust, Series 2006-HE5, Class A2D</title>
        <cusip>61749NAE7</cusip>
        <identifiers>
          <isin value="US61749NAE76"/>
        </identifiers>
        <balance>578661.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>353809.96000000</valUSD>
        <pctVal>0.120527101671</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>2.04199900</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="RXH05700P"/>
        </identifiers>
        <balance>28.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>314.07000000</valUSD>
        <pctVal>0.000106989488</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>Purchased</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>157</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-15.79</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>US Bank NA</name>
        <lei>6BYL5QZYBDK8S7L73M02</lei>
        <title>US Bank NA</title>
        <cusip>90331HNP4</cusip>
        <identifiers>
          <isin value="US90331HNP46"/>
        </identifiers>
        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>810617.20000000</valUSD>
        <pctVal>0.276140732955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.15000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC Structured Pass-Through Certificates, Series T-63, Class 1A1</title>
        <cusip>31395M2F5</cusip>
        <identifiers>
          <isin value="US31395M2F53"/>
        </identifiers>
        <balance>6176.25000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6249.58000000</valUSD>
        <pctVal>0.002128950140</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.37792300</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>SoFi Professional Loan Program Trust</name>
        <lei>N/A</lei>
        <title>SoFi Professional Loan Program Trust, Series 2018-B, Class A1FX</title>
        <cusip>83404RAA6</cusip>
        <identifiers>
          <isin value="US83404RAA68"/>
        </identifiers>
        <balance>288626.51000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>289157.29000000</valUSD>
        <pctVal>0.098502851900</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.64000000</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>RAMP Trust</name>
        <lei>N/A</lei>
        <title>RAMP Trust, Series 2005-RS4, Class M5</title>
        <cusip>76112BPF1</cusip>
        <identifiers>
          <isin value="US76112BPF12"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>297214.56000000</valUSD>
        <pctVal>0.101247600523</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.47200100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS Group AG</name>
        <lei>549300SZJ9VS8SGXAN81</lei>
        <title>UBS Group AG</title>
        <cusip>90351DAD9</cusip>
        <identifiers>
          <isin value="US90351DAD93"/>
        </identifiers>
        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>910593.00000000</valUSD>
        <pctVal>0.310197980555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>Mitsubishi UFJ Financial Group, Inc.</name>
        <lei>353800V2V8PUY9TK3E06</lei>
        <title>Mitsubishi UFJ Financial Group, Inc.</title>
        <cusip>606822AS3</cusip>
        <identifiers>
          <isin value="US606822AS32"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>698983.74000000</valUSD>
        <pctVal>0.238112246184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-02</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.64687800</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>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2016-H02, Class FH</title>
        <cusip>38376RPV2</cusip>
        <identifiers>
          <isin value="US38376RPV23"/>
        </identifiers>
        <balance>153972.08000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>156064.64000000</valUSD>
        <pctVal>0.053164186595</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.77425000</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>UMBS</title>
        <cusip>3140J6GR2</cusip>
        <identifiers>
          <isin value="US3140J6GR20"/>
        </identifiers>
        <balance>351825.07000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>367703.53000000</valUSD>
        <pctVal>0.125260014572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Japan International Cooperation Agency</name>
        <lei>254900XEIG78M2AJB031</lei>
        <title>Japan International Cooperation Agency</title>
        <cusip>47109LAB0</cusip>
        <identifiers>
          <isin value="US47109LAB09"/>
        </identifiers>
        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>616891.98000000</valUSD>
        <pctVal>0.210147284700</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-27</maturityDt>
          <couponKind>Fixed</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>FNMA or FHLMC</name>
        <lei>N/A</lei>
        <title>UMBS, 15 Year, Single Family</title>
        <cusip>01F030421</cusip>
        <identifiers>
          <isin value="US01F0304216"/>
        </identifiers>
        <balance>2000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2048750.00000000</valUSD>
        <pctVal>0.697916756074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</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>Banque Federative du Credit Mutuel SA</name>
        <lei>VBHFXSYT7OG62HNT8T76</lei>
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        <name>Duke Energy Ohio, Inc.</name>
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        <name>BCAP LLC Trust</name>
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        <name>FNMA</name>
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        <name>Credit Suisse Group AG</name>
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        <name>Daimler Finance North America LLC</name>
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        <name>Ford Motor Credit Co. LLC</name>
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        <name>CITIGROUP GLOBAL MARKETS LTD</name>
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        <title>Treasury Repurchase Agreement</title>
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        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
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        <name>United Airlines Pass-Through Trust</name>
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        <name>National Australia Bank Ltd.</name>
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        <name>Bear Stearns ARM Trust</name>
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        <name>Deutsche Bank AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <invCountry>DE</invCountry>
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        <name>Broadcom Corp.</name>
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        <name>OneMain Direct Auto Receivables Trust</name>
        <lei>N/A</lei>
        <title>OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A</title>
        <cusip>68268XAA9</cusip>
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        <name>Lehman XS Trust</name>
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      <invstOrSec>
        <name>LoanCore Issuer Ltd.</name>
        <lei>N/A</lei>
        <title>LoanCore Issuer Ltd., Series 2018-CRE1, Class A</title>
        <cusip>53946MAA5</cusip>
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        <balance>700000.00000000</balance>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>American Express Co.</name>
        <lei>R4PP93JZOLY261QX3811</lei>
        <title>American Express Co.</title>
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          <isin value="US025816BU20"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3 Month Euro Euribor</title>
        <cusip>N/A</cusip>
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          <isin value="GB00H1QMN124"/>
          <other otherDesc="Future Ticker" value="ERZ0 Comdty"/>
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        <balance>-28.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>24017.42000000</valUSD>
        <pctVal>0.008181652156</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ICE Clear Europe</counterpartyName>
              <counterpartyLei>5R6J7JCQRIPQR1EEP713</counterpartyLei>
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            <payOffProf>Short</payOffProf>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>3 Month Euro Euribor</issueTitle>
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                  <other otherDesc="Inhouse Asset ID" value="A59699263"/>
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            <expDate>2020-12-14</expDate>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Petrobras Global Finance BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>Petrobras Global Finance BV</title>
        <cusip>71647NAR0</cusip>
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          <isin value="US71647NAR08"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214125.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.12500000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>LMREC, Inc.</name>
        <lei>549300T41K45UWKNUA20</lei>
        <title>LMREC, Inc., Series 2015-CRE1, Class AR</title>
        <cusip>50208XAJ1</cusip>
        <identifiers>
          <isin value="US50208XAJ19"/>
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        <balance>111264.57000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111103.80000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75987900</annualizedRt>
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      <invstOrSec>
        <name>Ameriquest Mortgage Securities, Inc., Asset-Backed Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates, Series 2005-R9, Class M1</title>
        <cusip>03072SQ32</cusip>
        <identifiers>
          <isin value="US03072SQ327"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393737.80000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2003-25, Class KP</title>
        <cusip>31393APU5</cusip>
        <identifiers>
          <isin value="US31393APU50"/>
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        <balance>16650.50000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18294.97000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust, Inc.</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust, Inc., Series 2005-6, Class A2</title>
        <cusip>17307GXQ6</cusip>
        <identifiers>
          <isin value="US17307GXQ62"/>
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        <balance>202340.36000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203080.42000000</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>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.55000000</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>Venture XX CLO Ltd.</name>
        <lei>549300LQ92YS70N4PB21</lei>
        <title>Venture XX CLO Ltd., Series 2015-20A, Class AR</title>
        <cusip>92330JCC8</cusip>
        <identifiers>
          <isin value="US92330JCC80"/>
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        <balance>434444.62000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>434383.80000000</valUSD>
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        <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>2.82088100</annualizedRt>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Republic of Peru</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>Republic of Peru</title>
        <cusip>715638BX9</cusip>
        <identifiers>
          <isin value="US715638BX94"/>
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        <balance>2100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.31300000"/>
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        <pctVal>0.242553044088</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>36179UKZ4</cusip>
        <identifiers>
          <isin value="US36179UKZ48"/>
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        <balance>25433.17000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26854.25000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Inflation Linked Notes</title>
        <cusip>912828XL9</cusip>
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          <isin value="US912828XL95"/>
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        <balance>1300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1439043.06000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.37500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Citigroup, Inc.</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup, Inc.</title>
        <cusip>172967MA6</cusip>
        <identifiers>
          <isin value="US172967MA69"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>706912.71000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.92988200</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Park Aerospace Holdings Ltd.</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>Park Aerospace Holdings Ltd.</title>
        <cusip>70014LAA8</cusip>
        <identifiers>
          <isin value="US70014LAA89"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>639354.00000000</valUSD>
        <pctVal>0.217799082202</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Choice Hotels International, Inc.</name>
        <lei>5493003CYRY5RFGTIR97</lei>
        <title>Choice Hotels International, Inc.</title>
        <cusip>169905AF3</cusip>
        <identifiers>
          <isin value="US169905AF36"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>702721.04000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.70000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ARM Trust, Series 2004-10, Class 22A1</title>
        <cusip>07384M4J8</cusip>
        <identifiers>
          <isin value="US07384M4J85"/>
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        <balance>9265.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9395.13000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Bank of America Corp.</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp.</title>
        <cusip>06051GFB0</cusip>
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        <valUSD>214981.22000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.12500000</annualizedRt>
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      <invstOrSec>
        <name>Huntsman International LLC</name>
        <lei>3YTEJFW18LGIUQ2N5J61</lei>
        <title>Huntsman International LLC</title>
        <cusip>44701QBD3</cusip>
        <identifiers>
          <isin value="US44701QBD34"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>640832.40000000</valUSD>
        <pctVal>0.218302706428</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.12500000</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 Bank of America Merrill Lynch Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust, Series 2015-C27, Class ASB</title>
        <cusip>61690AAB0</cusip>
        <identifiers>
          <isin value="US61690AAB08"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>311434.62000000</valUSD>
        <pctVal>0.106091733847</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.55700000</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>01F030629</cusip>
        <identifiers>
          <isin value="US01F0306294"/>
        </identifiers>
        <balance>19600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19869500.00000000</valUSD>
        <pctVal>6.768642823585</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>3.00000000</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>Bear Stearns Asset-Backed Securities I Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns Asset-Backed Securities I Trust, Series 2006-HE7, Class 2A2</title>
        <cusip>07388HAP4</cusip>
        <identifiers>
          <isin value="US07388HAP47"/>
        </identifiers>
        <balance>36001.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43615.10000000</valUSD>
        <pctVal>0.014857698161</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>1.95199900</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>Lloyds Bank plc</name>
        <lei>H7FNTJ4851HG0EXQ1Z70</lei>
        <title>Lloyds Bank plc</title>
        <cusip>53944VAP4</cusip>
        <identifiers>
          <isin value="US53944VAP40"/>
        </identifiers>
        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>711309.69000000</valUSD>
        <pctVal>0.242311141627</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.30000000</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 2007-42, Class AF</title>
        <cusip>31396VN53</cusip>
        <identifiers>
          <isin value="US31396VN533"/>
        </identifiers>
        <balance>1338.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1327.38000000</valUSD>
        <pctVal>0.000452178520</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</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>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust, Series 2005-11, Class A2A</title>
        <cusip>17307GW79</cusip>
        <identifiers>
          <isin value="US17307GW795"/>
        </identifiers>
        <balance>4882.13000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5027.50000000</valUSD>
        <pctVal>0.001712642582</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>4.38000100</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>Reckitt Benckiser Treasury Services plc</name>
        <lei>213800LAXWIUOOBZ3908</lei>
        <title>Reckitt Benckiser Treasury Services plc</title>
        <cusip>75625QAC3</cusip>
        <identifiers>
          <isin value="US75625QAC33"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201303.06000000</valUSD>
        <pctVal>0.068574876692</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-24</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>EMC Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>EMC Mortgage Loan Trust, Series 2001-A, Class A</title>
        <cusip>268668AA8</cusip>
        <identifiers>
          <isin value="US268668AA87"/>
        </identifiers>
        <balance>4556.72000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4436.42000000</valUSD>
        <pctVal>0.001511288275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.53199900</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 2006-2, Class 3A2</title>
        <cusip>02660YAU6</cusip>
        <identifiers>
          <isin value="US02660YAU64"/>
        </identifiers>
        <balance>498134.60000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165164.25000000</valUSD>
        <pctVal>0.056264013461</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.70000000</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="28402"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-2372.75000000</valUSD>
        <pctVal>-0.00080828894</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>128000.00000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>141585.52000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-2372.75</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Aircastle Ltd.</name>
        <lei>549300PNK8AKY3OIKP58</lei>
        <title>Aircastle Ltd.</title>
        <cusip>00928QAM3</cusip>
        <identifiers>
          <isin value="US00928QAM33"/>
        </identifiers>
        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>826589.60000000</valUSD>
        <pctVal>0.281581809511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.12500000</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>AT&amp;T, Inc.</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T, Inc.</title>
        <cusip>00206RCN0</cusip>
        <identifiers>
          <isin value="US00206RCN08"/>
        </identifiers>
        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>523327.85000000</valUSD>
        <pctVal>0.178274203995</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.40000000</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, Inc.</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup, Inc.</title>
        <cusip>172967LG4</cusip>
        <identifiers>
          <isin value="US172967LG49"/>
        </identifiers>
        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>406572.64000000</valUSD>
        <pctVal>0.138500967915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75000000</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>GSAA Trust</name>
        <lei>N/A</lei>
        <title>GSAA Trust, Series 2006-7, Class AF2</title>
        <cusip>362334NB6</cusip>
        <identifiers>
          <isin value="US362334NB60"/>
        </identifiers>
        <balance>352278.46000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214433.10000000</valUSD>
        <pctVal>0.073047689345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.99494000</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>General Motors Financial Co., Inc.</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co., Inc.</title>
        <cusip>37045XCB0</cusip>
        <identifiers>
          <isin value="US37045XCB01"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>300324.54000000</valUSD>
        <pctVal>0.102307030494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.45000000</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>MASTR Asset-Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>MASTR Asset-Backed Securities Trust, Series 2006-FRE2, Class A5</title>
        <cusip>57643GAE7</cusip>
        <identifiers>
          <isin value="US57643GAE70"/>
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        <balance>225627.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166217.19000000</valUSD>
        <pctVal>0.056622702647</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</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>Verizon Communications, Inc.</name>
        <lei>2S72QS2UO2OESLG6Y829</lei>
        <title>Verizon Communications, Inc.</title>
        <cusip>92343VEN0</cusip>
        <identifiers>
          <isin value="US92343VEN01"/>
        </identifiers>
        <balance>1200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1268565.24000000</valUSD>
        <pctVal>0.432142983365</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37600000</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>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC, Series 2248, Class FB</title>
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        <name>Kingdom of Spain</name>
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      <invstOrSec>
        <name>Aviation Capital Group LLC</name>
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        <name>Barclays plc</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays plc</title>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Bear Stearns ARM Trust</name>
        <lei>N/A</lei>
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          <isin value="US07384MQ705"/>
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          <couponKind>Variable</couponKind>
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        <name>Sprint Spectrum Co. LLC</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <name>VEREIT Operating Partnership LP</name>
        <lei>5493005TQOUJE1LCS698</lei>
        <title>VEREIT Operating Partnership LP</title>
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      <invstOrSec>
        <name>Barclays plc</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays plc</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Voya CLO Ltd.</name>
        <lei>5493000X4YEVJOIVRG48</lei>
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        <cusip>92912QAG1</cusip>
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        <curCd>USD</curCd>
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        <invCountry>KY</invCountry>
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        <debtSec>
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        <name>Philip Morris International, Inc.</name>
        <lei>HL3H1H2BGXWVG3BSWR90</lei>
        <title>Philip Morris International, Inc.</title>
        <cusip>718172CA5</cusip>
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        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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        <name>SLM Student Loan Trust</name>
        <lei>5493001M3I3E3XROS356</lei>
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        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
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        <name>Goldman Sachs Group, Inc. (The)</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>Saudi Arabian Oil Co.</name>
        <lei>5586006WD91QHB7J4X50</lei>
        <title>Saudi Arabian Oil Co.</title>
        <cusip>80414L2A2</cusip>
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        <invCountry>SA</invCountry>
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        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
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        <cusip>17307GZ50</cusip>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.41200000</annualizedRt>
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        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2017-H10, Class FB</title>
        <cusip>38375UZZ6</cusip>
        <identifiers>
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        <balance>541345.78000000</balance>
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        <valUSD>548116.88000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>Cooperatieve Rabobank UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>Cooperatieve Rabobank UA</title>
        <cusip>N/A</cusip>
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        <balance>500000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2016-H06, Class FJ</title>
        <cusip>38376RSM9</cusip>
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        <balance>128664.86000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Sabine Pass Liquefaction LLC</name>
        <lei>549300KJYBG7C6WJYZ11</lei>
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          <isin value="US785592AE61"/>
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        <curCd>USD</curCd>
        <valUSD>102956.80000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-02-01</maturityDt>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust, Inc.</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4</title>
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          <isin value="US17307GRE07"/>
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        <valUSD>16967.09000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2035-05-25</maturityDt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Mizuho Financial Group, Inc.</name>
        <lei>353800CI5L6DDAN5XZ33</lei>
        <title>Mizuho Financial Group, Inc.</title>
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          <isin value="US60687YAP43"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.54900000</annualizedRt>
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      <invstOrSec>
        <name>RASC Trust</name>
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          <isin value="US75406AAD19"/>
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        <balance>300000.00000000</balance>
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        <assetCat>ABS-O</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-02-25</maturityDt>
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      <invstOrSec>
        <name>Option One Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Option One Mortgage Loan Trust, Series 2007-CP1, Class 1A1</title>
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          <isin value="US68402YAA47"/>
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        <balance>256622.90000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>21H032621</cusip>
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          <isin value="US21H0326213"/>
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        <balance>9600000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9899250.24000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Great Hall Mortgages No. 1 plc</name>
        <lei>213800TM9KICQKGTYR78</lei>
        <title>Great Hall Mortgages No. 1 plc, Series 2007-2A, Class AC</title>
        <cusip>39052PAA7</cusip>
        <identifiers>
          <isin value="US39052PAA75"/>
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        <balance>133396.45000000</balance>
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        <curCd>USD</curCd>
        <valUSD>129877.99000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.02849900</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Province of Quebec Canada</name>
        <lei>549300WN65YFEQH74Y36</lei>
        <title>Province of Quebec</title>
        <cusip>748148RU9</cusip>
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          <isin value="US748148RU93"/>
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        <balance>100000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Schatz</title>
        <cusip>N/A</cusip>
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          <isin value="DE000C3ZZTM9"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Short</payOffProf>
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                <issuerName>Federal Republic of Germany</issuerName>
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        <name>N/A</name>
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        <title>Forward Foreign Currency Contract</title>
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          <other otherDesc="Inhouse Asset ID" value="28141"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank</counterpartyName>
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      <invstOrSec>
        <name>Sprint Spectrum Co. LLC</name>
        <lei>N/A</lei>
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        <cusip>85208NAD2</cusip>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Goldman Sachs Group, Inc. (The)</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group, Inc. (The)</title>
        <cusip>38148LAE6</cusip>
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        <balance>700000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>UMBS</title>
        <cusip>31402C4G4</cusip>
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          <isin value="US31402C4G48"/>
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        <balance>92065.71000000</balance>
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        <curCd>USD</curCd>
        <valUSD>102754.56000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2034-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
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      <invstOrSec>
        <name>RBSSP Resecuritization Trust</name>
        <lei>N/A</lei>
        <title>RBSSP Resecuritization Trust, Series 2009-12, Class 18A1</title>
        <cusip>74928UBY2</cusip>
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          <isin value="US74928UBY29"/>
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        <balance>293409.54000000</balance>
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        <curCd>USD</curCd>
        <valUSD>294989.67000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2035-12-25</maturityDt>
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      <invstOrSec>
        <name>Bank of America Corp.</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp.</title>
        <cusip>06051GGU7</cusip>
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        <balance>600000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.74862900</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Bear Stearns Asset-Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns Asset-Backed Securities Trust, Series 2005-HE2, Class M2</title>
        <cusip>073879RA8</cusip>
        <identifiers>
          <isin value="US073879RA87"/>
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        <balance>249090.41000000</balance>
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        <curCd>USD</curCd>
        <valUSD>248631.46000000</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>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.91700100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Mortgage Acquisition Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Acquisition Trust, Series 2007-CH3, Class A5</title>
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          <isin value="US46630XAF50"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97120.52000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.05200000</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>Microchip Technology, Inc.</name>
        <lei>5493007PTFULNYZJ1R12</lei>
        <title>Microchip Technology, Inc.</title>
        <cusip>595017AN4</cusip>
        <identifiers>
          <isin value="US595017AN45"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>204425.16000000</valUSD>
        <pctVal>0.069638435400</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.92200000</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>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2016-H17, Class FM</title>
        <cusip>38376RXJ0</cusip>
        <identifiers>
          <isin value="US38376RXJ03"/>
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        <balance>18637.51000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18623.11000000</valUSD>
        <pctVal>0.006344053944</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.22424900</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>Skandinaviska Enskilda Banken AB</name>
        <lei>F3JS33DEI6XQ4ZBPTN86</lei>
        <title>Skandinaviska Enskilda Banken AB</title>
        <cusip>83051GAJ7</cusip>
        <identifiers>
          <isin value="US83051GAJ76"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>710745.14000000</valUSD>
        <pctVal>0.242118824895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25000000</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>WaMu Asset-Backed Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Asset-Backed Certificates Trust, Series 2007-HE2, Class 2A3</title>
        <cusip>92926SAD8</cusip>
        <identifiers>
          <isin value="US92926SAD80"/>
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        <balance>260398.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>132707.21000000</valUSD>
        <pctVal>0.045207363275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</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>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust, Series 2005-4, Class 3A1</title>
        <cusip>41161PMX8</cusip>
        <identifiers>
          <isin value="US41161PMX86"/>
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        <balance>41159.26000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38621.95000000</valUSD>
        <pctVal>0.013156757074</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>Variable</couponKind>
          <annualizedRt>4.34333900</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>WaMu Mortgage Pass-Through Certificates Trust</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Trust, Series 2007-HY5, Class 2A1</title>
        <cusip>92990GAC7</cusip>
        <identifiers>
          <isin value="US92990GAC78"/>
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        <balance>129539.50000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109216.55000000</valUSD>
        <pctVal>0.037205154501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.44442200</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>AT&amp;T, Inc.</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T, Inc.</title>
        <cusip>00206RFZ0</cusip>
        <identifiers>
          <isin value="US00206RFZ01"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>804447.60000000</valUSD>
        <pctVal>0.274039028394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.65687900</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>Chase Issuance Trust</name>
        <lei>5493008SHVCX2Y068L12</lei>
        <title>Chase Issuance Trust, Series 2017-A1, Class A</title>
        <cusip>161571HJ6</cusip>
        <identifiers>
          <isin value="US161571HJ68"/>
        </identifiers>
        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>600070.20000000</valUSD>
        <pctVal>0.204416862672</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03974900</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>Bank of Nova Scotia (The)</name>
        <lei>L3I9ZG2KFGXZ61BMYR72</lei>
        <title>Bank of Nova Scotia (The)</title>
        <cusip>06416CAC2</cusip>
        <identifiers>
          <isin value="US06416CAC29"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899652.06000000</valUSD>
        <pctVal>0.306470895575</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.87500000</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>Ford Motor Credit Co. LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>Ford Motor Credit Co. LLC</title>
        <cusip>345397ZG1</cusip>
        <identifiers>
          <isin value="US345397ZG11"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>396500.00000000</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>2021-10-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88087800</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>Service Properties Trust</name>
        <lei>529900IS770AG1K9QG27</lei>
        <title>Service Properties Trust</title>
        <cusip>44106MAU6</cusip>
        <identifiers>
          <isin value="US44106MAU62"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302811.99000000</valUSD>
        <pctVal>0.103154392561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="000678AHS"/>
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        <balance>462700000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
        <valUSD>-55516.35000000</valUSD>
        <pctVal>-0.01891191746</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>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="LIBOR" floatingRtSpread="0" pmntAmt="0">
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            <curCd>JPY</curCd>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Public Storage</name>
        <lei>549300LMZF40TKJ6DM64</lei>
        <title>Public Storage</title>
        <cusip>74460DAC3</cusip>
        <identifiers>
          <isin value="US74460DAC39"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>519185.50000000</valUSD>
        <pctVal>0.176863092110</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.09400000</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="010657AHS"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2112.28000000</valUSD>
        <pctVal>0.000719558562</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>General Electric Co.</issuerName>
                <issueTitle>General Electric Co.</issueTitle>
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                  <cusip value="369604BD4"/>
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            <swapFlag>Y</swapFlag>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>1081.29</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>2112.28</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Physicians Realty LP</name>
        <lei>549300P6Q1UMT0X60U20</lei>
        <title>Physicians Realty LP</title>
        <cusip>71951QAA0</cusip>
        <identifiers>
          <isin value="US71951QAA04"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106298.60000000</valUSD>
        <pctVal>0.036211140494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.30000000</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>Santander UK Group Holdings plc</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>Santander UK Group Holdings plc</title>
        <cusip>80281LAE5</cusip>
        <identifiers>
          <isin value="US80281LAE56"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>302946.48000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-08-05</maturityDt>
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          <annualizedRt>2.87500000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Volkswagen Bank GmbH</name>
        <lei>529900GJD3OQLRZCKW37</lei>
        <title>Volkswagen Bank GmbH</title>
        <cusip>N/A</cusip>
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          <isin value="XS1944390597"/>
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        <balance>600000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2026-07-31</maturityDt>
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          <annualizedRt>2.50000000</annualizedRt>
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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="28930"/>
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        <curCd>N/A</curCd>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank</counterpartyName>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>21H040616</cusip>
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          <isin value="US21H0406163"/>
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        <balance>21800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>22566405.16000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Ally Financial, Inc.</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>Ally Financial, Inc.</title>
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          <isin value="US02005NAZ33"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>100375.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.12500000</annualizedRt>
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      <invstOrSec>
        <name>Goodman US Finance Three LLC</name>
        <lei>N/A</lei>
        <title>Goodman US Finance Three LLC</title>
        <cusip>38239JAA9</cusip>
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          <isin value="US38239JAA97"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>511753.50000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.70000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>HSBC Holdings plc</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings plc</title>
        <cusip>404280AX7</cusip>
        <identifiers>
          <isin value="US404280AX71"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>511415.40000000</valUSD>
        <pctVal>0.174216169359</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-08</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.12499900</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>Teva Pharmaceutical Finance Netherlands II BV</name>
        <lei>549300HSQCIKJAOYIT23</lei>
        <title>Teva Pharmaceutical Finance Netherlands II BV</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1813724603"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>558045.75000000</valUSD>
        <pctVal>0.190101027251</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Soundview Home Loan Trust</name>
        <lei>N/A</lei>
        <title>Soundview Home Loan Trust, Series 2007-WMC1, Class 3A1</title>
        <cusip>83612NAC9</cusip>
        <identifiers>
          <isin value="US83612NAC92"/>
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        <balance>84045.32000000</balance>
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        <curCd>USD</curCd>
        <valUSD>30911.48000000</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>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.90199900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2005-79, Class NF</title>
        <cusip>31394FHD0</cusip>
        <identifiers>
          <isin value="US31394FHD06"/>
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        <balance>10513.05000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10495.45000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20200100</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Bonds</title>
        <cusip>912810QU5</cusip>
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          <isin value="US912810QU51"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>568112.20000000</valUSD>
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        <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>3.12500000</annualizedRt>
          <isDefault>N</isDefault>
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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="27119"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-40613.08000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC Bank</counterpartyName>
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      <invstOrSec>
        <name>Ally Master Owner Trust</name>
        <lei>N/A</lei>
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        <cusip>02005AGZ5</cusip>
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          <isin value="US02005AGZ57"/>
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        <balance>800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>800158.80000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.05975100</annualizedRt>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2015-H19, Class FK</title>
        <cusip>38376RGB6</cusip>
        <identifiers>
          <isin value="US38376RGB69"/>
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        <balance>428729.25000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>428094.04000000</valUSD>
        <pctVal>0.145832338592</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.37425000</annualizedRt>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2006-5, Class 3A2</title>
        <cusip>31394VL73</cusip>
        <identifiers>
          <isin value="US31394VL730"/>
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        <balance>5524.67000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5806.66000000</valUSD>
        <pctVal>0.001978067265</pctVal>
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        <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>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2007-73, Class A1</title>
        <cusip>31396V4Q8</cusip>
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          <isin value="US31396V4Q81"/>
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        <balance>20438.22000000</balance>
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        <curCd>USD</curCd>
        <valUSD>20090.30000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.71096800</annualizedRt>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-2, Class M1</title>
        <cusip>126670UW6</cusip>
        <identifiers>
          <isin value="US126670UW67"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>296266.11000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.19200000</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>General Motors Financial Co., Inc.</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co., Inc.</title>
        <cusip>37045XBU9</cusip>
        <identifiers>
          <isin value="US37045XBU90"/>
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        <balance>900000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bobl</title>
        <cusip>N/A</cusip>
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          <isin value="DE000C3ZZTL1"/>
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        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Eurex Clearing</counterpartyName>
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            <payOffProf>Short</payOffProf>
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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="29338"/>
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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>Citibank</counterpartyName>
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      <invstOrSec>
        <name>Service Properties Trust</name>
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          <isin value="US44106MAW29"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>MortgageIT Trust</name>
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          <isin value="US61915RAV87"/>
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        <balance>86456.75000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Bank of America Corp.</name>
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        <title>Bank of America Corp.</title>
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          <isin value="US06051GHE26"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.68150000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Long Gilt</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="GB00H7MXJN56"/>
          <other otherDesc="Future Ticker" value="G H0 Comdty"/>
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        <balance>-101.00000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="Future" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>ICE Clear Europe</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>United Kingdom of Great Britain and Northern Ireland</issuerName>
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                  <isin value="GB00B16NNR78"/>
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            <expDate>2020-03-27</expDate>
            <notionalAmt>-13269380</notionalAmt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>BOC Aviation Ltd.</name>
        <lei>254900H06V5RMEB3KE72</lei>
        <title>BOC Aviation Ltd.</title>
        <cusip>09681LAJ9</cusip>
        <identifiers>
          <isin value="US09681LAJ98"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>719728.03000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-10-10</maturityDt>
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          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>Volkswagen Group of America Finance LLC</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>Volkswagen Group of America Finance LLC</title>
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          <isin value="US928668BB76"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <annualizedRt>3.20000000</annualizedRt>
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      <invstOrSec>
        <name>Figueroa CLO Ltd.</name>
        <lei>5493001NPRHSX8R16822</lei>
        <title>Figueroa CLO Ltd., Series 2013-2A, Class A1RR</title>
        <cusip>31683VAY6</cusip>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75800000</annualizedRt>
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      <invstOrSec>
        <name>Morgan Stanley</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
        <cusip>61744YAM0</cusip>
        <identifiers>
          <isin value="US61744YAM03"/>
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        <balance>900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>900499.59000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-02-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.45063200</annualizedRt>
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      <invstOrSec>
        <name>CARDS II Trust</name>
        <lei>549300GWPYLNK6X47W76</lei>
        <title>CARDS II Trust, Series 2018-2A, Class A</title>
        <cusip>14161GBU3</cusip>
        <identifiers>
          <isin value="US14161GBU31"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>702662.31000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.04700000</annualizedRt>
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        <name>Province of Ontario Canada</name>
        <lei>C7PVKCRGLG18EBQGZV36</lei>
        <title>Province of Ontario</title>
        <cusip>6832348J0</cusip>
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          <isin value="CA6832348J04"/>
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        <balance>500000.00000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.29855000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.20000000</annualizedRt>
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      <invstOrSec>
        <name>Odebrecht Oil &amp; Gas Finance Ltd.</name>
        <lei>N/A</lei>
        <title>Odebrecht Oil &amp; Gas Finance Ltd.</title>
        <cusip>67576JAB7</cusip>
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          <isin value="US67576JAB70"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1500.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-31</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
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      <invstOrSec>
        <name>Sudbury Mill CLO Ltd.</name>
        <lei>2549002BXC788OTPUW39</lei>
        <title>Sudbury Mill CLO Ltd., Series 2013-1A, Class A1R</title>
        <cusip>864662AM3</cusip>
        <identifiers>
          <isin value="US864662AM36"/>
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        <balance>242908.05000000</balance>
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        <curCd>USD</curCd>
        <valUSD>243432.49000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-17</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>JPMorgan Chase &amp; Co.</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co.</title>
        <cusip>46647PAE6</cusip>
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          <isin value="US46647PAE60"/>
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        <balance>100000.00000000</balance>
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        <valUSD>101566.12000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.77600000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>NextEra Energy Capital Holdings, Inc.</name>
        <lei>UMI46YPGBLUE4VGNNT48</lei>
        <title>NextEra Energy Capital Holdings, Inc.</title>
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          <isin value="US65339KBF66"/>
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        <balance>800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>815039.12000000</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>2022-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust, Series 2005-12, Class 2A12</title>
        <cusip>41161PVK6</cusip>
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          <isin value="US41161PVK64"/>
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        <balance>85365.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73545.65000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.26387900</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Wells Fargo &amp; Co.</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>Wells Fargo &amp; Co., Series K</title>
        <cusip>949746PM7</cusip>
        <identifiers>
          <isin value="US949746PM79"/>
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        <balance>805000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>813050.00000000</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>2020-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.66363200</annualizedRt>
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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 2018-38, Class WF</title>
        <cusip>38380V2S9</cusip>
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          <isin value="US38380V2S96"/>
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        <balance>458819.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>456944.06000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.00850100</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC, Series 1529, Class Z</title>
        <cusip>312916LA5</cusip>
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          <isin value="US312916LA56"/>
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        <balance>3075.04000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3246.37000000</valUSD>
        <pctVal>0.001105891894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.00000000</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Niagara Mohawk Power Corp.</name>
        <lei>3T97Y9RR5EN5Y18QHB56</lei>
        <title>Niagara Mohawk Power Corp.</title>
        <cusip>65364UAL0</cusip>
        <identifiers>
          <isin value="US65364UAL08"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1009269.90000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.27800000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>UniCredit SpA</name>
        <lei>549300TRUWO2CD2G5692</lei>
        <title>UniCredit SpA</title>
        <cusip>904678AG4</cusip>
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          <isin value="US904678AG48"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1046190.15000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.83000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Bank of America Corp.</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp.</title>
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          <isin value="US06051GFF19"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214118.76000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</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>
        <name>American Tower Corp.</name>
        <lei>5493006ORUSIL88JOE18</lei>
        <title>American Tower Corp.</title>
        <cusip>03027XAT7</cusip>
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          <isin value="US03027XAT72"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>827358.40000000</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>2024-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37500000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-BTP</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="DE000C3ZZTH9"/>
          <other otherDesc="Future Ticker" value="IKH0 Comdty"/>
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        <balance>149.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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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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                  <isin value="IT0004889033"/>
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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="US9128285W63"/>
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        <balance>5300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5737351.13000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.87500000</annualizedRt>
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        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Bonds</title>
        <cusip>912810RG5</cusip>
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          <isin value="US912810RG58"/>
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        <balance>1400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1660250.90000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37500000</annualizedRt>
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      <invstOrSec>
        <name>NovaStar Mortgage Funding Trust</name>
        <lei>N/A</lei>
        <title>NovaStar Mortgage Funding Trust, Series 2006-5, Class A2D</title>
        <cusip>66988YAE2</cusip>
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          <isin value="US66988YAE23"/>
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        <balance>125763.73000000</balance>
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        <curCd>USD</curCd>
        <valUSD>54489.09000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03199800</annualizedRt>
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      <invstOrSec>
        <name>American Home Mortgage Investment Trust</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Investment Trust, Series 2004-4, Class 4A</title>
        <cusip>02660TCS0</cusip>
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          <isin value="US02660TCS06"/>
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        <balance>11361.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>11425.19000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.90687800</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>36185G6X8</cusip>
        <identifiers>
          <isin value="US36185G6X83"/>
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        <balance>122832.07000000</balance>
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        <curCd>USD</curCd>
        <valUSD>126528.85000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <name>N/A</name>
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        <title>CDS</title>
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          <other otherDesc="Inhouse Asset ID" value="010731AHS"/>
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        <balance>4100000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Barclays Capital</counterpartyName>
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        <name>NXP BV</name>
        <lei>N/A</lei>
        <title>NXP BV</title>
        <cusip>62947QAW8</cusip>
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          <isin value="US62947QAW87"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>829931.20000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.87500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <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>
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          <other otherDesc="Inhouse Asset ID" value="010663AHS"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>1150.14000000</valUSD>
        <pctVal>0.000391800843</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Rolls-Royce plc</issuerName>
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                  <isin value="XS0426014899"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1"/>
            <otherPmntDesc fixedOrFloating="Other">Payout of notional amount upon default event with regard to the reference instrument</otherPmntDesc>
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            <upfrontPmnt>589.19</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>300000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>1150.14</unrealizedAppr>
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        </derivativeInfo>
        <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="26469"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <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">
            <counterparties>
              <counterpartyName>Citibank</counterpartyName>
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            <amtCurSold>1640979.75000000</amtCurSold>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CVS Health Corp.</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS Health Corp.</title>
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        <identifiers>
          <isin value="US126650CK42"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103288.88000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CARDS II Trust</name>
        <lei>549300GWPYLNK6X47W76</lei>
        <title>CARDS II Trust, Series 2018-1A, Class A</title>
        <cusip>14161GBT6</cusip>
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          <isin value="US14161GBT67"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>700300.79000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.08975000</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>QNB Finance Ltd.</name>
        <lei>549300MY0DXTHQEX5O57</lei>
        <title>QNB Finance Ltd.</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1442084122"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>806752.00000000</valUSD>
        <pctVal>0.274824033579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-18</maturityDt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA or FHLMC</name>
        <lei>N/A</lei>
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        <cusip>01F040628</cusip>
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          <isin value="US01F0406284"/>
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        <balance>12500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13008788.75000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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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="29017"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-3581.49000000</valUSD>
        <pctVal>-0.00122005216</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>
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            <amtCurSold>349716.54000000</amtCurSold>
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            <unrealizedAppr>-3581.49</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>Dexia Credit Local SA</name>
        <lei>F4G136OIPBYND1F41110</lei>
        <title>Dexia Credit Local SA</title>
        <cusip>25214BAT1</cusip>
        <identifiers>
          <isin value="US25214BAT17"/>
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        <balance>1400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1419682.46000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Chase Commercial Mortgage Securities Trust, Series 2018-LAQ, Class A</title>
        <cusip>46649VAA9</cusip>
        <identifiers>
          <isin value="US46649VAA98"/>
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        <balance>718856.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>718404.95000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.73975100</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>N/A</name>
        <lei>N/A</lei>
        <title>IRS</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="010658AHS"/>
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        <balance>20000000.00000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
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        <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>
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            <curCd>JPY</curCd>
            <unrealizedAppr>-7864.54</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Residential Asset Securitization Trust</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust, Series 2005-A11, Class 1A1</title>
        <cusip>45660LZW2</cusip>
        <identifiers>
          <isin value="US45660LZW26"/>
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        <balance>60730.55000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49697.12000000</valUSD>
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        <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>2.24200100</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust, Series 2006-AR35, Class 2A1A</title>
        <cusip>45667SAA5</cusip>
        <identifiers>
          <isin value="US45667SAA50"/>
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        <balance>90862.71000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87926.99000000</valUSD>
        <pctVal>0.029952761260</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.96200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Enel Finance International NV</name>
        <lei>0YQH6LCEF474UTUV4B96</lei>
        <title>Enel Finance International NV</title>
        <cusip>29278GAB4</cusip>
        <identifiers>
          <isin value="US29278GAB41"/>
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        <balance>800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>811005.04000000</valUSD>
        <pctVal>0.276272852557</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.87500000</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Volkswagen Bank GmbH</name>
        <lei>529900GJD3OQLRZCKW37</lei>
        <title>Volkswagen Bank GmbH</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1944390241"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
        <valUSD>825625.32000000</valUSD>
        <pctVal>0.281253322790</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.87500000</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>OCP CLO Ltd.</name>
        <lei>254900XV0U0WEM36A370</lei>
        <title>OCP CLO Ltd., Series 2015-9A, Class A1R</title>
        <cusip>67091YAJ3</cusip>
        <identifiers>
          <isin value="US67091YAJ38"/>
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        <balance>418515.89000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>418532.21000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.80087900</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Broadcom Corp.</name>
        <lei>N/A</lei>
        <title>Broadcom Corp.</title>
        <cusip>11134LAH2</cusip>
        <identifiers>
          <isin value="US11134LAH24"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103759.07000000</valUSD>
        <pctVal>0.035346037119</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.87500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Venture XVI CLO Ltd.</name>
        <lei>549300OT41NOT6O55015</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FNMA</name>
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          <isin value="US3138ERDP26"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Capital One Financial Corp.</name>
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        <title>Capital One Financial Corp.</title>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2020-10-30</maturityDt>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-21, Class 2A4</title>
        <cusip>12667LAE2</cusip>
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          <isin value="US12667LAE20"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>280318.05000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.02200100</annualizedRt>
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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 2005-AA6, Class 3A1</title>
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          <isin value="US32051GQA66"/>
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        <balance>92937.56000000</balance>
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        <curCd>USD</curCd>
        <valUSD>84427.14000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>Province of Quebec Canada</name>
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        <title>Province of Quebec</title>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
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        <fairValLevel>2</fairValLevel>
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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="28619"/>
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        <curCd>N/A</curCd>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>HSBC Bank</counterpartyName>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-26, Class 2A3</title>
        <cusip>12668HAD2</cusip>
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          <isin value="US12668HAD26"/>
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        <curCd>USD</curCd>
        <valUSD>45863.09000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>36179UKY7</cusip>
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        <balance>1681094.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1761646.86000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC</title>
        <cusip>3128KKPB9</cusip>
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          <isin value="US3128KKPB94"/>
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        <balance>81067.90000000</balance>
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        <curCd>USD</curCd>
        <valUSD>93478.28000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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        <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="010659AHS"/>
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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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              <counterpartyName>LCH Clearnet</counterpartyName>
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        <name>Deutsche Bank AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>Deutsche Bank AG</title>
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        <balance>500000.00000000</balance>
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        <invCountry>DE</invCountry>
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        <name>Mid-America Apartments LP</name>
        <lei>549300FXWGE3QSYCUJ38</lei>
        <title>Mid-America Apartments LP</title>
        <cusip>59523UAR8</cusip>
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          <isin value="US59523UAR86"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates, Series 2006-24, Class 1A</title>
        <cusip>23243HAA9</cusip>
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          <isin value="US23243HAA95"/>
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        <balance>128712.24000000</balance>
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        <curCd>USD</curCd>
        <valUSD>113958.28000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>Aviation Capital Group LLC</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>Aviation Capital Group LLC</title>
        <cusip>05369AAD3</cusip>
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          <isin value="US05369AAD37"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>733858.51000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.12500000</annualizedRt>
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      <invstOrSec>
        <name>Expedia Group, Inc.</name>
        <lei>N/A</lei>
        <title>Expedia Group, Inc.</title>
        <cusip>30212PAQ8</cusip>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>667959.67000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Province of Ontario Canada</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-06-02</maturityDt>
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          <annualizedRt>3.15000000</annualizedRt>
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      <invstOrSec>
        <name>Keurig Dr Pepper, Inc.</name>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>3.55100000</annualizedRt>
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      <invstOrSec>
        <name>FHLB</name>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-03-18</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
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      <invstOrSec>
        <name>GNMA</name>
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          <isin value="US21H0506152"/>
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        <curCd>USD</curCd>
        <valUSD>8319687.50000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2050-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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      <invstOrSec>
        <name>Structured Asset Mortgage Investments Trust</name>
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          <isin value="US86358HNX34"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>Senior Housing Properties Trust</name>
        <lei>N/A</lei>
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        <cusip>81721MAM1</cusip>
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          <isin value="US81721MAM10"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
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          <isin value="US41161PLR28"/>
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        <curCd>USD</curCd>
        <valUSD>12818.92000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.20388000</annualizedRt>
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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="US912810SG40"/>
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        <balance>1800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2049143.77000000</valUSD>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</annualizedRt>
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      <invstOrSec>
        <name>MSSG Trust</name>
        <lei>N/A</lei>
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          <isin value="US55375KAS50"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>733332.04000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>GLP Capital LP</name>
        <lei>N/A</lei>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>227071.00000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75000000</annualizedRt>
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        <name>Sempra Energy</name>
        <lei>PBBKGKLRK5S5C0Y4T545</lei>
        <title>Sempra Energy</title>
        <cusip>816851BB4</cusip>
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        <balance>900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>900364.59000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34362900</annualizedRt>
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        <name>Southern Co. (The)</name>
        <lei>549300FC3G3YU2FBZD92</lei>
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        <curCd>USD</curCd>
        <valUSD>602917.44000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.35000000</annualizedRt>
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        <name>Skandinaviska Enskilda Banken AB</name>
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        <invCountry>SE</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>2.33412800</annualizedRt>
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        <name>National Australia Bank Ltd.</name>
        <lei>F8SB4JFBSYQFRQEH3Z21</lei>
        <title>National Australia Bank Ltd.</title>
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        <invCountry>AU</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>2.25000000</annualizedRt>
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      <invstOrSec>
        <name>EMC Corp.</name>
        <lei>KDMDXRWU7UTJ30FC8R59</lei>
        <title>EMC Corp.</title>
        <cusip>268648AQ5</cusip>
        <identifiers>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>498760.00000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65000000</annualizedRt>
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      <invstOrSec>
        <name>Harley-Davidson Financial Services, Inc.</name>
        <lei>RLUFFFFW4GRYU77BTS24</lei>
        <title>Harley-Davidson Financial Services, Inc.</title>
        <cusip>41284VAB8</cusip>
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          <isin value="US41284VAB80"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>711609.01000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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          <maturityDt>2021-05-21</maturityDt>
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          <annualizedRt>3.55000000</annualizedRt>
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      <invstOrSec>
        <name>Atrium XII</name>
        <lei>549300O252OCTN35RH57</lei>
        <title>Atrium XII, Series 12A, Class AR</title>
        <cusip>04965CAJ7</cusip>
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          <isin value="US04965CAJ71"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>698699.40000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78325000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Regions Bank</name>
        <lei>EQTWLK1G7ODGC2MGLV11</lei>
        <title>Regions Bank</title>
        <cusip>759187CD7</cusip>
        <identifiers>
          <isin value="US759187CD74"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>705478.34000000</valUSD>
        <pctVal>0.240324663591</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-13</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.37399900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank NA</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>JPMorgan Chase Bank NA</title>
        <cusip>48125LRP9</cusip>
        <identifiers>
          <isin value="US48125LRP93"/>
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        <balance>1200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1200452.88000000</valUSD>
        <pctVal>0.408940173193</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27562800</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>NetApp, Inc.</name>
        <lei>QTX3D84DZDD5JYOCYH15</lei>
        <title>NetApp, Inc.</title>
        <cusip>64110DAE4</cusip>
        <identifiers>
          <isin value="US64110DAE40"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101621.25000000</valUSD>
        <pctVal>0.034617778229</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.37500000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA or FHLMC</name>
        <lei>N/A</lei>
        <title>UMBS, 30 Year, Single Family</title>
        <cusip>01F032625</cusip>
        <identifiers>
          <isin value="US01F0326250"/>
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        <balance>29000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29829220.20000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Bonds</title>
        <cusip>912810RC4</cusip>
        <identifiers>
          <isin value="US912810RC45"/>
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        <balance>2300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2826617.66000000</valUSD>
        <pctVal>0.962901197281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.62500000</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 Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust, Series 2006-A6, Class 1A4L</title>
        <cusip>46628BAG5</cusip>
        <identifiers>
          <isin value="US46628BAG59"/>
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        <balance>105354.08230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94481.46000000</valUSD>
        <pctVal>0.032185573677</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.09723600</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>Barclays plc</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays plc</title>
        <cusip>06738EAT2</cusip>
        <identifiers>
          <isin value="US06738EAT29"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>912343.32000000</valUSD>
        <pctVal>0.310794235665</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.63449900</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Group, Inc. (The)</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group, Inc. (The)</title>
        <cusip>38141GXD1</cusip>
        <identifiers>
          <isin value="US38141GXD14"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302591.82000000</valUSD>
        <pctVal>0.103079390569</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.07987900</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>Campbell Soup Co.</name>
        <lei>5493007JDSMX8Z5Z1902</lei>
        <title>Campbell Soup Co.</title>
        <cusip>134429BE8</cusip>
        <identifiers>
          <isin value="US134429BE86"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>624281.40000000</valUSD>
        <pctVal>0.212664526938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65000000</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 2007-1, Class I2A3</title>
        <cusip>576431AD2</cusip>
        <identifiers>
          <isin value="US576431AD29"/>
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        <balance>102946.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149295.85000000</valUSD>
        <pctVal>0.050858365016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.97947500</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>Wachovia Mortgage Loan LLC Trust</name>
        <lei>N/A</lei>
        <title>Wachovia Mortgage Loan LLC Trust, Series 2006-A, Class 2A1</title>
        <cusip>92977TAC6</cusip>
        <identifiers>
          <isin value="US92977TAC62"/>
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        <balance>71939.04120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71085.23000000</valUSD>
        <pctVal>0.024215532947</pctVal>
        <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>4.18019000</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>RALI Trust</name>
        <lei>N/A</lei>
        <title>RALI Trust, Series 2005-QA13, Class 2A1</title>
        <cusip>761118PE2</cusip>
        <identifiers>
          <isin value="US761118PE29"/>
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        <balance>13857.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12628.07000000</valUSD>
        <pctVal>0.004301814106</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.62844400</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>Goldman Sachs Group, Inc. (The)</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group, Inc. (The)</title>
        <cusip>38141GVQ4</cusip>
        <identifiers>
          <isin value="US38141GVQ45"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>301903.89000000</valUSD>
        <pctVal>0.102845043834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.09363100</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>United Overseas Bank Ltd.</name>
        <lei>IO66REGK3RCBAMA8HR66</lei>
        <title>United Overseas Bank Ltd.</title>
        <cusip>91127KAA0</cusip>
        <identifiers>
          <isin value="US91127KAA07"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>608295.90000000</valUSD>
        <pctVal>0.207218987802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</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>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="29029"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>405.70000000</valUSD>
        <pctVal>0.000138203698</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>151425.29000000</amtCurSold>
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            <amtCurPur>135000.00000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>405.7</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Society of Lloyd's</name>
        <lei>213800O2FTUPFGPH3J11</lei>
        <title>Society of Lloyd's</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="XS1130913558"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
        <valUSD>147394.43000000</valUSD>
        <pctVal>0.050210636948</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EPR Properties</name>
        <lei>549300YSSXFHMPOWZ492</lei>
        <title>EPR Properties</title>
        <cusip>26884UAF6</cusip>
        <identifiers>
          <isin value="US26884UAF66"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>703457.30000000</valUSD>
        <pctVal>0.239636186383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns ALT-A Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ALT-A Trust, Series 2005-7, Class 22A1</title>
        <cusip>07386HVS7</cusip>
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        <curCd>USD</curCd>
        <valUSD>25302.66000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Delta Air Lines, Inc.</name>
        <lei>Q2CCMS6R0AS67HJMBN42</lei>
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          <isin value="US247361ZM39"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <annualizedRt>3.40000000</annualizedRt>
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      <invstOrSec>
        <name>GLP Capital LP</name>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States of America</name>
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        <title>U.S. Treasury Bonds</title>
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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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          <maturityDt>2044-08-15</maturityDt>
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      <invstOrSec>
        <name>Pacific National Finance Pty. Ltd.</name>
        <lei>213800SSTRDXLWWVF948</lei>
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          <isin value="XS1794216660"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>744646.42000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75000000</annualizedRt>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDS</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="010662AHS"/>
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        <balance>300000.00000000</balance>
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              <counterpartyName>ICE Clear US</counterpartyName>
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                <issuerName>Rolls-Royce plc</issuerName>
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      <invstOrSec>
        <name>OSCAR US Funding Trust VIII LLC</name>
        <lei>353800N5RGHXWI4JYR18</lei>
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        <cusip>68784CAB8</cusip>
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          <isin value="US68784CAB81"/>
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        <balance>26508.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>26529.04000000</valUSD>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>JP</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-04-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.91000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC</title>
        <cusip>3132GJMT3</cusip>
        <identifiers>
          <isin value="US3132GJMT33"/>
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        <balance>50986.43000000</balance>
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        <curCd>USD</curCd>
        <valUSD>54786.77000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>RALI Trust</name>
        <lei>N/A</lei>
        <title>RALI Trust, Series 2007-QA3, Class A1</title>
        <cusip>74923XAA4</cusip>
        <identifiers>
          <isin value="US74923XAA46"/>
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        <balance>327269.21160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>305511.80000000</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>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.89200200</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Euro-Bund</title>
        <cusip>N/A</cusip>
        <identifiers>
          <isin value="DE000C3ZZTK3"/>
          <other otherDesc="Future Ticker" value="RXH0 Comdty"/>
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        <balance>55.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150397"/>
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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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            <payOffProf>Long</payOffProf>
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                <issuerName>Federal Republic of Germany</issuerName>
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                  <isin value="DE0001102440"/>
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      <invstOrSec>
        <name>Morgan Stanley Bank of America Merrill Lynch Trust</name>
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        <cusip>61764RBD9</cusip>
        <identifiers>
          <isin value="US61764RBD98"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>101846.37000000</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>2048-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.06900000</annualizedRt>
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      <invstOrSec>
        <name>Credit Suisse Group Funding Guernsey Ltd.</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd.</title>
        <cusip>225433AP6</cusip>
        <identifiers>
          <isin value="US225433AP68"/>
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        <balance>1000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1024749.30000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.29324800</annualizedRt>
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      <invstOrSec>
        <name>Jamestown CLO VII Ltd.</name>
        <lei>549300UY2VE3PHVMFV71</lei>
        <title>Jamestown CLO VII Ltd., Series 2015-7A, Class A1R</title>
        <cusip>47048BAK6</cusip>
        <identifiers>
          <isin value="US47048BAK61"/>
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        <balance>280692.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280181.72000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.76963100</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2004-W2, Class 5AF</title>
        <cusip>31393XGV3</cusip>
        <identifiers>
          <isin value="US31393XGV38"/>
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        <balance>17218.30000000</balance>
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        <curCd>USD</curCd>
        <valUSD>17158.82000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14200000</annualizedRt>
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      <invstOrSec>
        <name>Cent CLO 24 Ltd.</name>
        <lei>549300DCVSIJCGD38T68</lei>
        <title>Cent CLO 24 Ltd., Series 2015-24A, Class A1R</title>
        <cusip>15137KAE9</cusip>
        <identifiers>
          <isin value="US15137KAE91"/>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>699203.40000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <annualizedRt>3.07087900</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust, Series 2006-OA12, Class A1B</title>
        <cusip>23243AAB2</cusip>
        <identifiers>
          <isin value="US23243AAB26"/>
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        <balance>222407.75000000</balance>
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        <curCd>USD</curCd>
        <valUSD>194585.74000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.95463100</annualizedRt>
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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="27229"/>
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        <balance>1.00000000</balance>
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        <curCd>N/A</curCd>
        <valUSD>-32300.04000000</valUSD>
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        <assetCat>DFE</assetCat>
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      <invstOrSec>
        <name>Monarch Grove CLO Ltd.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
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          <isin value="US912810QV35"/>
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        <name>Dell International LLC</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-06-15</maturityDt>
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        <name>SG Mortgage Securities Trust</name>
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        <cusip>81879MAW9</cusip>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-02-25</maturityDt>
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        <name>Lloyds Bank Corporate Markets plc</name>
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        <curCd>USD</curCd>
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        <assetCat>STIV</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-09-24</maturityDt>
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        <name>LP Credit Card ABS Master Trust</name>
        <lei>N/A</lei>
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        <cusip>50214FAA1</cusip>
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          <isin value="US50214FAA12"/>
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        <fairValLevel>2</fairValLevel>
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        <name>United States of America</name>
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        <title>U.S. Treasury Inflation Linked Bonds</title>
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        <fairValLevel>2</fairValLevel>
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        <name>American Airlines Pass-Through Trust</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Bear Stearns ARM Trust</name>
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        <balance>1928.16000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <name>HSBC Holdings plc</name>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Japan Finance Organization for Municipalities</name>
        <lei>5493007YYYNZ4NMEOD64</lei>
        <title>Japan Finance Organization for Municipalities</title>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Soundview Home Loan Trust</name>
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        <name>GNMA</name>
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        <name>BNP Paribas SA</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
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        <name>Societe Generale SA</name>
        <lei>O2RNE8IBXP4R0TD8PU41</lei>
        <title>Societe Generale SA</title>
        <cusip>83368RAL6</cusip>
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        <invCountry>FR</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Australia &amp; New Zealand Banking Group Ltd.</name>
        <lei>JHE42UYNWWTJB8YTTU19</lei>
        <title>Australia &amp; New Zealand Banking Group Ltd.</title>
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        <assetCat>DBT</assetCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>UMBS</title>
        <cusip>3138AU6B8</cusip>
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          <isin value="US3138AU6B83"/>
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        <balance>50343.67000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54556.61000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Imperial Brands Finance plc</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>Imperial Brands Finance plc</title>
        <cusip>45262BAA1</cusip>
        <identifiers>
          <isin value="US45262BAA17"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>403133.80000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.12500000</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>Constellation Brands, Inc.</name>
        <lei>5493005GKEG8QCVY7037</lei>
        <title>Constellation Brands, Inc.</title>
        <cusip>21036PAW8</cusip>
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          <isin value="US21036PAW86"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101079.38000000</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>2022-11-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65000000</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>
        <name>RFMSI Trust</name>
        <lei>N/A</lei>
        <title>RFMSI Trust, Series 2007-S6, Class 1A11</title>
        <cusip>762009AL2</cusip>
        <identifiers>
          <isin value="US762009AL27"/>
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        <balance>88815.69000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86638.44000000</valUSD>
        <pctVal>0.029513810370</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>
          <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>FHLMC</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>FHLMC</title>
        <cusip>3128MJ3X6</cusip>
        <identifiers>
          <isin value="US3128MJ3X63"/>
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        <balance>249230.81000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>258447.99000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Palmer Square CLO Ltd.</name>
        <lei>5493008LHKT4A5V5Z173</lei>
        <title>Palmer Square CLO Ltd., Series 2018-3A, Class A1</title>
        <cusip>69700LAA9</cusip>
        <identifiers>
          <isin value="US69700LAA98"/>
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        <balance>410803.89000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>410994.09000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.75987900</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>General Motors Financial Co., Inc.</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co., Inc.</title>
        <cusip>37045XAY2</cusip>
        <identifiers>
          <isin value="US37045XAY22"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200799.78000000</valUSD>
        <pctVal>0.068403431886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</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>Capital One Financial Corp.</name>
        <lei>ZUE8T73ROZOF6FLBAR73</lei>
        <title>Capital One Financial Corp.</title>
        <cusip>14040HBR5</cusip>
        <identifiers>
          <isin value="US14040HBR57"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>701233.40000000</valUSD>
        <pctVal>0.238878603918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.40000000</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>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>-2.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
        <valUSD>2309.30000000</valUSD>
        <pctVal>0.000786674394</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>
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            <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>-304360000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>2309.3</unrealizedAppr>
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        </derivativeInfo>
        <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 2004-22, Class A3</title>
        <cusip>12669F6Z1</cusip>
        <identifiers>
          <isin value="US12669F6Z19"/>
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        <balance>35520.71000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35717.89000000</valUSD>
        <pctVal>0.012167474763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.84055900</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 5 Year Note</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="D7868E4"/>
          <other otherDesc="Option Ticker" value="FVH0P 110.50 Comdty"/>
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        <balance>283.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
        <pctVal>0.0000000</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="Option" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>CME Clearing House</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <issuerName>United States of America</issuerName>
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                  <ticker value="FVH0 Comdty"/>
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            <shareNo>100000.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-2433.8</unrealizedAppr>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>21H042620</cusip>
        <identifiers>
          <isin value="US21H0426203"/>
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        <balance>4900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5132558.41000000</valUSD>
        <pctVal>1.748431246306</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      <invstOrSec>
        <name>FNMA</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>FNMA, Series 2016-62, Class AF</title>
        <cusip>3136ATVF8</cusip>
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          <isin value="US3136ATVF87"/>
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        <balance>107667.52000000</balance>
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        <curCd>USD</curCd>
        <valUSD>107661.24000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.23138100</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>United States of America</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>U.S. Treasury Notes</title>
        <cusip>9128285D8</cusip>
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          <isin value="US9128285D82"/>
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        <balance>55700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58175536.37000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.87500000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>AbbVie, Inc.</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>AbbVie, Inc.</title>
        <cusip>00287YBC2</cusip>
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          <isin value="US00287YBC21"/>
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        <balance>600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>634048.08000000</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>2023-11-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
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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>CDS</title>
        <cusip>N/A</cusip>
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          <other otherDesc="Inhouse Asset ID" value="010656AHS"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6213.32000000</valUSD>
        <pctVal>0.002116597993</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>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>General Electric Co.</issuerName>
                <issueTitle>General Electric Co.</issueTitle>
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                  <cusip value="369604BD4"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1"/>
            <otherPmntDesc fixedOrFloating="Other">Payout of notional amount upon default event with regard to the reference instrument</otherPmntDesc>
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      <invstOrSec>
        <name>Duke Energy Corp.</name>
        <lei>I1BZKREC126H0VB1BL91</lei>
        <title>Duke Energy Corp.</title>
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          <isin value="US26441CBA27"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Zoetis, Inc.</name>
        <lei>549300HD9Q1LOC9KLJ48</lei>
        <title>Zoetis, Inc.</title>
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          <isin value="US98978VAR42"/>
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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>Sudbury Mill CLO Ltd.</name>
        <lei>2549002BXC788OTPUW39</lei>
        <title>Sudbury Mill CLO Ltd., Series 2013-1A, Class A2R</title>
        <cusip>864662AN1</cusip>
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          <isin value="US864662AN19"/>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-17</maturityDt>
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      <invstOrSec>
        <name>Citigroup, Inc.</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup, Inc.</title>
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          <isin value="US172967LQ21"/>
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        <balance>800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>812828.80000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-10-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.70000000</annualizedRt>
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      <invstOrSec>
        <name>CHL Mortgage Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust, Series 2004-HYB9, Class 1A1</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-20</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Kingdom of Spain</name>
        <lei>9598007A56S18711AH60</lei>
        <title>Kingdom of Spain</title>
        <cusip>N/A</cusip>
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          <isin value="ES0000012E69"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-30</maturityDt>
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          <annualizedRt>1.85000000</annualizedRt>
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      <invstOrSec>
        <name>Deutsche Alt-A Securities Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Deutsche Alt-A Securities Mortgage Loan Trust, Series 2007-AR2, Class A1</title>
        <cusip>25151UAA5</cusip>
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          <isin value="US25151UAA51"/>
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        <balance>175147.78000000</balance>
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        <curCd>USD</curCd>
        <valUSD>165973.71000000</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>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.94199800</annualizedRt>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA, Series 2016-H22, Class FA</title>
        <cusip>38376RC95</cusip>
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          <isin value="US38376RC950"/>
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        <balance>427261.77000000</balance>
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        <curCd>USD</curCd>
        <valUSD>429329.12000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.54425000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Highwoods Realty LP</name>
        <lei>JUJNVZX73BIYHLR58F51</lei>
        <title>Highwoods Realty LP</title>
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          <isin value="US431282AQ55"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>105318.30000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.12500000</annualizedRt>
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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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        <balance>2200000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62500000</annualizedRt>
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      <invstOrSec>
        <name>GNMA</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>GNMA</title>
        <cusip>3617A36W5</cusip>
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        <balance>67344.30000000</balance>
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        <valUSD>69371.11000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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      <invstOrSec>
        <name>Eurosail-UK plc</name>
        <lei>213800NEJVUXH4MS6Y78</lei>
        <title>Eurosail-UK plc, Series 2007-2X, Class A3C</title>
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          <isin value="XS0291423605"/>
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        <balance>43750.02000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.75494490"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.92862900</annualizedRt>
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      <invstOrSec>
        <name>RASC Trust</name>
        <lei>N/A</lei>
        <title>RASC Trust, Series 2006-KS7, Class A4</title>
        <cusip>75406XAD1</cusip>
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          <isin value="US75406XAD12"/>
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        <balance>299261.35000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03199800</annualizedRt>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>549300L45M7638EL0H21</lei>
        <title>GS Mortgage Securities Trust, Series 2015-GC30, Class AAB</title>
        <cusip>36250GAQ8</cusip>
        <identifiers>
          <isin value="US36250GAQ82"/>
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        <balance>600000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.12000000</annualizedRt>
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        <name>Volkswagen Bank GmbH</name>
        <lei>529900GJD3OQLRZCKW37</lei>
        <title>Volkswagen Bank GmbH</title>
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          <isin value="XS1944388856"/>
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        <balance>700000.00000000</balance>
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        <invCountry>DE</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-08-01</maturityDt>
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          <annualizedRt>1.25000000</annualizedRt>
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      <invstOrSec>
        <name>Capital One Financial Corp.</name>
        <lei>ZUE8T73ROZOF6FLBAR73</lei>
        <title>Capital One Financial Corp.</title>
        <cusip>14040HBY0</cusip>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>203573.40000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45000000</annualizedRt>
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      <invstOrSec>
        <name>PayPal Holdings, Inc.</name>
        <lei>5493005X2GO78EFZ3E94</lei>
        <title>PayPal Holdings, Inc.</title>
        <cusip>70450YAE3</cusip>
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        <balance>700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>701224.86000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.85000000</annualizedRt>
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          <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 Notes</title>
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        <identifiers>
          <isin value="US912828G385"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205240.20000000</valUSD>
        <pctVal>0.069916082782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25000000</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>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust, Series 2006-WF2, Class A1</title>
        <cusip>17309BAL1</cusip>
        <identifiers>
          <isin value="US17309BAL18"/>
        </identifiers>
        <balance>161621.18000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113924.15000000</valUSD>
        <pctVal>0.038808821577</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <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 Long Bond</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Sedol" value="USH0COS"/>
          <other otherDesc="Future Ticker" value="USH0 Comdty"/>
        </identifiers>
        <balance>-93.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>281049.53000000</valUSD>
        <pctVal>0.095740903611</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>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>United States of America</issuerName>
                <issueTitle>U.S. Treasury Long Bond</issueTitle>
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            </descRefInstrmnt>
            <expDate>2020-03-20</expDate>
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            <curCd>USD</curCd>
            <unrealizedAppr>281049.53</unrealizedAppr>
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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 Bonds</title>
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        <identifiers>
          <isin value="US912810SD19"/>
        </identifiers>
        <balance>17700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19984786.80000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
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        <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>Citibank</counterpartyName>
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            <unrealizedAppr>-149786.02</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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="28536"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-2543.22000000</valUSD>
        <pctVal>-0.00086636039</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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        </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>Forward Foreign Currency Contract</title>
        <cusip>N/A</cusip>
        <identifiers>
          <other otherDesc="Inhouse Asset ID" value="27230"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <curCd>N/A</curCd>
        <valUSD>-241507.26000000</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>HSBC Bank</counterpartyName>
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            <amtCurSold>7575000.00000000</amtCurSold>
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            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-241507.26</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse First Boston Mortgage Securities Corp.</name>
        <lei>N/A</lei>
        <title>Credit Suisse First Boston Mortgage Securities Corp., Series 2002-AR21, Class 2A1</title>
        <cusip>22540V4S8</cusip>
        <identifiers>
          <isin value="US22540V4S83"/>
        </identifiers>
        <balance>556.75000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>560.26000000</valUSD>
        <pctVal>0.000190855322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.33113600</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 Airlines Pass-Through Trust</name>
        <lei>N/A</lei>
        <title>American Airlines Pass-Through Trust, Series 2013-1, Class A</title>
        <cusip>023772AB2</cusip>
        <identifiers>
          <isin value="US023772AB21"/>
        </identifiers>
        <balance>349420.99000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>366573.16000000</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>2025-07-15</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>
    </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>
