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      <invstOrSec>
        <name>Securitized Asset Backed Receivables LLC Trust</name>
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          <isin value="US81377AAD46"/>
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        <curCd>USD</curCd>
        <valUSD>188756.25000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD BRL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LTKBCCJV0"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>15416000.00000000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>9128285W6</cusip>
        <identifiers>
          <isin value="US9128285W63"/>
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        <balance>21070099.25000000</balance>
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        <curCd>USD</curCd>
        <valUSD>22371903.53000000</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>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.88000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>D.R. HORTON INC</name>
        <lei>529900ZIUEYVSB8QDD25</lei>
        <title>DR Horton Inc</title>
        <cusip>23331ABH1</cusip>
        <identifiers>
          <isin value="US23331ABH14"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>994260.41000000</valUSD>
        <pctVal>0.043801205330</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Sequoia Mortgage Trust 2007-3</title>
        <cusip>81744MAA0</cusip>
        <identifiers>
          <isin value="US81744MAA09"/>
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        <balance>551185.13000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>535804.31000000</valUSD>
        <pctVal>0.023604353913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.96000000</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>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>PURCHASED USD / SOLD EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KRKBBSQT8"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89111472"/>
        <valUSD>-279067.53000000</valUSD>
        <pctVal>-0.01229405702</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>16158195.46000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>17853497.17000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-279067.53</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 Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RR1</cusip>
        <identifiers>
          <isin value="US912810RR14"/>
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        <balance>69160300.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76034370.63000000</valUSD>
        <pctVal>3.349622540196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
        <title>Lehman XS Trust Series 2005-7N</title>
        <cusip>525221EM5</cusip>
        <identifiers>
          <isin value="US525221EM58"/>
        </identifiers>
        <balance>111466.42000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109718.96000000</valUSD>
        <pctVal>0.004833565379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.33000000</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>Ally Financial Inc</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>Ally Financial Inc</title>
        <cusip>02005NAZ3</cusip>
        <identifiers>
          <isin value="US02005NAZ33"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>301125.00000000</valUSD>
        <pctVal>0.013265778082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>4.13000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0C8247 IRS GBP R F  3.40000 INFLATIONZERO CCP LCH / Short: SWU0C8247 IRS GBP P V 12MRPI UKRPI/INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0UCUR1"/>
        </identifiers>
        <balance>15300000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>807017.68000000</valUSD>
        <pctVal>0.035552403325</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.4"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
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            <terminationDt>2030-06-15</terminationDt>
            <upfrontPmnt>44876.53</upfrontPmnt>
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            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>15300000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>742763.3</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>IMPERIAL BRANDS FIN PLC</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>Imperial Brands Finance PLC</title>
        <cusip>453140AD7</cusip>
        <identifiers>
          <isin value="US453140AD72"/>
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        <balance>3400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3409534.93000000</valUSD>
        <pctVal>0.150203848055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95000000</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>Sempra Energy</name>
        <lei>PBBKGKLRK5S5C0Y4T545</lei>
        <title>Sempra Energy</title>
        <cusip>816851BB4</cusip>
        <identifiers>
          <isin value="US816851BB47"/>
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        <balance>1700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1700536.89000000</valUSD>
        <pctVal>0.074915550033</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.34000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0SA021 IRS EUR R V 12MCPI FRCPXTOB INFLATIONZERO CCP / Short: BWU0SA021 IRS EUR P F  1.16000 INFLATIONZERO LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S13LPX2"/>
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        <balance>530000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-4156.39000000</valUSD>
        <pctVal>-0.00018310584</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>European Union Consumer Price Index (cpi)</indexName>
                <indexIdentifier>CPTFEMU Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="European Union Consumer Price Index (cpi)" floatingRtSpread="0" pmntAmt="0">
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            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>530000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-4339.18</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Nomura Home Equity Loan Inc</name>
        <lei>N/A</lei>
        <title>Nomura Home Equity Loan Inc Home Equity Loan Trust Series 2006-WF1</title>
        <cusip>65536RAF3</cusip>
        <identifiers>
          <isin value="US65536RAF38"/>
        </identifiers>
        <balance>3000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2948994.90000000</valUSD>
        <pctVal>0.129915191065</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.08000000</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>345397XQ1</cusip>
        <identifiers>
          <isin value="US345397XQ11"/>
        </identifiers>
        <balance>1200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1206514.00000000</valUSD>
        <pctVal>0.053151837201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Deutsche Alt-A Securities INC Mortgage Loan Trust</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>Black Diamond CLO Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BNP Paribas</name>
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        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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        <name>UniCredit SpA</name>
        <lei>549300TRUWO2CD2G5692</lei>
        <title>UniCredit SpA</title>
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        <fairValLevel>2</fairValLevel>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Deutsche Bank Aktiengesellschaft</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>Long: SWU028859 IRS USD R V 12MUSCPI DUBSWU028859 IRS USD R V / Short: SWU028859 IRS USD P F  2.56000 DUBSWU028859 IRS USD P F</title>
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      <invstOrSec>
        <name>BBVA BANCOMER SA TEXAS</name>
        <lei>549300WIWQK5Q9MCUN92</lei>
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          <isin value="USP16259AB20"/>
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        <name>Freddie Mac</name>
        <lei>N/A</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137F4BX9</cusip>
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        <name>Chicago Board of Trade</name>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810FR4</cusip>
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        <balance>229426036.20000000</balance>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>McDonald's Corp</name>
        <lei>UE2136O97NLB5BYP9H04</lei>
        <title>McDonald's Corp</title>
        <cusip>58013MFG4</cusip>
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          <isin value="US58013MFG42"/>
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        <balance>6900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6922007.62000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>JYSKE REALKREDIT A/S</name>
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        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
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          <isin value="US9128287D64"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>Reperforming Loan REMIC Trust 2005-R2</title>
        <cusip>12669GN64</cusip>
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          <isin value="US12669GN644"/>
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        <balance>58918.67000000</balance>
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        <curCd>USD</curCd>
        <valUSD>56702.16000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
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        <securityLending>
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      <invstOrSec>
        <name>Cooperatieve Rabobank UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>Cooperatieve Rabobank UA</title>
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          <isin value="XS1171914515"/>
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        <balance>1600000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0FA470 IRS USD R V 12MUSCPI SWU0FA470 CCPINFLATIONZERO / Short: BWU0FA470 IRS USD P F  1.44500 SWUVFA472 CCPINFLATIONZERO</title>
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          <other otherDesc="Internal Identifier" value="99S1AKZR8"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Ace Securities Corp.</name>
        <lei>N/A</lei>
        <title>ACE Securities Corp Home Equity Loan Trust Series 2003-OP1</title>
        <cusip>004427BM1</cusip>
        <identifiers>
          <isin value="US004427BM18"/>
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        <balance>1693536.70000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Chicago Board of Trade</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US 5YR NOTE (CBT) MAR20 XCBT 20200331</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1CW4N3"/>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1010873.72000000</valUSD>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Chicago Board of Trade</counterpartyName>
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            <payOffProf>Short</payOffProf>
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              <indexBasketInfo>
                <indexName>5 Year US Treasury Note</indexName>
                <indexIdentifier>FVH0 Comdty</indexIdentifier>
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            <expDate>2020-03-31</expDate>
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      </invstOrSec>
      <invstOrSec>
        <name>AKELIUS RESIDENTIAL AB</name>
        <lei>213800REBFN6T3PU8L97</lei>
        <title>Akelius Residential Property AB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1295537077"/>
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        <balance>100000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-09-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.38000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED USD / SOLD MXN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19ICKBB5C8C"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="18.95990400"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Babson Euro CLO B.V.</name>
        <lei>549300OOB9SSIEKDG952</lei>
        <title>Babson Euro CLO 2015-1 BV</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1699954514"/>
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        <balance>700000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-29CB</title>
        <cusip>12667GUG6</cusip>
        <identifiers>
          <isin value="US12667GUG62"/>
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        <balance>273183.04000000</balance>
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        <curCd>USD</curCd>
        <valUSD>233649.55000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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        <name>AVIATION CAPITAL GROUP</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>Aviation Capital Group LLC</title>
        <cusip>05367AAD5</cusip>
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          <isin value="US05367AAD54"/>
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        <balance>1800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1896522.39000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>Structured Asset Securities Corporation</name>
        <lei>N/A</lei>
        <title>Structured Asset Securities Corp Mortgage Loan Trust 2005-7XS</title>
        <cusip>86359B7K1</cusip>
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          <isin value="US86359B7K13"/>
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        <balance>150494.84000000</balance>
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        <curCd>USD</curCd>
        <valUSD>148530.05000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09UP13 IRS GBP R F  3.35000  INFLATIONZERO  CCP LCH / Short: SWU09UP13 IRS GBP P V 12MUKRPI INFLATIONZERO UKRPI CCP LCH</title>
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        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-1T1</title>
        <cusip>23246KAA9</cusip>
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        <balance>4622637.71000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LNKBBQR5R"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <amtCurSold>778000.00000000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: BWU00XLU6 IRS USD R V 03MLIBOR SWUV0XLU8 CCPVANILLA / Short: BWU00XLU6 IRS USD P F  2.00000 SWU00XLU6 CCPVANILLA</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S1BWCI6"/>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
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            <swapFlag>Y</swapFlag>
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            <unrealizedAppr>13854.17</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>STATE BANK INDIA/LONDON</name>
        <lei>5493001JZ37UBBZF6L49</lei>
        <title>State Bank of India/London</title>
        <cusip>000000000</cusip>
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          <isin value="XS1589358644"/>
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        <balance>5500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5504235.00000000</valUSD>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0C8494 IRS USD R V 12MCPI CPURNSA/INFLATIONZERO CCP LCH / Short: BWU0C8494 IRS USD P F  1.55000 INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S0WIWC7"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810PZ5</cusip>
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          <isin value="US912810PZ57"/>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810QV3</cusip>
        <identifiers>
          <isin value="US912810QV35"/>
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        <balance>33276028.20000000</balance>
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        <curCd>USD</curCd>
        <valUSD>34552135.26000000</valUSD>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Long Beach Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Long Beach Mortgage Loan Trust 2005-WL2</title>
        <cusip>542514NC4</cusip>
        <identifiers>
          <isin value="US542514NC43"/>
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        <balance>448512.23000000</balance>
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        <curCd>USD</curCd>
        <valUSD>449855.43000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GreenPoint Mortgage Funding Trust</name>
        <lei>N/A</lei>
        <title>GreenPoint Mortgage Funding Trust 2005-AR5</title>
        <cusip>39538WEA2</cusip>
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          <isin value="US39538WEA27"/>
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        <balance>128338.23000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>112998.92000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.33000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      <invstOrSec>
        <name>SLM Student Loan Trust</name>
        <lei>549300HZ5P6KYIDITL52</lei>
        <title>SLM Student Loan Trust 2003-2</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS0163731846"/>
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        <balance>33349.41000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>37419.61000000</valUSD>
        <pctVal>0.001648485652</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-15</maturityDt>
          <couponKind>None</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Air Lease Corp</name>
        <lei>5493004NW4M4P8TMMK63</lei>
        <title>Air Lease Corp</title>
        <cusip>00912XAS3</cusip>
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          <isin value="US00912XAS36"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <pctVal>0.008958542388</pctVal>
        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>ASX - Trade24</name>
        <lei>549300USWUR0S7VMM868</lei>
        <title>AUST 10Y BOND FUT MAR20 XSFE 20200316</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1FZGC4"/>
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        <balance>-57.00000000</balance>
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        <fairValLevel>1</fairValLevel>
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              <indexBasketInfo>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09MT25 IRS EUR R F  1.94600 INFLATIONZERO CCP LCH / Short: SWU09MT25 IRS EUR P V 12MHICP CPTFEMU INFLATIONZERO LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S10XB30"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
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        <invCountry>DE</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CCP MORGAN STANLEY CCP CCMSCZUS2</title>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00OB94 IRS USD R V 12MFEDL SWUV0OB96 CCPOIS / Short: BWU00OB94 IRS USD P F  2.47800 SWU00OB94 CCPOIS</title>
        <cusip>000000000</cusip>
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                <indexIdentifier>FEDL01 Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            <notionalAmt>4834000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-673316.5</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MITSUBISHI UFJ LEASE&amp;FIN</name>
        <lei>353800MZ3QX9RLMH7B09</lei>
        <title>Mitsubishi UFJ Lease &amp; Finance Co Ltd</title>
        <cusip>60682LAC6</cusip>
        <identifiers>
          <isin value="US60682LAC63"/>
        </identifiers>
        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>418702.47000000</valUSD>
        <pctVal>0.018445542713</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.96000000</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>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>Long: SWPC0HUM9 CDS USD R V 03MEVENT FLO SOVEREIGN / Short: SWPC0HUM9 CDS USD P F  1.00000 FIX SOVEREIGN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S17C1I7"/>
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        <balance>3450000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-58455.87000000</valUSD>
        <pctVal>-0.00257521826</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Mexico Government International Bond</issuerName>
                <issueTitle>Mexico Government International Bond</issueTitle>
                <identifiers>
                  <cusip value="91087BAC4"/>
                  <isin value="US91087BAC46"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
            <fixedPmntDesc amount="-1137.91000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1"/>
            <terminationDt>2023-12-20</terminationDt>
            <upfrontPmnt>28566.81</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3450000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-87022.68</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NORDEA KREDIT REALKREDIT</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>Nordea Kredit Realkreditaktieselskab</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DK0002030683"/>
        </identifiers>
        <balance>3746.88000000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.66185000"/>
        <valUSD>591.82000000</valUSD>
        <pctVal>0.000026072072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</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>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>3175489R8 ITRAXX.O C 0.475 EU3 FEB20 0.475 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI687145"/>
        </identifiers>
        <balance>-1800000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-4023.84000000</valUSD>
        <pctVal>-0.00017726647</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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                  <derivAddlInfo>
                    <name>Intercontinental Exchange</name>
                    <lei>5493000F4ZO33MV32P92</lei>
                    <title>CDX Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="AEI687145E"/>
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                    <balance>1800000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
                    <valUSD>-4023.84000000</valUSD>
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                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>iTraxx Europe S32.V1</indexName>
                      <indexIdentifier>2I666VCV5</indexIdentifier>
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                  <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
                  <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <terminationDt>2024-06-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>1800000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
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            <shareNo>1.00000000</shareNo>
            <exercisePrice>0.475</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2967.04</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00MO45 IRS JPY R V 06MLIBOR SWUV0MO47 CCPVANILLA / Short: BWU00MO45 IRS JPY P F   .30000 SWU00MO45 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0YGZ02"/>
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        <balance>426780000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
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        <pctVal>-0.00302967947</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <terminationDt>2028-03-20</terminationDt>
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            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>-744910</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>426780000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-62038.2</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AbbVie Inc</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>AbbVie Inc</title>
        <cusip>00287YAU3</cusip>
        <identifiers>
          <isin value="US00287YAU38"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>502137.94000000</valUSD>
        <pctVal>0.022121213711</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.30000000</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>Deutsche Bank Aktiengesellschaft</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>3175519C5 ITRAXX.O C 0.475 EU3 JAN20 0.475 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI669499"/>
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        <balance>-3700000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-7183.03000000</valUSD>
        <pctVal>-0.00031644161</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Deutsche Bank Aktiengesellschaft</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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                  <derivAddlInfo>
                    <name>Intercontinental Exchange</name>
                    <lei>5493000F4ZO33MV32P92</lei>
                    <title>CDX Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="AEI669499E"/>
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                    <balance>3700000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
                    <valUSD>-7183.03000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>iTraxx Europe S32.V1</indexName>
                      <indexIdentifier>2I666VCV5</indexIdentifier>
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                  <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
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                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>3700000.00000000</notionalAmt>
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            <shareNo>1.00000000</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-5158.39</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>Amortizing Residential Collateral Trust</name>
        <lei>N/A</lei>
        <title>Amortizing Residential Collateral Trust 2002-BC6</title>
        <cusip>86358R6A0</cusip>
        <identifiers>
          <isin value="US86358R6A06"/>
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        <balance>318478.80000000</balance>
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        <curCd>USD</curCd>
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        <pctVal>0.013433182620</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0SF418 IRS USD R V 12MUSCPI SWU0SF418 CCPINFLATIONZERO / Short: BWU0SF418 IRS USD P F  1.87500 SWUVSF410 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S17CEI3"/>
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            <descRefInstrmnt>
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                <indexName>US CPI Urban Consumers NSA</indexName>
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            <upfrontRcpt>0</upfrontRcpt>
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            <curCd>USD</curCd>
            <unrealizedAppr>26463.71</unrealizedAppr>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136B3L32</cusip>
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          <isin value="US3136B3L323"/>
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        <balance>10504560.75000000</balance>
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        <curCd>USD</curCd>
        <valUSD>10442103.78000000</valUSD>
        <pctVal>0.460017040961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.19000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BRISTOL-MYERS SQUIBB CO</name>
        <lei>HLYYNH7UQUORYSJQCN42</lei>
        <title>Bristol-Myers Squibb Co</title>
        <cusip>110122BG2</cusip>
        <identifiers>
          <isin value="US110122BG27"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103280.34000000</valUSD>
        <pctVal>0.004549918043</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>Eversource Energy</name>
        <lei>SJ7XXD41SQU3ZNWUJ746</lei>
        <title>Eversource Energy</title>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-10-01</maturityDt>
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      <invstOrSec>
        <name>CIT Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>CIT Mortgage Loan Trust 2007-1</title>
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          <isin value="US12559QAF90"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Chicago Board of Trade</name>
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        <title>US 10YR ULTRA FUT MAR20 XCBT 20200320</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="ADI1D4LR6"/>
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        <balance>668.00000000</balance>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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              <indexBasketInfo>
                <indexName>US 10 Year Ultra Bond</indexName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BK SCOTLND GRP PLC</name>
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        <balance>900000.00000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-10</maturityDt>
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          <annualizedRt>7.50000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>LCH Limited</name>
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          <other otherDesc="Internal Identifier" value="99S176661"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2005-AR14 Trust</title>
        <cusip>92922F4F2</cusip>
        <identifiers>
          <isin value="US92922F4F29"/>
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        <balance>89712.96000000</balance>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810QF8</cusip>
        <identifiers>
          <isin value="US912810QF84"/>
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        <balance>46336595.20000000</balance>
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        <curCd>USD</curCd>
        <valUSD>60550334.19000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31394ANT9</cusip>
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          <isin value="US31394ANT96"/>
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        <balance>28250.44000000</balance>
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        <curCd>USD</curCd>
        <valUSD>27970.20000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Chase Mortgage Finance Corporation</name>
        <lei>N/A</lei>
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        <cusip>161630AQ1</cusip>
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          <isin value="US161630AQ16"/>
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        <balance>37127.38000000</balance>
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        <curCd>USD</curCd>
        <valUSD>38365.69000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.62000000</annualizedRt>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-4CB</title>
        <cusip>02148FBX2</cusip>
        <identifiers>
          <isin value="US02148FBX24"/>
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        <balance>1007204.47000000</balance>
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      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>Petrobras Global Finance BV</title>
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        <balance>268000.00000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>9128282L3</cusip>
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          <isin value="US9128282L36"/>
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        <balance>53943996.00000000</balance>
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        <issuerCat>UST</issuerCat>
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        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>PURCHASED KRW / SOLD USD</title>
        <cusip>000000000</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Deutsche Bank Securities Inc.</name>
        <lei>9J6MBOOO7BECTDTUZW19</lei>
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        <name>ROYAL BK SCOTLND GRP PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <fairValLevel>2</fairValLevel>
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        <name>UBS AG</name>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
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      <invstOrSec>
        <name>KVK CLO Ltd</name>
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        <name>BNP Paribas</name>
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        <name>Citibank, National Association</name>
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        <name>SOUTHERN CO GAS CAPITAL</name>
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      <invstOrSec>
        <name>Carlyle Global Market Strategies Euro</name>
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      <invstOrSec>
        <name>Residential Asset Securities Corporation</name>
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      <invstOrSec>
        <name>LCH Limited</name>
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      <invstOrSec>
        <name>BNP Paribas</name>
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        <fairValLevel>2</fairValLevel>
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            <putOrCall>Call</putOrCall>
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            <shareNo>1.00000000</shareNo>
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        <name>GSR Mortgage Loan Trust</name>
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          <isin value="US36242DLF86"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CANADIAN GOVERNMENT RRB</name>
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        <title>Canadian Government Real Return Bond</title>
        <cusip>135087VS0</cusip>
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          <isin value="CA135087VS05"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UMBS, TBA</name>
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        <balance>85200000.00000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-11CB</title>
        <cusip>12667GJJ3</cusip>
        <identifiers>
          <isin value="US12667GJJ31"/>
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        <balance>389111.95000000</balance>
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        <curCd>USD</curCd>
        <valUSD>386778.83000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED BRL / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LTKBCB741"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>Long: SWPC0HWK1 CDS USD R V 03MEVENT FLO SOVEREIGN / Short: SWPC0HWK1 CDS USD P F  1.00000 FIX SOVEREIGN</title>
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          <other otherDesc="Internal Identifier" value="99S17BZC5"/>
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        <balance>8350000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-141480.15000000</valUSD>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Goldman Sachs International</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>Mexico Government International Bond</issuerName>
                <issueTitle>Mexico Government International Bond</issueTitle>
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                  <isin value="US91087BAC46"/>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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        <securityLending>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2007-A1</title>
        <cusip>46630GAJ4</cusip>
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          <isin value="US46630GAJ40"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>PURCHASED TWD / SOLD USD</title>
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          <other otherDesc="Trade Identifier" value="19LFKBBLFW2"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Argent Securities Inc.</name>
        <lei>N/A</lei>
        <title>Argent Securities Trust 2006-W4</title>
        <cusip>040104TG6</cusip>
        <identifiers>
          <isin value="US040104TG69"/>
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        <balance>260614.43000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95109.83000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>NATIONAL RURAL UTIL COOP</name>
        <lei>4NYF266XZC35SCTGX023</lei>
        <title>National Rural Utilities Cooperative Finance Corp</title>
        <cusip>63743HES7</cusip>
        <identifiers>
          <isin value="US63743HES76"/>
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        <balance>100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>100369.29000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>KEURIG DR PEPPER INC</name>
        <lei>DYTQ8KRTKO7Y2BVU5K74</lei>
        <title>Keurig Dr Pepper Inc</title>
        <cusip>49271VAE0</cusip>
        <identifiers>
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        <balance>300000.00000000</balance>
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        <valUSD>306339.83000000</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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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: BWU00JC37 IRS USD R V 03MLIBOR SWUV0JC39 CCPVANILLA / Short: BWU00JC37 IRS USD P F  1.85000 SWU00JC37 CCPVANILLA</title>
        <cusip>000000000</cusip>
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        <valUSD>-28632.15000000</valUSD>
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        <invCountry>US</invCountry>
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            <descRefInstrmnt>
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                <indexName>ICE Libor USD 3 Months</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="0">
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            <notionalAmt>13350000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-28632.15</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-61</title>
        <cusip>12668AVP7</cusip>
        <identifiers>
          <isin value="US12668AVP73"/>
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        <balance>22579.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22445.24000000</valUSD>
        <pctVal>0.000988803894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <name>Eurex Deutschland</name>
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        <name>ICE Futures Europe - Financial Products Division</name>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ICE Futures Europe - Financial Products Division</counterpartyName>
              <counterpartyLei>5R6J7JCQRIPQR1EEP713</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>United Kingdom Gilt</indexName>
                <indexIdentifier>G H0 Comdty</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-27</expDate>
            <notionalAmt>-9403892.49</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>100553.67</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Intercontinental Exchange, Inc.</name>
        <lei>5493000F4ZO33MV32P92</lei>
        <title>Long: SWPC0GNL1 CDS EUR R F  1.00000 1 CCPCORPORATE / Short: SWPC0GNL1 CDS EUR P V 03MEVENT 2 CCPCORPORATE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S10WD06"/>
        </identifiers>
        <balance>890000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>8577.51000000</valUSD>
        <pctVal>0.000377874119</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange, Inc.</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Daimler AG</issuerName>
                <issueTitle>Daimler AG</issueTitle>
                <identifiers>
                  <isin value="DE0007100000"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="296.67000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1"/>
            <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
            <terminationDt>2020-12-20</terminationDt>
            <upfrontPmnt>12029.81</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>890000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-6174.65</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>PURCHASED SGD / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LFKBBL0Z4"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.34397967"/>
        <valUSD>62398.98000000</valUSD>
        <pctVal>0.002748928256</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>5791112.15000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>7867000.00000000</amtCurPur>
            <curPur>SGD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>62398.98</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09FQ31 IRS GBP R F  3.35750 UKRPI/INFLATIONZERO CCP LCH / Short: SWU09FQ31 IRS GBP P V 12MRPI INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0UTEL5"/>
        </identifiers>
        <balance>2900000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>173483.26000000</valUSD>
        <pctVal>0.007642641521</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.3575"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2035-04-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-49535.42</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>2900000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>238045.22</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD PEN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LKKBCCWTK"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.32001451"/>
        <valUSD>-29454.48000000</valUSD>
        <pctVal>-0.00129758935</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>7267016.90000000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>2159396.46000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-04</settlementDt>
            <unrealizedAppr>-29454.48</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Delta Air Lines Inc</name>
        <lei>Q2CCMS6R0AS67HJMBN42</lei>
        <title>Delta Air Lines Inc</title>
        <cusip>247361ZL5</cusip>
        <identifiers>
          <isin value="US247361ZL55"/>
        </identifiers>
        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>401153.11000000</valUSD>
        <pctVal>0.017672422197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.60000000</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>Osaka Exchange</name>
        <lei>3538001249AILNPRUX57</lei>
        <title>JPN 10Y BOND(OSE) MAR20 XOSE 20200313</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1CSB04"/>
        </identifiers>
        <balance>-17.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.65500000"/>
        <valUSD>2613.59000000</valUSD>
        <pctVal>0.000115139244</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Osaka Exchange</counterpartyName>
              <counterpartyLei>3538001249AILNPRUX57</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Japan Government Ten Year Bond</indexName>
                <indexIdentifier>JBH0 Comdty</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-13</expDate>
            <notionalAmt>-2587343980</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>2613.59</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS AG</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>PURCHASED MXN / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LGKBBWD7D"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="19.02027142"/>
        <valUSD>3760.17000000</valUSD>
        <pctVal>0.000165650745</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>196815.31000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3815000.00000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2020-02-12</settlementDt>
            <unrealizedAppr>3760.17</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Eurex Deutschland</name>
        <lei>529900LN3S50JPU47S06</lei>
        <title>EURO-BOBL FUTURE  MAR20 XEUR 20200306</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1CV6L7"/>
        </identifiers>
        <balance>-458.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>202433.55000000</valUSD>
        <pctVal>0.008918019263</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex Deutschland</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-Bobl (FGBM)</indexName>
                <indexIdentifier>OEH0 Comdty</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-06</expDate>
            <notionalAmt>-61383010.32</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>202433.55</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NCUA Guaranteed Notes</name>
        <lei>N/A</lei>
        <title>NCUA Guaranteed Notes Trust 2010-R3</title>
        <cusip>62888WAB2</cusip>
        <identifiers>
          <isin value="US62888WAB28"/>
        </identifiers>
        <balance>2454444.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2455615.80000000</valUSD>
        <pctVal>0.108179839795</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-08</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.27000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU02Y100 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU02Y100 IRS USD P F  2.26325 INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S11RZR3"/>
        </identifiers>
        <balance>13492000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-314401.78000000</valUSD>
        <pctVal>-0.01385067411</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.26325"/>
            <terminationDt>2023-04-27</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-2799.78</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>13492000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-311602</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09TJ13 IRS GBP R F  3.32500 INFLATIONZERO CCP LCH / Short: SWU09TJ13 IRS GBP P V 12MUKPRI INFLATIONZERO UKRPI CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0U6BU8"/>
        </identifiers>
        <balance>12100000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>312639.34000000</valUSD>
        <pctVal>0.013773031479</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.325"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-08-15</terminationDt>
            <upfrontPmnt>86489.27</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>12100000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>198975.12</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>First Franklin Mtg Loan Asset Backed Certificates</name>
        <lei>N/A</lei>
        <title>First Franklin Mortgage Loan Trust 2006-FF17</title>
        <cusip>32028KAB2</cusip>
        <identifiers>
          <isin value="US32028KAB26"/>
        </identifiers>
        <balance>12738174.77000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10940411.96000000</valUSD>
        <pctVal>0.481969538205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
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          <other otherDesc="Trade Identifier" value="19LHKBBQ10M"/>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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            <amtCurSold>373121664.16000000</amtCurSold>
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      </invstOrSec>
      <invstOrSec>
        <name>General Electric Co</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
        <title>General Electric Co</title>
        <cusip>36962G2T0</cusip>
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          <isin value="US36962G2T02"/>
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        <balance>1100000.00000000</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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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>ASX - Trade24</name>
        <lei>549300USWUR0S7VMM868</lei>
        <title>AUST 3YR BOND FUT MAR20 XSFE 20200316</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1FZGH3"/>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <fairValLevel>1</fairValLevel>
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          <futrDeriv derivCat="FUT">
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            <payOffProf>Short</payOffProf>
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                <indexName>3 Year Commonwealth Treasury Bond</indexName>
                <indexIdentifier>YMH0 Comdty</indexIdentifier>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
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          <other otherDesc="Internal Identifier" value="99S1BQ738"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Barclays Bank PLC</name>
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          <other otherDesc="Trade Identifier" value="19LKKBBR05S"/>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Structured Pass Through Securities</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Pass-Through Certificates</title>
        <cusip>3133TSQG1</cusip>
        <identifiers>
          <isin value="US3133TSQG11"/>
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        <balance>28369.67000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810QP6</cusip>
        <identifiers>
          <isin value="US912810QP66"/>
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        <balance>12655396.20000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16665097.64000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.13000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Structured Asset Mortgage Investments Inc</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust 2004-AR5</title>
        <cusip>86359LDX4</cusip>
        <identifiers>
          <isin value="US86359LDX47"/>
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        <balance>51779.34000000</balance>
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        <curCd>USD</curCd>
        <valUSD>51970.74000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>Residential Accredit Loans, Inc.</name>
        <lei>N/A</lei>
        <title>RALI Series 2007-QH8 Trust</title>
        <cusip>74924EAA5</cusip>
        <identifiers>
          <isin value="US74924EAA55"/>
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        <balance>1131511.06000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>317U935T9 IRO USD 5Y C 1.40400 MAR20 1.404 CALL</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI658922"/>
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        <balance>-61130000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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      <invstOrSec>
        <name>KOMATSU FINANCE AMERICA</name>
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      <invstOrSec>
        <name>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>PURCHASED USD / SOLD MXN</title>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31396V4Q8</cusip>
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          <isin value="US31396V4Q81"/>
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        <balance>246075.40000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Asset Mortgage Investments Inc</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust 2006-AR5</title>
        <cusip>86360JAA9</cusip>
        <identifiers>
          <isin value="US86360JAA97"/>
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      <invstOrSec>
        <name>Morgan Stanley &amp; Co. LLC</name>
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        <fairValLevel>1</fairValLevel>
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        <name>Wind River CLO Ltd</name>
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      <invstOrSec>
        <name>Residential Accredit Loans, Inc.</name>
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      <invstOrSec>
        <name>LCH Limited</name>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
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          <isin value="US46632TAA34"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Sempra Energy</name>
        <lei>PBBKGKLRK5S5C0Y4T545</lei>
        <title>Sempra Energy</title>
        <cusip>816851BF5</cusip>
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          <isin value="US816851BF50"/>
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        <balance>500000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
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        <title>CSMC Series 2007-4R</title>
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          <isin value="US12639QAA40"/>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0TY838 IRS GBP R F  3.57900 SWUVTY830 CCPINFLATIONZERO / Short: SWU0TY838 IRS GBP P V 01MUKRPI SWU0TY838 CCPINFLATIONZERO</title>
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        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust 2005-13</title>
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          <isin value="US41161PWB56"/>
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        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <name>Credit Suisse International</name>
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        <name>WAMU Mortgage Pass-Through Certificates</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810RF75"/>
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        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>PURCHASED KRW / SOLD USD</title>
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      <invstOrSec>
        <name>RELX Capital Inc</name>
        <lei>2R15C3RTKJN1RCBOV146</lei>
        <title>RELX Capital Inc</title>
        <cusip>74949LAB8</cusip>
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          <isin value="US74949LAB80"/>
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        <balance>300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>311757.50000000</valUSD>
        <pctVal>0.013734182849</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</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>INTL LEASE FINANCE CORP</name>
        <lei>N/A</lei>
        <title>International Lease Finance Corp</title>
        <cusip>459745GF6</cusip>
        <identifiers>
          <isin value="US459745GF62"/>
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        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>951419.39000000</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>2020-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit-Based Asset Servicing and Securitization</name>
        <lei>N/A</lei>
        <title>Credit-Based Asset Servicing &amp; Securitization LLC</title>
        <cusip>1248RHAC1</cusip>
        <identifiers>
          <isin value="US1248RHAC14"/>
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        <balance>1907899.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1270116.73000000</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>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01000000</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>Soundview Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>Soundview Home Loan Trust 2007-OPT1</title>
        <cusip>83612TAA0</cusip>
        <identifiers>
          <isin value="US83612TAA07"/>
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        <balance>2701822.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2132544.46000000</valUSD>
        <pctVal>0.093947236387</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>Floating</couponKind>
          <annualizedRt>1.99000000</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>Ford Motor Credit Co LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>Ford Motor Credit Co LLC</title>
        <cusip>345397XK4</cusip>
        <identifiers>
          <isin value="US345397XK41"/>
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        <balance>1200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1204742.04000000</valUSD>
        <pctVal>0.053073775173</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.16000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU086774 IRS USD R V 01MUSCPI SWU086774 CCPINFLATIONZERO / Short: BWU086774 IRS USD P F  1.99750 SWUV86776 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S17KDI6"/>
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        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-9683.78000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
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            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-9683.78</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Deutsche Bank Securities Inc.</name>
        <lei>9J6MBOOO7BECTDTUZW19</lei>
        <title>DEUTSCHE BANK REPO REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99FYXY002"/>
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        <balance>10600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10600000.00000000</valUSD>
        <pctVal>0.466973010125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="9J6MBOOO7BECTDTUZW19" name="Deutsche Bank Securities Inc."/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>1.85000000</repurchaseRt>
          <maturityDt>2020-01-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8555000.00000000</principalAmt>
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              <collateralVal>10685562.87000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
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        </repurchaseAgrmt>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MEX BONOS DESARR FIX RT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>Mexican Bonos</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="MX0MGO0000P2"/>
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        <balance>97900000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="MXN" exchangeRt="18.90750000"/>
        <valUSD>5523460.27000000</valUSD>
        <pctVal>0.243330836659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75000000</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>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>3600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3621365.71000000</valUSD>
        <pctVal>0.159535853430</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>2.66000000</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>WAMU Mortgage Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2006-AR15 Trust</title>
        <cusip>93363QAC2</cusip>
        <identifiers>
          <isin value="US93363QAC24"/>
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        <balance>161443.04000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>162095.25000000</valUSD>
        <pctVal>0.007140953473</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.63000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>NISSAN MOTOR ACCEPTANCE</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
        <title>Nissan Motor Acceptance Corp</title>
        <cusip>654740AZ2</cusip>
        <identifiers>
          <isin value="US654740AZ24"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100263.99000000</valUSD>
        <pctVal>0.004417035586</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>Cooperatieve Rabobank UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>Cooperatieve Rabobank UA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1400626690"/>
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        <balance>1600000.00000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Venture CDO Ltd</name>
        <lei>549300LQ92YS70N4PB21</lei>
        <title>Venture XX CLO Ltd</title>
        <cusip>92330JCC8</cusip>
        <identifiers>
          <isin value="US92330JCC80"/>
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        <balance>6290757.99000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6277773.87000000</valUSD>
        <pctVal>0.276561411411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82000000</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>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810FD5</cusip>
        <identifiers>
          <isin value="US912810FD55"/>
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        <balance>30499278.30000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39010618.87000000</valUSD>
        <pctVal>1.718576049111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.63000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Symphony CLO Ltd</name>
        <lei>54930085JMJSZBQ6N270</lei>
        <title>Symphony CLO XIV Ltd</title>
        <cusip>87159QBV9</cusip>
        <identifiers>
          <isin value="US87159QBV95"/>
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        <balance>1600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1600056.00000000</valUSD>
        <pctVal>0.070488959121</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00NBN5 IRS USD R V 03MLIBOR SWUV0NBN7 CCPVANILLA / Short: BWU00NBN5 IRS USD P F  2.25000 SWU00NBN5 CCPVANILLA</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S0ZOBR1"/>
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        <balance>28730000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-916981.16000000</valUSD>
        <pctVal>-0.04039674080</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>LSI OPEN POSITION NET ASSET LSIOPNTA5</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MITSUBISHI UFJ FIN GRP</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <title>Fannie Mae Pool</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Hawksmoor Mortgages plc</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Wind River CLO Ltd</name>
        <lei>54930043UF2EELTNOD60</lei>
        <title>THL Credit Wind River 2012-1 CLO Ltd</title>
        <cusip>87244ABL3</cusip>
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          <isin value="US87244ABL35"/>
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        <curCd>USD</curCd>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>PURCHASED TWD / SOLD USD</title>
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      <invstOrSec>
        <name>Societe Generale</name>
        <lei>O2RNE8IBXP4R0TD8PU41</lei>
        <title>PURCHASED RUB / SOLD USD</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Morgan Stanley &amp; Co. LLC</name>
        <lei>9R7GPTSO7KV3UQJZQ078</lei>
        <title>RXH0C172 MAR20 172 CALL FSO</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="AEI743922"/>
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        <balance>-133.00000000</balance>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>NISSAN MOTOR ACCEPTANCE</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
        <title>Nissan Motor Acceptance Corp</title>
        <cusip>654740AS8</cusip>
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          <isin value="US654740AS80"/>
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        <balance>100000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust</title>
        <cusip>863579JG4</cusip>
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          <isin value="US863579JG47"/>
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        <balance>72340.96000000</balance>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgages Trust</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust 2003-6</title>
        <cusip>576433GC4</cusip>
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          <isin value="US576433GC48"/>
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        <balance>70705.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>69636.81000000</valUSD>
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        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>UBS Switzerland AG</name>
        <lei>549300WOIFUSNYH0FL22</lei>
        <title>PURCHASED USD / SOLD DKK</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19CQKBBTNG4"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <amtCurSold>62365000.00000000</amtCurSold>
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            <amtCurPur>9762969.53000000</amtCurPur>
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            <settlementDt>2020-04-01</settlementDt>
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      </invstOrSec>
      <invstOrSec>
        <name>Eurosail PLC</name>
        <lei>213800YCKG3TNT5E1296</lei>
        <title>Eurosail-UK 2007-3bl PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS0308666493"/>
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        <balance>1872619.53000000</balance>
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        <valUSD>2471040.71000000</valUSD>
        <pctVal>0.108859369668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.73000000</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>Home Equity Asset Trust</name>
        <lei>N/A</lei>
        <title>Home Equity Asset Trust</title>
        <cusip>437084CE4</cusip>
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          <isin value="US437084CE47"/>
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        <balance>584558.30000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>581299.04000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.65000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Avery Point CLO Ltd</name>
        <lei>549300RWY6OWBAXCT467</lei>
        <title>Avery Point IV CLO Ltd</title>
        <cusip>05363UAS2</cusip>
        <identifiers>
          <isin value="US05363UAS24"/>
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        <balance>3873453.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3871679.25000000</valUSD>
        <pctVal>0.170563180529</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.04000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD COP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KNKBB13NM"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3292.51758620"/>
        <valUSD>-555029.86000000</valUSD>
        <pctVal>-0.02445131739</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>36460572500.00000000</amtCurSold>
            <curSold>COP</curSold>
            <amtCurPur>10518737.11000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-14</settlementDt>
            <unrealizedAppr>-555029.86</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SPRINT SPECTRUM / SPEC I</name>
        <lei>N/A</lei>
        <title>Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC</title>
        <cusip>85208NAA8</cusip>
        <identifiers>
          <isin value="US85208NAA81"/>
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        <balance>43750.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44139.38000000</valUSD>
        <pctVal>0.001944518787</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.36000000</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>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2019-RPL9 Trust</title>
        <cusip>12654WAC7</cusip>
        <identifiers>
          <isin value="US12654WAC73"/>
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        <balance>3185057.51000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3179832.74000000</valUSD>
        <pctVal>0.140084534555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-27</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.32000000</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>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: BWU00PU09 IRS USD R V 03MLIBOR SWUV0PU01 CCPVANILLA / Short: BWU00PU09 IRS USD P F  2.15000 SWU00PU09 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S12P433"/>
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        <balance>2410000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-30044.99000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="1655.7">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <fixedPmntDesc amount="-1727.17000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.15"/>
            <terminationDt>2048-06-19</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2410000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-30044.99</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09TR71 IRS GBP R F  3.47000 INF ZERO CCP LCH / Short: SWU09TR71 IRS GBP P V 00MUKRPI UKRPI INF ZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0YCTL2"/>
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        <balance>7240000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>285045.28000000</valUSD>
        <pctVal>0.012557401172</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.47"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
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            <terminationDt>2032-09-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-17493.22</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>7240000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>308140.22</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Soundview Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>Soundview Home Loan Trust 2006-NLC1</title>
        <cusip>83611DAA6</cusip>
        <identifiers>
          <isin value="US83611DAA63"/>
        </identifiers>
        <balance>47100.92000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19202.69000000</valUSD>
        <pctVal>0.000845956410</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.85000000</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 Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2007-A1</title>
        <cusip>46630GAA3</cusip>
        <identifiers>
          <isin value="US46630GAA31"/>
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        <balance>97324.78000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100605.44000000</valUSD>
        <pctVal>0.004432077844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.56000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>3175BB530 INF FLR FWD US YOY OCT20 0.0000001 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99ZN47062"/>
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        <balance>-14900000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1.49000000</valUSD>
        <pctVal>-0.00000006564</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
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            <shareNo>1.00000000</shareNo>
            <exercisePrice>0.00001</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-10-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>275007.81</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIT Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>CIT Mortgage Loan Trust 2007-1</title>
        <cusip>12559QAA0</cusip>
        <identifiers>
          <isin value="US12559QAA04"/>
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        <balance>3490043.53000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3519400.38000000</valUSD>
        <pctVal>0.155043866913</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.14000000</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>Bear Stearns Asset Backed Securities Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns Asset Backed Securities I Trust 2005-HE12</title>
        <cusip>0738795R5</cusip>
        <identifiers>
          <isin value="US0738795R50"/>
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        <balance>170379.74000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>169924.23000000</valUSD>
        <pctVal>0.007485851809</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.29000000</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>549300YK6GOQU7FJ5N55</lei>
        <title>SLM Student Loan Trust 2004-3</title>
        <cusip>78442GLL8</cusip>
        <identifiers>
          <isin value="US78442GLL85"/>
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        <balance>3700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3635188.95000000</valUSD>
        <pctVal>0.160144823241</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2064-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49000000</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 2005-9</title>
        <cusip>41161PSV6</cusip>
        <identifiers>
          <isin value="US41161PSV66"/>
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        <balance>292280.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>290813.57000000</valUSD>
        <pctVal>0.012811517751</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.36000000</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"/>
        </identifiers>
        <balance>900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>915155.97000000</valUSD>
        <pctVal>0.040316333777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.93000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0Z7004 IRS USD R F  2.37000 SWUVZ7006 CCPINFLATIONZERO / Short: SWU0Z7004 IRS USD P V 12MUSCPI SWU0Z7004 CCPINFLATIONZERO</title>
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          <other otherDesc="Internal Identifier" value="99S12GQU9"/>
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        <balance>6400000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <valUSD>297337.86000000</valUSD>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
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              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-1136.84</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>298474.7</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0X8558 IRS EUR R F  1.95000 SWUVX8550 CCPINFLATIONZERO / Short: SWU0X8558 IRS EUR P V 01MCPTFE SWU0X8558 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S15EMF8"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-stat Eurozone HICP ex Tobacco NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            <notionalAmt>2040000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>418245.16</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Securitized Asset Backed Receivables LLC Trust</name>
        <lei>N/A</lei>
        <title>Securitized Asset Backed Receivables LLC Trust 2006-HE1</title>
        <cusip>81376YAD3</cusip>
        <identifiers>
          <isin value="US81376YAD31"/>
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        <balance>3830553.56000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1982925.51000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.95000000</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>NXP BV/NXP FUNDING LLC</name>
        <lei>N/A</lei>
        <title>NXP BV / NXP Funding LLC</title>
        <cusip>62947QAV0</cusip>
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          <isin value="US62947QAV05"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>213679.58000000</valUSD>
        <pctVal>0.009413452516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.63000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Mellon Residential Funding Corporation</name>
        <lei>N/A</lei>
        <title>Mellon Residential Funding Corp Mor Pas Thr Cer Ser 01 Tbc1</title>
        <cusip>585525FC7</cusip>
        <identifiers>
          <isin value="US585525FC72"/>
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        <balance>121464.30000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>122578.92000000</valUSD>
        <pctVal>0.005400098797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-15</maturityDt>
          <couponKind>Floating</couponKind>
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          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GreenPoint Mortgage Funding Trust</name>
        <lei>N/A</lei>
        <title>GreenPoint Mortgage Funding Trust Series 2006-AR4</title>
        <cusip>39539FAK0</cusip>
        <identifiers>
          <isin value="US39539FAK03"/>
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        <balance>524411.14000000</balance>
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        <curCd>USD</curCd>
        <valUSD>501567.00000000</valUSD>
        <pctVal>0.022096061487</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>1.97000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Legacy Mortgage Asset Trust</name>
        <lei>N/A</lei>
        <title>Legacy Mortgage Asset Trust 2019-GS3</title>
        <cusip>52474WAA5</cusip>
        <identifiers>
          <isin value="US52474WAA53"/>
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        <balance>552276.34000000</balance>
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        <curCd>USD</curCd>
        <valUSD>556622.26000000</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>
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          <couponKind>Variable</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Conagra Brands Inc</name>
        <lei>54930035UDEIH090K650</lei>
        <title>Conagra Brands Inc</title>
        <cusip>205887BZ4</cusip>
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          <isin value="US205887BZ43"/>
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        <balance>3200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3301342.43000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.80000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NORDEA KREDIT REALKREDIT</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>Nordea Kredit Realkreditaktieselskab</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DK0002044551"/>
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        <balance>70615114.08000000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.66185000"/>
        <valUSD>10414426.86000000</valUSD>
        <pctVal>0.458797760334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</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>UBS AG</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>PURCHASED USD / SOLD JPY</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LLKBBSJ34"/>
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        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="108.63567142"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>UBS AG</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU084936 IRS GBP R F  3.57200 SWUV84938 CCPINFLATIONZERO / Short: SWU084936 IRS GBP P V 01MUKRPI SWU084936 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S18ILR1"/>
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        <balance>1230000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
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              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0Y9266 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU0Y9266 IRS USD P F  2.21000 INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
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        <fairValLevel>2</fairValLevel>
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              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
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            <upfrontRcpt>0</upfrontRcpt>
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            <notionalAmt>25780000</notionalAmt>
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            <unrealizedAppr>-445338.93</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust Inc</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2019-B</title>
        <cusip>17327VAA9</cusip>
        <identifiers>
          <isin value="US17327VAA98"/>
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        <balance>577976.16000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>578477.73000000</valUSD>
        <pctVal>0.025484291214</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2066-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.26000000</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>FREDDIEMAC STRIP</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Strips</title>
        <cusip>3132HTBH8</cusip>
        <identifiers>
          <isin value="US3132HTBH86"/>
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        <balance>4396762.85000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4399503.44000000</valUSD>
        <pctVal>0.193815977776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.19000000</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>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>PURCHASED USD / SOLD SGD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LAKBBMCCN"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.34397967"/>
        <valUSD>-100202.96000000</valUSD>
        <pctVal>-0.00441434696</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>7931254.00000000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>5801116.93000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-100202.96</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLH OPEN POSITION SLHPRNTA9 SLHPRNTA9 LBI POST DISTRIBUTIO</name>
        <lei>N/A</lei>
        <title>SLH OPEN POSITION SLHPRNTA9 SLHPRNTA9 LBI POST DISTRIBUTIO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="976EKGII5"/>
        </identifiers>
        <balance>848723.15000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13155.21000000</valUSD>
        <pctVal>0.000579540378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-12-31</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</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>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>PURCHASED USD / SOLD DKK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19ITKBBQV8L"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.66185000"/>
        <valUSD>-990915.08000000</valUSD>
        <pctVal>-0.04365382997</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>374080000.00000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>55161655.15000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-02</settlementDt>
            <unrealizedAppr>-990915.08</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Springleaf Finance Corp</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>Springleaf Finance Corp</title>
        <cusip>85172FAD1</cusip>
        <identifiers>
          <isin value="US85172FAD15"/>
        </identifiers>
        <balance>1100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1194875.00000000</valUSD>
        <pctVal>0.052639092025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.75000000</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>Banco Santander SA</name>
        <lei>5493006QMFDDMYWIAM13</lei>
        <title>Banco Santander SA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1107291541"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>119305.13000000</valUSD>
        <pctVal>0.005255875064</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-11</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.25000000</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>Great Hall Mortgages PLC</name>
        <lei>213800TM9KICQKGTYR78</lei>
        <title>Great Hall Mortgages No 1 PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS0288626525"/>
        </identifiers>
        <balance>149926.51000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>194868.02000000</valUSD>
        <pctVal>0.008584726969</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.92000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0C8452 IRS USD R V 12MCPI INFLATIONZERO CCP LCH / Short: BWU0C8452 IRS USD P F  2.02125 CPURNSA/INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0UTWC5"/>
        </identifiers>
        <balance>10400000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>14694.47000000</valUSD>
        <pctVal>0.000647351027</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.02125"/>
            <terminationDt>2020-11-25</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>10400000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>14694.47</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <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 2005-A6</title>
        <cusip>466247TZ6</cusip>
        <identifiers>
          <isin value="US466247TZ61"/>
        </identifiers>
        <balance>34103.61000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33722.05000000</valUSD>
        <pctVal>0.001485593131</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.21000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP Trust</name>
        <lei>N/A</lei>
        <title>GSAMP Trust 2005-WMC1</title>
        <cusip>362341PU7</cusip>
        <identifiers>
          <isin value="US362341PU74"/>
        </identifiers>
        <balance>226713.54000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>226143.67000000</valUSD>
        <pctVal>0.009962546254</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>2.53000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00MME5 IRS USD R V 12MFEDL SWUV0MME7 CCPOIS / Short: BWU00MME5 IRS USD P F  2.00000 SWU00MME5 CCPOIS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0YE1O2"/>
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        <balance>9630000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-289557.73000000</valUSD>
        <pctVal>-0.01275619290</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US Federal Funds Effective Rate</indexName>
                <indexIdentifier>FEDL01 Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate" floatingRtSpread="0" pmntAmt="6219.37">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            <fixedPmntDesc amount="-8025.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2"/>
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            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>9630000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-311640.98</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Sequoia Mortgage Trust 5</title>
        <cusip>81743WAA9</cusip>
        <identifiers>
          <isin value="US81743WAA99"/>
        </identifiers>
        <balance>29625.20000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29238.81000000</valUSD>
        <pctVal>0.001288088218</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.11000000</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>PETROBRAS GLOBAL FINANCE</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>Petrobras Global Finance BV</title>
        <cusip>71647NBF5</cusip>
        <identifiers>
          <isin value="US71647NBF50"/>
        </identifiers>
        <balance>4897000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5247184.47000000</valUSD>
        <pctVal>0.231159766664</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.09000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>OCP CLO Ltd</name>
        <lei>254900FZYL5HDKV64882</lei>
        <title>OCP CLO 2015-10 Ltd</title>
        <cusip>67092DAL3</cusip>
        <identifiers>
          <isin value="US67092DAL38"/>
        </identifiers>
        <balance>250000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>249721.50000000</valUSD>
        <pctVal>0.011001245334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.76000000</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>Towd Point Mortgage Funding</name>
        <lei>635400655NWVVZHH1395</lei>
        <title>Towd Point Mortgage Funding 2019 - Granite4 PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1968576568"/>
        </identifiers>
        <balance>8533701.19000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>11343064.65000000</valUSD>
        <pctVal>0.499708022986</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-10-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.82000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU086766 IRS EUR R F  1.57000 SWUV86768 CCPINFLATIONZERO / Short: SWU086766 IRS EUR P V 01MCPTFE SWU086766 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S17HX00"/>
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        <balance>590000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
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        <name>United States Treasury</name>
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        <name>TSY 1 1/4% 2027 I/L GILT</name>
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        <name>UBS AG</name>
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        <name>LCH Limited</name>
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        <name>Fannie Mae</name>
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        <name>United States Treasury</name>
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        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0SH562 IRS USD R V 12MUSCPI SWU0SH562 CCPINFLATIONZERO / Short: BWU0SH562 IRS USD P F  1.59200 SWUVSH564 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1AUER9"/>
        </identifiers>
        <balance>28400000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>116801.53000000</valUSD>
        <pctVal>0.005145581325</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="721" resetDt="Day" resetDtUnit="721"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.592"/>
            <terminationDt>2021-09-20</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-2029.32</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>28400000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>118830.85</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>TEVA PHARMA FIN IV LLC</name>
        <lei>529900KCE2ZG6KQY0441</lei>
        <title>Teva Pharmaceutical Finance IV LLC</title>
        <cusip>88166HAD9</cusip>
        <identifiers>
          <isin value="US88166HAD98"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100059.00000000</valUSD>
        <pctVal>0.004408004945</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>PURCHASED COP / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19JCKBB234Q"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3288.83333333"/>
        <valUSD>612394.92000000</valUSD>
        <pctVal>0.026978481054</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>CO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <amtCurSold>10453623.80000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>36394291250.00000000</amtCurPur>
            <curPur>COP</curPur>
            <settlementDt>2020-01-15</settlementDt>
            <unrealizedAppr>612394.92</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust Inc</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2007-AR4</title>
        <cusip>17311WAA5</cusip>
        <identifiers>
          <isin value="US17311WAA53"/>
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        <balance>3053097.03000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3005693.12000000</valUSD>
        <pctVal>0.132412977713</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.54000000</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 Chase Commercial Mortgage Sec Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12</title>
        <cusip>46651QAA5</cusip>
        <identifiers>
          <isin value="US46651QAA58"/>
        </identifiers>
        <balance>2000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1999583.00000000</valUSD>
        <pctVal>0.088089744576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.19000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU045A19 IRS GBP R F  3.59000 SWUV45A11 CCPINFLATIONZERO / Short: SWU045A19 IRS GBP P V 01MUKRPI SWU045A19 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S18V5L3"/>
        </identifiers>
        <balance>2200000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
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        <pctVal>0.010948391479</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.59"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="1" resetDt="Month" resetDtUnit="1"/>
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            <terminationDt>2039-06-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>2200000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>248521.75</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>New Residential Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust 2019-RPL3</title>
        <cusip>64830NAA9</cusip>
        <identifiers>
          <isin value="US64830NAA90"/>
        </identifiers>
        <balance>8867343.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8868336.06000000</valUSD>
        <pctVal>0.390686187239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>3174589Z2 ITRAXX.O P 0.80 EU32 FEB20 0.8 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI678524"/>
        </identifiers>
        <balance>-4600000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-470.93000000</valUSD>
        <pctVal>-0.00002074637</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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                  <derivAddlInfo>
                    <name>Intercontinental Exchange</name>
                    <lei>5493000F4ZO33MV32P92</lei>
                    <title>CDX Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="AEI678524E"/>
                    </identifiers>
                    <balance>4600000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
                    <valUSD>-470.93000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>iTraxx Europe S32.V1</indexName>
                      <indexIdentifier>2I666VCV5</indexIdentifier>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
                  <terminationDt>2024-06-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>4600000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>0.8</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6503.92</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Eurex Deutschland</name>
        <lei>529900LN3S50JPU47S06</lei>
        <title>EURO-OAT FUTURE   MAR20 XEUR 20200306</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1CSHL2"/>
        </identifiers>
        <balance>-4.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>9619.88000000</valUSD>
        <pctVal>0.000423794747</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex Deutschland</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-OAT</indexName>
                <indexIdentifier>OATH0 Comdty</indexIdentifier>
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            </descRefInstrmnt>
            <expDate>2020-03-06</expDate>
            <notionalAmt>-659656.16</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>9619.88</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>State of Qatar</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>Qatar Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1806502453"/>
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        <balance>2500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2639155.00000000</valUSD>
        <pctVal>0.116265486277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>3.88000000</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>RAAC Series</name>
        <lei>N/A</lei>
        <title>RAAC Series 2006-SP3 Trust</title>
        <cusip>74919QAD9</cusip>
        <identifiers>
          <isin value="US74919QAD97"/>
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        <balance>517765.20000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>523075.61000000</valUSD>
        <pctVal>0.023043603030</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>2.13000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>3174589Q2 ITRAXX.O P 0.80 EU32 FEB20 0.8 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI687137"/>
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        <balance>-1800000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-184.28000000</valUSD>
        <pctVal>-0.00000811828</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
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                  <derivAddlInfo>
                    <name>Intercontinental Exchange</name>
                    <lei>5493000F4ZO33MV32P92</lei>
                    <title>CDX Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="AEI687137E"/>
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                    <balance>1800000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
                    <valUSD>-184.28000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>iTraxx Europe S32.V1</indexName>
                      <indexIdentifier>2I666VCV5</indexIdentifier>
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                  <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
                  <terminationDt>2024-06-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>1800000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
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            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>0.8</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-02-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3430.55</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Banc of America Funding Corporation</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Chicago Board of Trade</name>
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        <fairValLevel>1</fairValLevel>
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        <name>Saxon Asset Securities Trust</name>
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          <isin value="US80557BAA26"/>
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        <name>Jamestown CLO Ltd</name>
        <lei>2549008V3F2S2MZWTX88</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>Bank of America Corp</name>
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      <invstOrSec>
        <name>VMware Inc</name>
        <lei>549300BUDHS3LRWBE814</lei>
        <title>VMware Inc</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Springleaf Finance Corp</name>
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        <fairValLevel>2</fairValLevel>
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        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
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        <name>Chicago Board of Trade</name>
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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <name>First Horizon Alternative Mortgage Securities</name>
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        <name>CVP Cascade CLO Ltd</name>
        <lei>254900KC4K0L2UHEOP63</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <name>NYKREDIT REALKREDIT AS</name>
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        <name>LCH Limited</name>
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        <name>Citibank, National Association</name>
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        <name>NCUA Guaranteed Notes</name>
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        <name>SLM Student Loan Trust</name>
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        <name>Textron Inc</name>
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        <name>Citigroup Global Markets Inc.</name>
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        <name>Morgan Stanley Capital Inc</name>
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        <name>AVOLON HOLDINGS FNDG LTD</name>
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      <invstOrSec>
        <name>Air Lease Corp</name>
        <lei>5493004NW4M4P8TMMK63</lei>
        <title>Air Lease Corp</title>
        <cusip>00912XAZ7</cusip>
        <identifiers>
          <isin value="US00912XAZ78"/>
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        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>502210.45000000</valUSD>
        <pctVal>0.022124408071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: SWU00UFR6 IRS USD R F  1.84300 SWU00UFR6 CCPVANILLA / Short: SWU00UFR6 IRS USD P V 03MLIBOR SWUV0UFR8 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S18XMR7"/>
        </identifiers>
        <balance>57350000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>329191.29000000</valUSD>
        <pctVal>0.014502212037</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.843"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            </floatingPmntDesc>
            <terminationDt>2025-02-24</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>57350000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>329191.29</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CRED SUIS GP FUN LTD</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd</title>
        <cusip>225433AH4</cusip>
        <identifiers>
          <isin value="US225433AH43"/>
        </identifiers>
        <balance>6600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6868010.09000000</valUSD>
        <pctVal>0.302563711820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.80000000</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>Voya CLO Ltd</name>
        <lei>5493000X4YEVJOIVRG48</lei>
        <title>Voya CLO 2014-3 Ltd</title>
        <cusip>92912QAG1</cusip>
        <identifiers>
          <isin value="US92912QAG10"/>
        </identifiers>
        <balance>2857702.49000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2853101.59000000</valUSD>
        <pctVal>0.125690701667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.66000000</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>ENEL FINANCE INTL NV</name>
        <lei>0YQH6LCEF474UTUV4B96</lei>
        <title>Enel Finance International NV</title>
        <cusip>29278GAB4</cusip>
        <identifiers>
          <isin value="US29278GAB41"/>
        </identifiers>
        <balance>500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>506223.26000000</valUSD>
        <pctVal>0.022301188633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.88000000</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 2005-A6</title>
        <cusip>466247UG6</cusip>
        <identifiers>
          <isin value="US466247UG61"/>
        </identifiers>
        <balance>180653.17000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>178109.63000000</valUSD>
        <pctVal>0.007846451891</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.21000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0C8486 IRS USD R V 12MCPI CPURNSA/INFLATIONZERO CCP LCH / Short: BWU0C8486 IRS USD P F  1.60250 INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0WIW94"/>
        </identifiers>
        <balance>5870000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>115258.57000000</valUSD>
        <pctVal>0.005077607676</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.6025"/>
            <terminationDt>2021-09-12</terminationDt>
            <upfrontPmnt>176800.08</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5870000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-61541.51</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Opteum Mortgage Acceptance Corporation</name>
        <lei>N/A</lei>
        <title>Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates 2005-2</title>
        <cusip>68383NBB8</cusip>
        <identifiers>
          <isin value="US68383NBB82"/>
        </identifiers>
        <balance>2000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2000033.20000000</valUSD>
        <pctVal>0.088109577712</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.84000000</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>Venture XXI CLO</name>
        <lei>5493001C8B2BF8JNTO68</lei>
        <title>Venture XXI CLO Ltd</title>
        <cusip>92330MAL3</cusip>
        <identifiers>
          <isin value="US92330MAL37"/>
        </identifiers>
        <balance>2590577.49000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2585502.55000000</valUSD>
        <pctVal>0.113901878156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.88000000</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>Tralee CLO Ltd</name>
        <lei>5493005N95XEN3CRVT47</lei>
        <title>Tralee CLO III Ltd</title>
        <cusip>89300ABA4</cusip>
        <identifiers>
          <isin value="US89300ABA43"/>
        </identifiers>
        <balance>3200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3198419.20000000</valUSD>
        <pctVal>0.140903343534</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</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 Alt-A Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ALT-A Trust 2005-7</title>
        <cusip>07386HVS7</cusip>
        <identifiers>
          <isin value="US07386HVS74"/>
        </identifiers>
        <balance>697575.17000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>573527.05000000</valUSD>
        <pctVal>0.025266193672</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.10000000</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>Southern Power Co</name>
        <lei>5LADC78JBG2BMZD5XF57</lei>
        <title>Southern Power Co</title>
        <cusip>843646AV2</cusip>
        <identifiers>
          <isin value="US843646AV22"/>
        </identifiers>
        <balance>2200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2200536.40000000</valUSD>
        <pctVal>0.096942557226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.46000000</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>Adagio CLO</name>
        <lei>635400LSWYRCKPZTOJ42</lei>
        <title>Adagio IV CLO Ltd</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1693938851"/>
        </identifiers>
        <balance>300000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>336101.13000000</valUSD>
        <pctVal>0.014806618526</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66000000</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>Japan Tobacco Inc</name>
        <lei>353800Z0ENYBQO0XRJ31</lei>
        <title>Japan Tobacco Inc</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1394760182"/>
        </identifiers>
        <balance>1800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1795959.27000000</valUSD>
        <pctVal>0.079119293054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Republic of Argentina</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>Argentina Bonar Bonds</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="ARARGE3203R1"/>
        </identifiers>
        <balance>14686000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="59.87180000"/>
        <valUSD>172929.99000000</valUSD>
        <pctVal>0.007618267733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>42.84000000</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>Vericrest Opportunity Loan Transferee</name>
        <lei>N/A</lei>
        <title>VOLT LXII LLC</title>
        <cusip>92872FAA6</cusip>
        <identifiers>
          <isin value="US92872FAA66"/>
        </identifiers>
        <balance>1794390.85000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1796074.71000000</valUSD>
        <pctVal>0.079124378654</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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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Morgan Stanley &amp; Co. LLC</name>
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        <name>United States Treasury</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>LCH Limited</name>
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      <invstOrSec>
        <name>Palmer Square Loan Funding Ltd</name>
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        <name>General Motors Co</name>
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        <name>Ellington Loan Acquisition Trust</name>
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        <name>LCH Limited</name>
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        <title>Long: BWU0WE887 IRS EUR R V 12MCPI FRCPXTOB INFLATION ZERO LCH / Short: BWU0WE887 IRS EUR P F  1.34500 INFLATIONZERO CCP</title>
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        <name>Barclays Bank PLC</name>
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        <name>Countrywide Alternative Loan Trust</name>
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      <invstOrSec>
        <name>Great Hall Mortgages PLC</name>
        <lei>213800TM9KICQKGTYR78</lei>
        <title>Great Hall Mortgages No 1 PLC</title>
        <cusip>000000000</cusip>
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        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>College Loan Corporaton Trust</name>
        <lei>254900HRAVYB2492C092</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
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          <isin value="US31396L4T48"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>AT&amp;T Inc</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Black Diamond CLO Ltd</name>
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          <isin value="XS1739835574"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Goldman Sachs International</name>
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        <name>United States Treasury</name>
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        <name>First NLC Trust</name>
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        <name>United States Treasury</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <name>Republic of Argentina</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>Argentina Bocon</title>
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        <name>Stanwich Mortgage Loan Trust</name>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <name>JPMorgan Chase &amp; Co</name>
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        <name>WAMU Mortgage Pass-Through Certificates</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
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          <isin value="US912828TE09"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Morgan Stanley &amp; Co. LLC</name>
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        <fairValLevel>1</fairValLevel>
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        <name>GSAA Home Equity Trust</name>
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          <isin value="US362334ND27"/>
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        <name>NEW ZEALAND GVT ILB</name>
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      <invstOrSec>
        <name>TBW Mortgage Backed Pass Through Certificates</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Park Place Securities Inc</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>Penta CLO S.A.</name>
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        <name>ZIMMER BIOMET HOLDINGS</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <name>United States Treasury</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <name>Residential Accredit Loans, Inc.</name>
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        <name>FannieMae Whole Loan</name>
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        <name>Republic of Argentina</name>
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        <name>WAMU Mortgage Pass-Through Certificates</name>
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        <name>ING Bank NV</name>
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        <title>ING Bank NV</title>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>The Bancorp Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Bancorp Commercial Mortgage 2019-CRE6 Trust</title>
        <cusip>05973BAA5</cusip>
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          <isin value="US05973BAA52"/>
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        <balance>5663821.40000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5668538.23000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>JACKSON NATL LIFE GLOBAL</name>
        <lei>635400PQXLYXWJI5QD78</lei>
        <title>Jackson National Life Global Funding</title>
        <cusip>46849LTM3</cusip>
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          <isin value="US46849LTM36"/>
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        <balance>300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>302613.99000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust</title>
        <cusip>86359BGG0</cusip>
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          <isin value="US86359BGG05"/>
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        <balance>75319.28000000</balance>
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        <curCd>USD</curCd>
        <valUSD>76377.27000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0B3678 IRS GBP R F  3.53000 INFLATIONZERO / Short: SWU0B3678 IRS GBP P V 12MUKRPI INFLATIONZERO UKPRI CCP LCH</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S0U6MU6"/>
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        <fairValLevel>2</fairValLevel>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Jyske Realkredit A/S</name>
        <lei>529900R9HQNZRT2OXB26</lei>
        <title>Jyske Realkredit A/S</title>
        <cusip>000000000</cusip>
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          <isin value="DK0009382707"/>
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        <balance>17356.87000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2047-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgages Trust</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust 2004-13</title>
        <cusip>576433UM6</cusip>
        <identifiers>
          <isin value="US576433UM63"/>
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        <balance>80727.08000000</balance>
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        <curCd>USD</curCd>
        <valUSD>82654.87000000</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>2034-11-21</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.70000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>3175499Z8 ITRAXX.O P 0.80 EU MAR20 0.8 PUT</title>
        <cusip>000000000</cusip>
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        <balance>-4000000.00000000</balance>
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        <assetCat>DCR</assetCat>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Put</putOrCall>
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      <invstOrSec>
        <name>Adagio CLO</name>
        <lei>635400LSWYRCKPZTOJ42</lei>
        <title>Adagio IV CLO Ltd</title>
        <cusip>000000000</cusip>
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          <isin value="XS1693939404"/>
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        <balance>250000.00000000</balance>
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        <invCountry>IE</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Colony American Finance Ltd</name>
        <lei>N/A</lei>
        <title>CoreVest American Finance 2017-1 Trust</title>
        <cusip>21871VAA1</cusip>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED MXN / SOLD USD</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31405PRS1</cusip>
        <identifiers>
          <isin value="US31405PRS10"/>
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        <balance>8924.56000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8992.33000000</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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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED USD / SOLD BRL</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19BQKBB0N67"/>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2006-OA19</title>
        <cusip>12668RAA6</cusip>
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          <isin value="US12668RAA68"/>
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        <balance>707377.34000000</balance>
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        <curCd>USD</curCd>
        <valUSD>557737.89000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.94000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD MXN</title>
        <cusip>000000000</cusip>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>152357000.00000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>7897213.94000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-22</settlementDt>
            <unrealizedAppr>-138533.5</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PARK AEROSPACE HOLDINGS</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>Park Aerospace Holdings Ltd</title>
        <cusip>70014LAA8</cusip>
        <identifiers>
          <isin value="US70014LAA89"/>
        </identifiers>
        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>213080.00000000</valUSD>
        <pctVal>0.009387038584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25000000</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>Deutsche Bank Aktiengesellschaft</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>PURCHASED USD / SOLD TWD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KOKBBLN0H"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.86925806"/>
        <valUSD>-133355.14000000</valUSD>
        <pctVal>-0.00587483501</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Deutsche Bank Aktiengesellschaft</counterpartyName>
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            <amtCurSold>357297680.00000000</amtCurSold>
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            <amtCurPur>11828698.93000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-133355.14</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Ace Securities Corp.</name>
        <lei>N/A</lei>
        <title>ACE Securities Corp Home Equity Loan Trust Series 2007-ASAP1</title>
        <cusip>00442JAC8</cusip>
        <identifiers>
          <isin value="US00442JAC80"/>
        </identifiers>
        <balance>577646.31000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>352731.81000000</valUSD>
        <pctVal>0.015539267460</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.99000000</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>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38381RCM9</cusip>
        <identifiers>
          <isin value="US38381RCM97"/>
        </identifiers>
        <balance>10651254.58000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10630025.56000000</valUSD>
        <pctVal>0.468295757873</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.16000000</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 AG</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>PURCHASED USD / SOLD NZD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KSKBBSL60"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.48536735"/>
        <valUSD>-540353.82000000</valUSD>
        <pctVal>-0.02380477828</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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            <amtCurSold>17880000.00000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>11497072.44000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-540353.82</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OCP CLO Ltd</name>
        <lei>5493006T10144GM16690</lei>
        <title>OCP CLO 2015-8 Ltd</title>
        <cusip>67091RAK5</cusip>
        <identifiers>
          <isin value="US67091RAK59"/>
        </identifiers>
        <balance>1233575.60000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1232950.18000000</valUSD>
        <pctVal>0.054316458197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.85000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09FL10 IRS GBP R F  3.14000 INFLATIONZERO CCP LCH / Short: SWU09FL10 IRS GBP P V 12MUKRPI INFLATIONZERO CCP LCH UKRPI</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0U8T92"/>
        </identifiers>
        <balance>600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>-32580.46000000</valUSD>
        <pctVal>-0.00143530146</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.14"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
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            <terminationDt>2031-04-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-52227.91</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>600000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>30970.44</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>317513DG1 INF FLR USD 216.687 APR20 .001 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99XV08795"/>
        </identifiers>
        <balance>-46900000.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-0.47000000</valUSD>
        <pctVal>-0.00000002070</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
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            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>216.687</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-04-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>418239.53</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Kraft Heinz Foods Co</name>
        <lei>5493003STKEZ2S0RNU91</lei>
        <title>Kraft Heinz Foods Co</title>
        <cusip>50077LAR7</cusip>
        <identifiers>
          <isin value="US50077LAR78"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101756.86000000</valUSD>
        <pctVal>0.004482802567</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>3.38000000</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>Park Place Securities Inc</name>
        <lei>N/A</lei>
        <title>Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2005-WHQ2</title>
        <cusip>70069FHV2</cusip>
        <identifiers>
          <isin value="US70069FHV22"/>
        </identifiers>
        <balance>223307.53000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>223688.00000000</valUSD>
        <pctVal>0.009854364027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.48000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RA8</cusip>
        <identifiers>
          <isin value="US912810RA88"/>
        </identifiers>
        <balance>9625550.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9731725.69000000</valUSD>
        <pctVal>0.428722003695</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.63000000</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>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>PURCHASED USD / SOLD CNH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IEKBBPJDS"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.97314354"/>
        <valUSD>-2797.45000000</valUSD>
        <pctVal>-0.00012323902</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>743071.00000000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>103764.39000000</amtCurPur>
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            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-2797.45</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Towd Point Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Towd Point Mortgage Trust 2019-HY3</title>
        <cusip>89177XAA5</cusip>
        <identifiers>
          <isin value="US89177XAA54"/>
        </identifiers>
        <balance>2190029.87000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2192701.71000000</valUSD>
        <pctVal>0.096597407342</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.79000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>9128284H0</cusip>
        <identifiers>
          <isin value="US9128284H06"/>
        </identifiers>
        <balance>54378065.30000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55217144.95000000</valUSD>
        <pctVal>2.432539281871</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>0.63000000</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0ZA536 IRS USD R V 01MUSCPI SWU0ZA536 CCPINFLATIONZERO / Short: BWU0ZA536 IRS USD P F  1.43200 SWUVZA538 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1B87R5"/>
        </identifiers>
        <balance>8100000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>56860.54000000</valUSD>
        <pctVal>0.002504937501</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns Alt-A Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns ALT-A Trust 2006-8</title>
        <cusip>07387QAX8</cusip>
        <identifiers>
          <isin value="US07387QAX88"/>
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        <balance>110857.95000000</balance>
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        <curCd>USD</curCd>
        <valUSD>106716.68000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>LETRA TESOURO NACIONAL</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>Brazil Letras do Tesouro Nacional</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: BWU00VGI3 IRS USD R V 03MLIBOR SWUV0VGI5 CCPVANILLA / Short: BWU00VGI3 IRS USD P F  1.75000 SWU00VGI3 CCPVANILLA</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S1A14X1"/>
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        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <curCd>USD</curCd>
            <unrealizedAppr>1141395.73</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>Benefit Street Partners CLO Ltd</name>
        <lei>549300QK06ZD0H5SH503</lei>
        <title>Benefit Street Partners CLO VII Ltd</title>
        <cusip>08180RAL9</cusip>
        <identifiers>
          <isin value="US08180RAL96"/>
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        <balance>1248968.81000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1248986.30000000</valUSD>
        <pctVal>0.055022914350</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78000000</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>Small Business Administration Participation Certs</name>
        <lei>N/A</lei>
        <title>United States Small Business Administration</title>
        <cusip>83162CRK1</cusip>
        <identifiers>
          <isin value="US83162CRK17"/>
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        <balance>746846.65000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>807549.90000000</valUSD>
        <pctVal>0.035575849776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.51000000</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>UMBS, TBA</name>
        <lei>N/A</lei>
        <title>Uniform Mortgage-Backed Security, TBA</title>
        <cusip>01F040610</cusip>
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          <isin value="US01F0406102"/>
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        <balance>113100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>117607142.45000000</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>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0JE262 IRS EUR R F  1.41000 SWUVJE264 CCPINFLATIONZERO / Short: SWU0JE262 IRS EUR P V 01MFRCPX SWU0JE262 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1BTO90"/>
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        <balance>600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-6233.46000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>France CPI Ex Tobacco</indexName>
                <indexIdentifier>FRCPXTOB Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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            <curCd>EUR</curCd>
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      <invstOrSec>
        <name>NXP BV/NXP FUNDING LLC</name>
        <lei>N/A</lei>
        <title>NXP BV / NXP Funding LLC</title>
        <cusip>62947QAW8</cusip>
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          <isin value="US62947QAW87"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>207407.20000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.88000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>OCP CLO Ltd</name>
        <lei>254900XV0U0WEM36A370</lei>
        <title>OCP CLO 2015-9 Ltd</title>
        <cusip>67091YAJ3</cusip>
        <identifiers>
          <isin value="US67091YAJ38"/>
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        <balance>2594798.50000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2594899.70000000</valUSD>
        <pctVal>0.114315860743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.80000000</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>Soundview Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>Soundview Home Loan Trust 2007-OPT2</title>
        <cusip>83613DAD8</cusip>
        <identifiers>
          <isin value="US83613DAD84"/>
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        <balance>489492.06000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>443940.71000000</valUSD>
        <pctVal>0.019557389591</pctVal>
        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00OSH8 IRS USD R V 12MFEDL SWUV0OSH0 CCPOIS / Short: BWU00OSH8 IRS USD P F  2.42750 SWU00OSH8 CCPOIS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S115537"/>
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        <units>OU</units>
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        <valUSD>-248880.80000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
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              <indexBasketInfo>
                <indexName>US Federal Funds Effective Rate</indexName>
                <indexIdentifier>FEDL01 Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>SMBC AVIATION CAPITAL FI</name>
        <lei>549300OD7VKRVNWB2J98</lei>
        <title>SMBC Aviation Capital Finance DAC</title>
        <cusip>78448TAB8</cusip>
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          <isin value="US78448TAB89"/>
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        <balance>200000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JAPAN GOVT CPI LINKED</name>
        <lei>353800WZS8AXZXFUC241</lei>
        <title>Japanese Government CPI Linked Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="JP1120231J51"/>
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        <balance>1474956540.00000000</balance>
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        <valUSD>13954768.06000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.10000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Vornado DP LLC</name>
        <lei>N/A</lei>
        <title>Vornado DP LLC Trust 2010-VNO</title>
        <cusip>92903PAC3</cusip>
        <identifiers>
          <isin value="US92903PAC32"/>
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        <balance>7000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>7025338.60000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
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        <title>CWABS Asset-Backed Certificates Trust 2005-11</title>
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          <isin value="US126670DC96"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Structured Asset Mortgage Investments Inc</name>
        <lei>N/A</lei>
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          <isin value="US86360QAB14"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810PS1</cusip>
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          <isin value="US912810PS15"/>
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        <balance>25571440.80000000</balance>
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        <curCd>USD</curCd>
        <valUSD>29513210.89000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2027-01-15</maturityDt>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2002-AR17 Trust</title>
        <cusip>929227XB7</cusip>
        <identifiers>
          <isin value="US929227XB72"/>
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        <balance>12600.37000000</balance>
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        <curCd>USD</curCd>
        <valUSD>12391.64000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <fairValLevel>2</fairValLevel>
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            <putOrCall>Call</putOrCall>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0JD561 IRS GBP R F  3.85000 SWUVJD563 CCPINFLATIONZERO / Short: SWU0JD561 IRS GBP P V 01MUKRPI SWU0JD561 CCPINFLATIONZERO</title>
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      <invstOrSec>
        <name>Deutsche Bank Aktiengesellschaft</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU09RF45 IRS EUR R F  1.91000 INFLATIONZERO CCP / Short: SWU09RF45 IRS EUR P V 12MCPI FRCPXTOB INFLATIONZERO LCH</title>
        <cusip>000000000</cusip>
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        <name>SYNGENTA FINANCE NV</name>
        <lei>54930042S3BYCEGOCN86</lei>
        <title>Syngenta Finance NV</title>
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        <name>WAMU Mortgage Pass-Through Certificates</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2006-AR7 Trust</title>
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          <isin value="US93363CAC38"/>
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        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0Y9274 IRS USD R F  2.33500 INFLATIONZERO CCP LCH / Short: SWU0Y9274 IRS USD P V 12MCPI CPURNSA/INFLATIONZERO CCP LCH</title>
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        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust 2005-2</title>
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        <balance>53130.44000000</balance>
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        <name>Goldman Sachs Bank USA</name>
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      <invstOrSec>
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        <name>United States Treasury</name>
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        <name>Man GLG Euro CLO</name>
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        <name>Barclays Bank PLC</name>
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        <name>Ecolab Inc</name>
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        <name>Chicago Mercantile Exchange</name>
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        <name>United States Treasury</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <name>Intercontinental Exchange, Inc.</name>
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        <name>Fannie Mae</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14000000</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>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Series 2015-12R</title>
        <cusip>12651DAG3</cusip>
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          <isin value="US12651DAG34"/>
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        <balance>2600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2348270.60000000</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>2037-11-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.32000000</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>Duke Energy Corp</name>
        <lei>I1BZKREC126H0VB1BL91</lei>
        <title>Duke Energy Corp</title>
        <cusip>26441CBA2</cusip>
        <identifiers>
          <isin value="US26441CBA27"/>
        </identifiers>
        <balance>6100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6122355.65000000</valUSD>
        <pctVal>0.269714608201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.41000000</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>Asset Backed Securities Corp Home Equity Ln Trst</name>
        <lei>N/A</lei>
        <title>Asset Backed Securities Corp Home Equity Loan Trust Series 2004-HE2</title>
        <cusip>04541GHW5</cusip>
        <identifiers>
          <isin value="US04541GHW50"/>
        </identifiers>
        <balance>1745681.20000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1713514.93000000</valUSD>
        <pctVal>0.075487285354</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.62000000</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>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>PURCHASED KRW / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LFKBBLG48"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1154.31612903"/>
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        <pctVal>0.002292607517</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Credit Suisse International</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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            <amtCurSold>1890000.00000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2241729000.00000000</amtCurPur>
            <curPur>KRW</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>52040.78</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Z Capital Credit Partners CLO</name>
        <lei>549300BNZ44C797ZPY53</lei>
        <title>Z Capital Credit Partners CLO 2015-1 Ltd</title>
        <cusip>98877EAG8</cusip>
        <identifiers>
          <isin value="US98877EAG89"/>
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        <balance>4710000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4696444.62000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-16</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>RXH0P157 MAR20 157 PUT FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI743393"/>
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        <balance>272.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-155.60000000</valUSD>
        <pctVal>-0.00000685481</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Citigroup Global Markets Inc.</counterpartyName>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-Bund (FGBL)</indexName>
                <indexIdentifier>RXH0 Comdty</indexIdentifier>
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            <expDate>2020-02-21</expDate>
            <notionalAmt>2858.72</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-155.6</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828S50</cusip>
        <identifiers>
          <isin value="US912828S505"/>
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        <balance>102985651.50000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103302054.32000000</valUSD>
        <pctVal>4.550874646976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.13000000</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>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>317544419 ITRAXX.O P 0.80 EU MAR20 0.8 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI704692"/>
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        <balance>-2200000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-422.40000000</valUSD>
        <pctVal>-0.00001860843</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>Intercontinental Exchange</counterpartyName>
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                  <derivAddlInfo>
                    <name>Intercontinental Exchange</name>
                    <lei>5493000F4ZO33MV32P92</lei>
                    <title>CDX Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="AEI704692E"/>
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                    <balance>2200000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
                    <valUSD>-422.40000000</valUSD>
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                    <assetCat>DCR</assetCat>
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                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>iTraxx Europe S32.V1</indexName>
                      <indexIdentifier>2I666VCV5</indexIdentifier>
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                  <rcptCurCd>N/A</rcptCurCd>
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            <shareNo>1.00000000</shareNo>
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            <delta>XXXX</delta>
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      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC</name>
        <lei>N/A</lei>
        <title>SOFI PROFESSIONAL LOAN PROGRAM 2017-F LLC</title>
        <cusip>83401BAA4</cusip>
        <identifiers>
          <isin value="US83401BAA44"/>
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        <balance>928727.73000000</balance>
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        <curCd>USD</curCd>
        <valUSD>928061.09000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>PURCHASED USD / SOLD GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KTKBBMTR7"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75479114"/>
        <valUSD>-887418.46000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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            <amtCurSold>29660000.00000000</amtCurSold>
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            <amtCurPur>38408219.97000000</amtCurPur>
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            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>-887418.46</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Intercontinental Exchange, Inc.</name>
        <lei>5493000F4ZO33MV32P92</lei>
        <title>Long: SWPC0HJ26 CDS USD R F  1.00000 1 CCPCORPORATE / Short: SWPC0HJ26 CDS USD P V 03MEVENT 2 CCPCORPORATE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S14YY62"/>
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        <balance>1000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>13270.00000000</valUSD>
        <pctVal>0.000584597343</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Intercontinental Exchange, Inc.</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>General Electric Co</issuerName>
                <issueTitle>General Electric Co</issueTitle>
                <identifiers>
                  <cusip value="369604BD4"/>
                  <isin value="US369604BD45"/>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>-43489.12</upfrontRcpt>
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            <unrealizedAppr>56759.12</unrealizedAppr>
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        <securityLending>
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      <invstOrSec>
        <name>AERCAP IRELAND CAP/GLOBA</name>
        <lei>N/A</lei>
        <title>AerCap Ireland Capital DAC / AerCap Global Aviation Trust</title>
        <cusip>00772BAQ4</cusip>
        <identifiers>
          <isin value="US00772BAQ41"/>
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        <balance>400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>407981.92000000</valUSD>
        <pctVal>0.017973258986</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0FD128 IRS EUR R F  1.28000 SWUVFD120 CCPINFLATIONZERO / Short: SWU0FD128 IRS EUR P V 01MFRCPX SWU0FD128 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1BUH95"/>
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        <balance>2300000.00000000</balance>
        <units>OU</units>
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        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-25472.69000000</valUSD>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>France CPI Ex Tobacco</indexName>
                <indexIdentifier>FRCPXTOB Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="France CPI Ex Tobacco" floatingRtSpread="0" pmntAmt="0">
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            <terminationDt>2034-11-15</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>2300000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-25472.69</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RELIANCE STAND LIFE II</name>
        <lei>N/A</lei>
        <title>Reliance Standard Life Global Funding II</title>
        <cusip>75951AAJ7</cusip>
        <identifiers>
          <isin value="US75951AAJ79"/>
        </identifiers>
        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104798.88000000</valUSD>
        <pctVal>0.004616815891</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.85000000</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>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>PURCHASED MYR / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KRKBBP0VS"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MYR" exchangeRt="4.09733064"/>
        <valUSD>2686.52000000</valUSD>
        <pctVal>0.000118352106</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>MY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>121003.03000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>506797.00000000</amtCurPur>
            <curPur>MYR</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>2686.52</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust Inc</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2006-AMC1</title>
        <cusip>17309PAS5</cusip>
        <identifiers>
          <isin value="US17309PAS56"/>
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        <balance>1964561.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1900106.89000000</valUSD>
        <pctVal>0.083707418300</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>Floating</couponKind>
          <annualizedRt>1.94000000</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>Citigroup Mortgage Loan Trust Inc</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust Inc</title>
        <cusip>17307GP85</cusip>
        <identifiers>
          <isin value="US17307GP856"/>
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        <balance>3700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3539409.64000000</valUSD>
        <pctVal>0.155925356005</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>2.25000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0A5856 IRS USD R V 12MCPI CPURNSA INFLATIONZERO CCP LCH / Short: BWU0A5856 IRS USD P F  2.06900 INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0ZY2I9"/>
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        <balance>4500000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-23338.76000000</valUSD>
        <pctVal>-0.00102816707</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>US CPI Urban Consumers NSA</indexName>
                <indexIdentifier>CPURNSA Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US CPI Urban Consumers NSA" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-23338.76</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>549300CA9X1CRUCWUL74</lei>
        <title>Alternative Loan Trust 2006-HY11</title>
        <cusip>021466AA5</cusip>
        <identifiers>
          <isin value="US021466AA50"/>
        </identifiers>
        <balance>1072294.99000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1020381.54000000</valUSD>
        <pctVal>0.044951947095</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>Floating</couponKind>
          <annualizedRt>1.91000000</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>Morgan Stanley Capital Inc</name>
        <lei>N/A</lei>
        <title>Morgan Stanley ABS Capital I Inc Trust 2004-NC7</title>
        <cusip>61744CFR2</cusip>
        <identifiers>
          <isin value="US61744CFR25"/>
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        <balance>68730.23000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68317.77000000</valUSD>
        <pctVal>0.003009674971</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.77000000</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>Banc of America Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Banc of America Mortgage 2005-H Trust</title>
        <cusip>05949CFW1</cusip>
        <identifiers>
          <isin value="US05949CFW10"/>
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        <balance>53428.38000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52636.53000000</valUSD>
        <pctVal>0.002318852722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.05000000</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>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0SG598 IRS EUR R F  1.38700 SWUVSG590 CCPINFLATIONZERO / Short: SWU0SG598 IRS EUR P V 01MCPTFE SWU0SG598 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1A8CL3"/>
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        <balance>1270000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-75739.91000000</valUSD>
        <pctVal>-0.00333665035</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-stat Eurozone HICP ex Tobacco NSA</indexName>
                <indexIdentifier>CPTFEMU Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.387"/>
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                <rtResetTenor rateTenor="Day" rateTenorUnit="10942" resetDt="Day" resetDtUnit="10942"/>
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            <terminationDt>2049-08-15</terminationDt>
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            <pmntCurCd>EUR</pmntCurCd>
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            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1270000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-75739.91</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD KRW</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KOKBBGQ1V"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1154.31612903"/>
        <valUSD>-191526.63000000</valUSD>
        <pctVal>-0.00843752518</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>13678189410.00000000</amtCurSold>
            <curSold>KRW</curSold>
            <amtCurPur>11658077.71000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-03-18</settlementDt>
            <unrealizedAppr>-191526.63</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31405YPX3</cusip>
        <identifiers>
          <isin value="US31405YPX30"/>
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        <balance>14089.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14195.08000000</valUSD>
        <pctVal>0.000625350871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.53000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>AT&amp;T Inc</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T Inc</title>
        <cusip>00206RDV1</cusip>
        <identifiers>
          <isin value="US00206RDV15"/>
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        <balance>5600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5653301.86000000</valUSD>
        <pctVal>0.249050885538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95000000</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>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
        <title>Lehman XS Trust Series 2007-20N</title>
        <cusip>52525AAA2</cusip>
        <identifiers>
          <isin value="US52525AAA25"/>
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        <balance>4566337.83000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4482267.44000000</valUSD>
        <pctVal>0.197462067796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.94000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Toyota Tsusho Corp</name>
        <lei>549300CEE2ENIUJNXB84</lei>
        <title>Toyota Tsusho Corp</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1873973165"/>
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        <balance>200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>208603.39000000</valUSD>
        <pctVal>0.009189825750</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.63000000</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>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: BWU00V603 IRS USD R V 03MLIBOR SWUV0V605 CCPVANILLA / Short: BWU00V603 IRS USD P F  2.25000 SWU00V603 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S19P2I5"/>
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        <balance>3900000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-139425.90000000</valUSD>
        <pctVal>-0.00614227662</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CHARTER COMM OPT LLC/CAP</name>
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      <invstOrSec>
        <name>Morgan Stanley Capital Inc</name>
        <lei>N/A</lei>
        <title>Morgan Stanley ABS Capital I Inc Trust 2005-HE2</title>
        <cusip>61744CNC6</cusip>
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          <isin value="US61744CNC63"/>
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        <balance>736006.46000000</balance>
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        <valUSD>718535.51000000</valUSD>
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      <invstOrSec>
        <name>NEW ZEALAND GVT ILB</name>
        <lei>549300237GPHG2AI7C34</lei>
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        <balance>1600050.00000000</balance>
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        <invCountry>NZ</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0C8403 IRS USD R V 12MCPI CPURNSA/INFLATIONZERO CCP LCH / Short: BWU0C8403 IRS USD P F  2.02650 INFLATIONZERO CCP LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0UTC37"/>
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        <balance>11000000.00000000</balance>
        <units>OU</units>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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              <counterpartyName>LCH Limited</counterpartyName>
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                <indexName>US CPI Urban Consumers NSA</indexName>
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      <invstOrSec>
        <name>NXP BV/NXP FUNDING LLC</name>
        <lei>N/A</lei>
        <title>NXP BV / NXP Funding LLC</title>
        <cusip>62947QAU2</cusip>
        <identifiers>
          <isin value="US62947QAU22"/>
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        <balance>400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>410023.45000000</valUSD>
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        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Park Place Securities Inc</name>
        <lei>N/A</lei>
        <title>Park Place Securities Inc Asset-Backed Pass-Through Ctfs Ser 2004-WCW2</title>
        <cusip>70069FAZ0</cusip>
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        <balance>4000000.00000000</balance>
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        <valUSD>3986297.60000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust Inc</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2005-3</title>
        <cusip>17307GTA6</cusip>
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          <isin value="US17307GTA66"/>
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        <balance>20038.91000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0SG481 IRS USD R F  1.99750 SWUVSG483 CCPINFLATIONZERO / Short: SWU0SG481 IRS USD P V 12MUSCPI SWU0SG481 CCPINFLATIONZERO</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S19REU1"/>
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        <isRestrictedSec>N</isRestrictedSec>

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                <indexName>US CPI Urban Consumers NSA</indexName>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2010-C1</title>
        <cusip>36249KAC4</cusip>
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          <isin value="US36249KAC45"/>
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        <balance>25000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UMBS, TBA</name>
        <lei>N/A</lei>
        <title>Uniform Mortgage-Backed Security, TBA</title>
        <cusip>01F032625</cusip>
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          <isin value="US01F0326250"/>
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        <balance>88420000.00000000</balance>
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        <valUSD>90888345.98000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2050-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>Ally Financial Inc</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>Ally Financial Inc</title>
        <cusip>02005NBG4</cusip>
        <identifiers>
          <isin value="US02005NBG43"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102250.00000000</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>2021-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>PARK AEROSPACE HOLDINGS</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>Park Aerospace Holdings Ltd</title>
        <cusip>70014LAD2</cusip>
        <identifiers>
          <isin value="US70014LAD29"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101356.00000000</valUSD>
        <pctVal>0.004465143057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.63000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
        <lei>N/A</lei>
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          <isin value="US362341RX95"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
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        <balance>900.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>JAPAN GOVT CPI LINKED</name>
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        <title>Japanese Government CPI Linked Bond</title>
        <cusip>000000000</cusip>
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          <isin value="JP1120181E49"/>
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        <balance>177650000.00000000</balance>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.10000000</annualizedRt>
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      <invstOrSec>
        <name>First Franklin Mtg Loan Asset Backed Certificates</name>
        <lei>N/A</lei>
        <title>First Franklin Mortgage Loan Trust 2006-FF10</title>
        <cusip>32028HAE3</cusip>
        <identifiers>
          <isin value="US32028HAE36"/>
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        <balance>3300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3164986.44000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
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          <annualizedRt>2.10000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FCE Bank PLC</name>
        <lei>TU5V87TL5Q0UV1EW4H93</lei>
        <title>FCE Bank PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS1080158535"/>
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        <balance>700000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-24</maturityDt>
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      <invstOrSec>
        <name>FHLMC Structured Pass Through Securities</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Pass-Through Certificates</title>
        <cusip>31395M2F5</cusip>
        <identifiers>
          <isin value="US31395M2F53"/>
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        <balance>475569.17000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.38000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <putOrCall>Call</putOrCall>
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                      <other otherDesc="Internal Identifier" value="AEI704700E"/>
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                    <balance>2200000.00000000</balance>
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        <name>Citibank, National Association</name>
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        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
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          <isin value="US41165AAB89"/>
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        <name>JP Morgan Mortgage Acquisition Corp</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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        <issuerCat>UST</issuerCat>
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      <invstOrSec>
        <name>New Century Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>New Century Home Equity Loan Trust 2004-4</title>
        <cusip>64352VJJ1</cusip>
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        <balance>531703.60000000</balance>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-3</title>
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          <isin value="US12669GTQ46"/>
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        <balance>475716.89000000</balance>
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        <curCd>USD</curCd>
        <valUSD>451685.67000000</valUSD>
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        <securityLending>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>N/A</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>31396WLX2</cusip>
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        <balance>53897.55000000</balance>
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        <curCd>USD</curCd>
        <valUSD>53742.34000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
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          <isin value="US912810FH69"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Certificates</name>
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          <isin value="US92922FW874"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Alt-A Securities INC Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
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        <fairValLevel>2</fairValLevel>
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        <name>eBay Inc</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>J.P. Morgan Securities LLC</name>
        <lei>ZBUT11V806EZRVTWT807</lei>
        <title>317524UT1 OTC EPUT FN 3.5  1 JAN20 71 PUT</title>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>Uniform Mortgage-Backed Security, TBA</issuerName>
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        <name>Chicago Board of Trade</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US 10YR FUT OPTN  Feb20P 127</title>
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        <name>BNP Paribas</name>
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        <name>Sempra Energy</name>
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        <title>Sempra Energy</title>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828B25</cusip>
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        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU0JD603 IRS GBP R V 01MUKRPI SWU0JD603 CCPINFLATIONZERO / Short: BWU0JD603 IRS GBP P F  3.59750 SWUVJD605 CCPINFLATIONZERO</title>
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        <name>UMBS, TBA</name>
        <lei>N/A</lei>
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        <cusip>01F022626</cusip>
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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <name>United States Treasury</name>
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        <name>LCH Limited</name>
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        <name>Morgan Stanley IXIS Real Estate Capital Trust</name>
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        <name>BNP Paribas</name>
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        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
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        <name>NYKREDIT REALKREDIT AS</name>
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        <name>Novastar Home Equity Loan</name>
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        <name>CENTRAL NIPPON EXPRESSWY</name>
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        <name>Catamaran CLO Ltd</name>
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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <name>Goldman Sachs Bank USA</name>
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        <name>Eurex Deutschland</name>
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        <valUSD>269807.92000000</valUSD>
        <pctVal>0.011886133637</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex Deutschland</counterpartyName>
              <counterpartyLei>529900LN3S50JPU47S06</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-Schatz Futures (FGBS)</indexName>
                <indexIdentifier>DUH0 Comdty</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2020-03-06</expDate>
            <notionalAmt>-366281789.84</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>269807.92</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU0Z8093 IRS GBP R F  3.50000 / Short: SWU0Z8093 IRS GBP P V 00MUKRPI UKRPI</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S14G464"/>
        </identifiers>
        <balance>1040000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75494500"/>
        <valUSD>48815.45000000</valUSD>
        <pctVal>0.002150518644</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK Retail Price Index</indexName>
                <indexIdentifier>UKRPI Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="3.5"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK Retail Price Index" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="12" resetDt="Month" resetDtUnit="12"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2033-09-15</terminationDt>
            <upfrontPmnt>559.34</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>1040000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>48070.68</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Chicago Board of Trade</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US 10YR FUT OPTN  Feb20P 129.5</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1H0606"/>
        </identifiers>
        <balance>-143.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-174281.25000000</valUSD>
        <pctVal>-0.00767779621</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>10 Year US Treasury Note Future</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1H0606E"/>
                    </identifiers>
                    <balance>143000.00000000</balance>
                    <units>NC</units>
                    <curCd>N/A</curCd>
                    <valUSD>-174281.25000000</valUSD>
                    <pctVal>-0.01000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Short</payOffProf>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>10 Year US Treasury Note</indexName>
                      <indexIdentifier>TYH0 Comdty</indexIdentifier>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <expDate>2020-03-20</expDate>
                  <notionalAmt>143000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1000.00000000</shareNo>
            <exercisePrice>129.5</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-01-24</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-44866.25</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED PEN / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LKKBCC0ZT"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.31380000"/>
        <valUSD>28542.71000000</valUSD>
        <pctVal>0.001257422189</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>2164413.08000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>7267016.90000000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-01-10</settlementDt>
            <unrealizedAppr>28542.71</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED BRL / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19LGKBB7BMR"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.02270000"/>
        <valUSD>110468.33000000</valUSD>
        <pctVal>0.004866578168</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>3721783.64000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>15416000.00000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>110468.33</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>Long: SWPC0HSZ3 CDS USD R V 03MEVENT FLO SOVEREIGN / Short: SWPC0HSZ3 CDS USD P F  1.00000 FIX SOVEREIGN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S17BZF8"/>
        </identifiers>
        <balance>1500000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-25415.59000000</valUSD>
        <pctVal>-0.00111965986</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Mexico Government International Bond</issuerName>
                <issueTitle>Mexico Government International Bond</issueTitle>
                <identifiers>
                  <cusip value="91087BAC4"/>
                  <isin value="US91087BAC46"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
            <fixedPmntDesc amount="-500.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1"/>
            <terminationDt>2023-12-20</terminationDt>
            <upfrontPmnt>12292.95</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-37708.54</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Springcastle SPV</name>
        <lei>N/A</lei>
        <title>SpringCastle Funding Asset-Backed Notes 2019-A</title>
        <cusip>85022WAL8</cusip>
        <identifiers>
          <isin value="US85022WAL81"/>
        </identifiers>
        <balance>5493197.95000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5510992.07000000</valUSD>
        <pctVal>0.242781561858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</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>REALKREDIT DANMARK</name>
        <lei>549300NLOMBOWE943Y30</lei>
        <title>Realkredit Danmark A/S</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DK0009292559"/>
        </identifiers>
        <balance>32441.48000000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.66185000"/>
        <valUSD>5110.31000000</valUSD>
        <pctVal>0.000225129890</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>317566628 ITRAXX.O P 0.70 EU32 MAR20 0.7 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI720326"/>
        </identifiers>
        <balance>-9700000.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89150400"/>
        <valUSD>-2863.86000000</valUSD>
        <pctVal>-0.00012616465</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Intercontinental Exchange</counterpartyName>
                    <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Intercontinental Exchange</name>
                    <lei>5493000F4ZO33MV32P92</lei>
                    <title>CDX Swap</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="AEI720326E"/>
                    </identifiers>
                    <balance>9700000.00000000</balance>
                    <units>OU</units>
                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
                    <valUSD>-2863.86000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>iTraxx Europe S32.V1</indexName>
                      <indexIdentifier>2I666VCV5</indexIdentifier>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
                  <fixedPmntDesc amount="0.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
                  <terminationDt>2024-06-20</terminationDt>
                  <upfrontPmnt>0.00000000</upfrontPmnt>
                  <pmntCurCd>N/A</pmntCurCd>
                  <upfrontRcpt>0.00000000</upfrontRcpt>
                  <rcptCurCd>N/A</rcptCurCd>
                  <notionalAmt>9700000.00000000</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1.00000000</shareNo>
            <exercisePrice>0.7</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-03-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8559.45</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-01-29</ncom:dateSigned>
      <ncom:nameOfApplicant>Brighthouse Funds Trust I</ncom:nameOfApplicant>
      <ncom:signature>Alan Otis</ncom:signature>
      <ncom:signerName>Alan Otis</ncom:signerName>
      <ncom:title>Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
