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        <name>Countrywide Home Loans</name>
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      <invstOrSec>
        <name>ML-CFC Commercial Mortgage Tru</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Cascade MH Asset Trust</name>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Investo</name>
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        <name>Residential Accredit Loans, In</name>
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        <name>Bear Stearns Alt-A Trust</name>
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        <name>Fannie Mae</name>
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        <title>Fannie Mae REMICS</title>
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        <name>Freddie Mac - STACR</name>
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      <invstOrSec>
        <name>GMAC Commercial Mortgage Secur</name>
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        <name>Residential Asset Securitizati</name>
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        <name>Banc of America Funding Corpor</name>
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        <name>Banc of America Funding Corpor</name>
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      <invstOrSec>
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        <name>BARCLAYS CAPITAL INC.</name>
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      <invstOrSec>
        <name>American Home Mortgage Investm</name>
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      <invstOrSec>
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        <lei>N/A</lei>
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          <isin value="US17312DAL29"/>
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      <invstOrSec>
        <name>Residential Asset Securitizati</name>
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          <isin value="US761120AA26"/>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Resecuritization Trust 2006-1R</title>
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          <isin value="US12638FAB76"/>
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      <invstOrSec>
        <name>Credit-Based Asset Servicing a</name>
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        <name>Dreyfus Government Cash Management</name>
        <lei>549300F7IDB6WRO7VJ11</lei>
        <title>Dreyfus Government Cash Management</title>
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          <ticker value="DGCXX"/>
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        <securityLending>
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      <invstOrSec>
        <name>Bayview Financial Asset Trust</name>
        <lei>N/A</lei>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Impac CMB Trust</name>
        <lei>N/A</lei>
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        <cusip>45254NKQ9</cusip>
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          <isin value="US45254NKQ96"/>
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      <invstOrSec>
        <name>Adjustable Rate Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Adjustable Rate Mortgage Trust 2005-12</title>
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      <invstOrSec>
        <name>J.P. Morgan Alternative Loan T</name>
        <lei>N/A</lei>
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        <name>Structured Adjustable Rate Mor</name>
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        <name>WAMU Mortgage Pass-Through Cer</name>
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        <name>Tharaldson Hotel Portfolio Tru</name>
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        <name>Structured Adjustable Rate Mor</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mor</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAA Home Equity Trust</name>
        <lei>N/A</lei>
        <title>GSAA Resecuritization Mortgage Trust 2005-R1</title>
        <cusip>36242D3S0</cusip>
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          <isin value="US36242D3S06"/>
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        <curCd>USD</curCd>
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      </invstOrSec>
      <invstOrSec>
        <name>SMB Private Education Loan Tru</name>
        <lei>549300XC4C7GRVLU6076</lei>
        <title>SMB Private Education Loan Trust 2014-A</title>
        <cusip>784456105</cusip>
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          <isin value="US7844561057"/>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>American Home Mortgage Assets</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Assets Trust 2005-2</title>
        <cusip>02660VBH0</cusip>
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          <isin value="US02660VBH06"/>
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        <curCd>USD</curCd>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
        <lei>549300O2GEH6GH9NO762</lei>
        <title>Bellemeade Re 2018-1 Ltd</title>
        <cusip>078768AE8</cusip>
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          <isin value="US078768AE85"/>
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        <balance>2510000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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      <invstOrSec>
        <name>Centex Home Equity</name>
        <lei>N/A</lei>
        <title>Centex Home Equity Loan Trust 2004-D</title>
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          <isin value="US152314LQ15"/>
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        <balance>823599.72000000</balance>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
        <title>Seasoned Credit Risk Transfer Trust Series 2017-2</title>
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          <isin value="US35563PBM05"/>
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        <balance>19638716.52000000</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>
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        <debtSec>
          <maturityDt>2056-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.92740100</annualizedRt>
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      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2005-SA3 Trust</title>
        <cusip>76111XVZ3</cusip>
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          <isin value="US76111XVZ31"/>
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        <balance>1070378.89000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.17853900</annualizedRt>
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      <invstOrSec>
        <name>BankAmerica Manufactured Housi</name>
        <lei>N/A</lei>
        <title>BankAmerica Manufactured Housing Contract Trust</title>
        <cusip>065910AH4</cusip>
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          <isin value="US065910AH45"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GSMPS Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSMPS Mortgage Loan Trust 2005-RP1</title>
        <cusip>36242DXL2</cusip>
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          <isin value="US36242DXL27"/>
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        <balance>56378.63000000</balance>
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        <curCd>USD</curCd>
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        <debtSec>
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          <annualizedRt>8.50000000</annualizedRt>
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      <invstOrSec>
        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2007-S2</title>
        <cusip>46630WBB5</cusip>
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          <isin value="US46630WBB54"/>
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        <balance>56598.91000000</balance>
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      <invstOrSec>
        <name>Upgrade Pass-Thru Trust 1</name>
        <lei>N/A</lei>
        <title>Upgrade Pass-Thru Trust IV</title>
        <cusip>91531NAE6</cusip>
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        <balance>193446.33000000</balance>
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      <invstOrSec>
        <name>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust</title>
        <cusip>75970JAF3</cusip>
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      <invstOrSec>
        <name>Aegis Asset Backed Securities</name>
        <lei>N/A</lei>
        <title>Aegis Asset Backed Securities Trust 2005-3</title>
        <cusip>00764MFT9</cusip>
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          <isin value="US00764MFT99"/>
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      <invstOrSec>
        <name>Banc of America Funding Corpor</name>
        <lei>N/A</lei>
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          <isin value="US05946XLZ41"/>
          <other otherDesc="SEDOL" value="B17RG13"/>
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        <balance>346032.60000000</balance>
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      <invstOrSec>
        <name>UBS-Barclays Commercial Mortga</name>
        <lei>N/A</lei>
        <title>UBS-Barclays Commercial Mortgage Trust 2012-C2</title>
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          <isin value="US90269CAX83"/>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-14</title>
        <cusip>12667GCF8</cusip>
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          <isin value="US12667GCF81"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Variable</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan T</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Mortgage Loan Trust 2004-11AR</title>
        <cusip>61748HGT2</cusip>
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          <isin value="US61748HGT23"/>
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        <balance>2672800.24000000</balance>
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        <valUSD>2453447.27000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.39200000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust Inc</title>
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          <isin value="US17307GJX79"/>
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        <balance>52371.21000000</balance>
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        <curCd>USD</curCd>
        <valUSD>53412.05000000</valUSD>
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      </invstOrSec>
      <invstOrSec>
        <name>Residential Asset Securitizati</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust 2005-A13</title>
        <cusip>45660LD30</cusip>
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          <isin value="US45660LD306"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2006-SA2 Trust</title>
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          <isin value="US749574AG42"/>
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        <balance>156236.85000000</balance>
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        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-11</title>
        <cusip>12669GUX7</cusip>
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          <isin value="US12669GUX77"/>
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        <balance>56158.50000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.39200000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-9</title>
        <cusip>12669GYY1</cusip>
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          <isin value="US12669GYY15"/>
          <other otherDesc="Sedol" value="B07X3N5"/>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.39200000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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        <title>CDS CMBX.NA.BBB-.12</title>
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          <other otherDesc="INTERNAL" value="SW0WP296031"/>
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          <swapDeriv derivCat="SWP">
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                <issuerName>IHS MARKIT LTD</issuerName>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Upgrade Pass-Thru Trust 1</name>
        <lei>254900ZEOR18W7W4KL26</lei>
        <title>Ratchet Trading Ltd</title>
        <cusip>91531NAB2</cusip>
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        <assetCat>ABS-O</assetCat>
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      <invstOrSec>
        <name>Origen Manufactured Housing</name>
        <lei>549300IF0XI4ZS5JC782</lei>
        <title>Origen Manufactured Housing Contract Trust 2006-A</title>
        <cusip>68620BAB8</cusip>
        <identifiers>
          <isin value="US68620BAB80"/>
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        <balance>956553.64040000</balance>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <debtSec>
          <maturityDt>2037-10-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.48950000</annualizedRt>
          <isDefault>N</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
        <cusip>3137G0MY2</cusip>
        <identifiers>
          <isin value="US3137G0MY21"/>
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        <balance>2659769.89000000</balance>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
        <lei>N/A</lei>
        <title>RALI Series 2006-QA4 Trust</title>
        <cusip>748939AA3</cusip>
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          <isin value="US748939AA32"/>
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        <balance>264581.76000000</balance>
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        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Lehman Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Lehman Mortgage Trust 2007-5</title>
        <cusip>52521RAS0</cusip>
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          <isin value="US52521RAS04"/>
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        <debtSec>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mor</name>
        <lei>N/A</lei>
        <title>JP Morgan Chase Commercial Mortgage Securities Trust 2006-LDP7</title>
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        <name>Popular ABS Mortgage Pass-Thro</name>
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        <title>Popular ABS Mortgage Pass-Through Trust 2005-5</title>
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      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
        <lei>N/A</lei>
        <title>RALI Series 2006-QO2 Trust</title>
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        <debtSec>
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      <invstOrSec>
        <name>CHEVY CHASE MORTGAGE FUNDING C</name>
        <lei>5493002S53YJRKTJK143</lei>
        <title>Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2006-2</title>
        <cusip>16678WAA4</cusip>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2047-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Structured Asset Mortgage Inve</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust 2006-AR5</title>
        <cusip>86360JAN1</cusip>
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          <isin value="US86360JAN19"/>
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        <balance>594268.83000000</balance>
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        <valUSD>327656.78000000</valUSD>
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        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01200000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2005-AR15</title>
        <cusip>45660LVM8</cusip>
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      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
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      <invstOrSec>
        <name>Natixis Commercial Mortgage Se</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-11CB</title>
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          <isin value="US12667GJT13"/>
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      </invstOrSec>
      <invstOrSec>
        <name>JP Morgan Chase Commercial Mor</name>
        <lei>N/A</lei>
        <title>JPMCC Commercial Mortgage Securities Trust 2019-BOLT</title>
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          <isin value="US46651JAL70"/>
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        <debtSec>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Credit Suisse Commercial Mortgage Trust Series 2007-C5</title>
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          <isin value="US22546BAH33"/>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
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      <invstOrSec>
        <name>Structured Adjustable Rate Mor</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust Series 2005-4</title>
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        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>Washington Mutual Mortgage Pas</name>
        <lei>N/A</lei>
        <title>Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust</title>
        <cusip>93934FGB2</cusip>
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      <invstOrSec>
        <name>BX Trust</name>
        <lei>N/A</lei>
        <title>BX Commercial Mortgage Trust 2019-IMC</title>
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        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-23CB</title>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
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        <name>JP Morgan Mortgage Trust</name>
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        <name>BARCLAYS CAPITAL INC.</name>
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      <invstOrSec>
        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
        <title>Seasoned Credit Risk Transfer Trust Series 2019-2</title>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2017-RPL1 Trust</title>
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      <invstOrSec>
        <name>MASTR Asset Backed Securities</name>
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        <name>Lehman XS Trust</name>
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        <name>Washington Mutual Mortgage Pas</name>
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        <name>CHICAGO BOARD OF TRADE</name>
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        <name>Morgan Stanley Mortgage Loan T</name>
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        <name>MASTR Reperforming Loan Trust</name>
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        <name>Countrywide Asset-Backed Certi</name>
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        <name>Barclays Commercial Mortgage S</name>
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        <name>Countrywide Alternative Loan T</name>
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        <name>GSRPM Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSRPM Mortgage Loan Trust 2007-1</title>
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        <name>Residential Asset Mortgage Pro</name>
        <lei>N/A</lei>
        <title>RAMP Series 2004-RS4 Trust</title>
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        <name>First Horizon Alternative Mort</name>
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        <name>Starwood Retail Property Trust</name>
        <lei>5493007115G809OI4R97</lei>
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        <name>Soundview Home Equity Loan Tru</name>
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        <name>New Residential Mortgage Loan</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage Loan Trust 2019-6</title>
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        <name>TES LLC</name>
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        <name>Washington Mutual Mortgage Pas</name>
        <lei>N/A</lei>
        <title>Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust</title>
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        <name>Legacy Mortgage Asset Trust</name>
        <lei>N/A</lei>
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        <name>Countrywide Home Loans</name>
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        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
        <cusip>30711XDB7</cusip>
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      <invstOrSec>
        <name>Bombardier Capital Mortgage Se</name>
        <lei>N/A</lei>
        <title>BCMSC Trust 1999-A</title>
        <cusip>09774XAU6</cusip>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
        <cusip>3137G0KV0</cusip>
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        <name>Deutsche Mortgage Securities,</name>
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      </invstOrSec>
      <invstOrSec>
        <name>Starwood Retail Property Trust</name>
        <lei>5493007115G809OI4R97</lei>
        <title>Starwood Retail Property Trust 2014-STAR</title>
        <cusip>85571XAQ0</cusip>
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          <isin value="US85571XAQ07"/>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2017-RPL1 Trust</title>
        <cusip>22945AAE9</cusip>
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          <isin value="US22945AAE91"/>
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      <invstOrSec>
        <name>Chase Mortgage Finance Corpora</name>
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          <isin value="US16162XAH08"/>
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      <invstOrSec>
        <name>CSMC 2019-RIO B</name>
        <lei>N/A</lei>
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          <other otherDesc="INTERNAL" value="12597HAC0"/>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-11</title>
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          <isin value="US12669GUP44"/>
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      <invstOrSec>
        <name>Tharaldson Hotel Portfolio Tru</name>
        <lei>N/A</lei>
        <title>Tharaldson Hotel Portfolio Trust 2018-THPT</title>
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          <isin value="US88327HAN35"/>
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        <balance>405040.13000000</balance>
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      <invstOrSec>
        <name>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2007-2</title>
        <cusip>75970QAD2</cusip>
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          <isin value="US75970QAD25"/>
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      <invstOrSec>
        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
        <cusip>30711XBQ6</cusip>
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          <isin value="US30711XBQ60"/>
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      <invstOrSec>
        <name>Structured Adjustable Rate Mor</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
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        <name>REDWOOD FUNDING TRUST 2019-1</name>
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      <invstOrSec>
        <name>Greenwich Capital Acceptance I</name>
        <lei>213800OU9AJE7513ME91</lei>
        <title>RBS Acceptance Inc</title>
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      <invstOrSec>
        <name>Washington Mutual Mortgage Pas</name>
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        <title>Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust</title>
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        <name>ACCESSLEX INSTITUTE</name>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
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        <title>CSMC Series 2010-18R</title>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust Inc</title>
        <cusip>17307GXX1</cusip>
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          <maturityDt>2035-08-25</maturityDt>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2006-AR16 Trust</title>
        <cusip>92925GAD5</cusip>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Trust 2017-CHOP</title>
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      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan T</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
        <title>Lehman XS Trust 2006-19</title>
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      <invstOrSec>
        <name>Upgrade Pass-Thru Trust 1</name>
        <lei>549300R5D3NLSNKBVR19</lei>
        <title>Upgrade Pass-Thru Trust I</title>
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      <invstOrSec>
        <name>PMT CREDIT RISK TRANSFER TRUST</name>
        <lei>N/A</lei>
        <title>PMT Credit Risk Transfer Trust 2019-2R</title>
        <cusip>69345WAA6</cusip>
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          <isin value="US69345WAA62"/>
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        <debtSec>
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      <invstOrSec>
        <name>Banc of America Alternative Lo</name>
        <lei>N/A</lei>
        <title>Banc of America Alternative Loan Trust 2005-9</title>
        <cusip>05948KN39</cusip>
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          <isin value="US05948KN395"/>
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        <balance>2595797.32000000</balance>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2006-AR9</title>
        <cusip>45661EGK4</cusip>
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      <invstOrSec>
        <name>Voya CLO Ltd</name>
        <lei>N/A</lei>
        <title>VOYA CLO 2017-2</title>
        <cusip>92915XAD0</cusip>
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        <debtSec>
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      <invstOrSec>
        <name>Catskill Park CLO, LTD.</name>
        <lei>549300QY7L9WFVGWC115</lei>
        <title>Catskill Park CLO Ltd</title>
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      <invstOrSec>
        <name>Motel 6 Trust</name>
        <lei>N/A</lei>
        <title>Motel 6 Trust 2017-MTL6</title>
        <cusip>61975FAQ2</cusip>
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      <invstOrSec>
        <name>Lehman Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Lehman Mortgage Trust 2006-7</title>
        <cusip>52520QAC8</cusip>
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      <invstOrSec>
        <name>BELLEMEADE RE LT</name>
        <lei>N/A</lei>
        <title>Bellemeade Re 2017-1 Ltd</title>
        <cusip>078767AC4</cusip>
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          <isin value="US078767AC47"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgage</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust 2006-OA1</title>
        <cusip>576433G42</cusip>
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          <isin value="US576433G423"/>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Mortgage Loan Trust 2006-AR5</title>
        <cusip>17309FAS7</cusip>
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          <isin value="US17309FAS74"/>
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        <balance>274409.80000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.03438800</annualizedRt>
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      <invstOrSec>
        <name>Bear Stearns Asset Backed Secu</name>
        <lei>N/A</lei>
        <title>Bear Stearns Asset Backed Securities I Trust 2005-CL1</title>
        <cusip>073879U97</cusip>
        <identifiers>
          <isin value="US073879U970"/>
          <other otherDesc="Sedol" value="B3YJ9M8"/>
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        <balance>56970.20000000</balance>
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        <curCd>USD</curCd>
        <valUSD>55609.57000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.66430500</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>Ace Securities Corp.</name>
        <lei>N/A</lei>
        <title>ACE Securities Corp Home Equity Loan Trust Series 2005-RM1</title>
        <cusip>004421LP6</cusip>
        <identifiers>
          <isin value="US004421LP68"/>
          <other otherDesc="Sedol" value="B3QNHS0"/>
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        <balance>3154600.28000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3137711.81000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81200000</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>ML-CFC Commercial Mortgage Tru</name>
        <lei>N/A</lei>
        <title>ML-CFC Commercial Mortgage Trust 2007-9</title>
        <cusip>60688CAK2</cusip>
        <identifiers>
          <isin value="US60688CAK27"/>
          <other otherDesc="Sedol" value="B2B3CP0"/>
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        <balance>52111.64000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22393.28000000</valUSD>
        <pctVal>0.010937545222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-09-12</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.02463500</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>Prime Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Prime Mortgage Trust 2006-DR1</title>
        <cusip>74159UAC1</cusip>
        <identifiers>
          <isin value="US74159UAC18"/>
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        <balance>2159433.81000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1896784.90000000</valUSD>
        <pctVal>0.926446265204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2006-GG8</title>
        <cusip>362332AH1</cusip>
        <identifiers>
          <isin value="US362332AH12"/>
          <other otherDesc="Sedol" value="B5LYC98"/>
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        <balance>81190.13000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63596.33000000</valUSD>
        <pctVal>0.031062342603</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.62200000</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>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2007-2</title>
        <cusip>75970QAH3</cusip>
        <identifiers>
          <isin value="US75970QAH39"/>
          <other otherDesc="Sedol" value="BQQ3NN8"/>
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        <balance>1914212.25000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>886182.84000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.20300000</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>FirstFed Corp Manufactured Hou</name>
        <lei>N/A</lei>
        <title>Firstfed Corp Manufactured Housing Contract</title>
        <cusip>33761SAF5</cusip>
        <identifiers>
          <isin value="US33761SAF56"/>
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        <balance>189284.47000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84096.36000000</valUSD>
        <pctVal>0.041075168111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.11000000</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>AFC Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>AFC Trust Series 2000-3</title>
        <cusip>00105HEL6</cusip>
        <identifiers>
          <isin value="US00105HEL69"/>
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        <balance>893531.01000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>836131.02000000</valUSD>
        <pctVal>0.408391305044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.54200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Capital I Trust</name>
        <lei>549300XYOVNMTJWOZ135</lei>
        <title>Morgan Stanley Capital I Trust 2007-IQ16</title>
        <cusip>61756UAH4</cusip>
        <identifiers>
          <isin value="US61756UAH41"/>
          <other otherDesc="Sedol" value="B2B3CY9"/>
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        <balance>168389.43000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107087.81000000</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>2049-12-12</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.25078300</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Upgrade Pass-Thru Trust 1</name>
        <lei>549300R5D3NLSNKBVR19</lei>
        <title>Upgrade Pass-Thru Trust I</title>
        <cusip>91531NAF3</cusip>
        <identifiers>
          <isin value="US91531NAF33"/>
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        <balance>182469.98000000</balance>
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        <curCd>USD</curCd>
        <valUSD>179359.05000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>12.07469600</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2007-S6 Trust</title>
        <cusip>762009AN8</cusip>
        <identifiers>
          <isin value="US762009AN82"/>
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        <balance>1707089.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>218890.23000000</valUSD>
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        <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>3.70800000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Banc of America Funding Corpor</name>
        <lei>549300R847L762RQF071</lei>
        <title>Banc of America Funding 2015-R4 Trust</title>
        <cusip>05990RAM3</cusip>
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          <isin value="US05990RAM34"/>
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        <balance>11470567.21000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5409725.97000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2030-01-27</maturityDt>
          <couponKind>Variable</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Argent Securities Inc.</name>
        <lei>N/A</lei>
        <title>Argent Securities Trust 2006-M2</title>
        <cusip>04013BAD4</cusip>
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          <isin value="US04013BAD47"/>
          <other otherDesc="Sedol" value="BD6BXV9"/>
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        <balance>561033.28000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GSMPS Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>GSMPS Mortgage Loan Trust 2006-RP1</title>
        <cusip>3623413E7</cusip>
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          <isin value="US3623413E74"/>
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        <balance>371266.69000000</balance>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FRESB Multifamily Mortgage Pas</name>
        <lei>N/A</lei>
        <title>FRESB 2018-SB48 Mortgage Trust</title>
        <cusip>30296RAJ9</cusip>
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        <balance>3853232.45000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mor</name>
        <lei>N/A</lei>
        <title>JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19</title>
        <cusip>46630VAL6</cusip>
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          <isin value="US46630VAL62"/>
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        <balance>1321204.98000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2049-02-12</maturityDt>
          <couponKind>Variable</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
        <title>Seasoned Credit Risk Transfer Trust Series 2017-2</title>
        <cusip>35563PBH1</cusip>
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          <isin value="US35563PBH10"/>
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        <balance>1170000.00000000</balance>
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        <valUSD>1185644.54000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CSEMC 2019-3 A</name>
        <lei>213800FNSN9L4EI3LC40</lei>
        <title>CSEMC 2019-3 A</title>
        <cusip>55960WAB7</cusip>
        <identifiers>
          <isin value="US55960WAB72"/>
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        <balance>2500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2498356.78000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2006-1</title>
        <cusip>759950GX0</cusip>
        <identifiers>
          <isin value="US759950GX06"/>
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        <curCd>USD</curCd>
        <valUSD>384842.99000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.16600000</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>
      <invstOrSec>
        <name>Banc of America Funding Corpor</name>
        <lei>N/A</lei>
        <title>Banc of America Funding 2006-F Trust</title>
        <cusip>05950HAA9</cusip>
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          <isin value="US05950HAA95"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>169289.93000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>4.82587000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2019-KG01 Mortgage Trust</title>
        <cusip>30298CAS0</cusip>
        <identifiers>
          <isin value="US30298CAS08"/>
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        <balance>2239000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2266126.83000000</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>2029-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.16490600</annualizedRt>
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          <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>Residential Asset Securitizati</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust 2005-A7</title>
        <cusip>45660LNP0</cusip>
        <identifiers>
          <isin value="US45660LNP03"/>
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        <balance>1784571.12000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>540984.17000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.45800000</annualizedRt>
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          <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>IndyMac INDA Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDA Mortgage Loan Trust 2005-AR2</title>
        <cusip>45660LY60</cusip>
        <identifiers>
          <isin value="US45660LY609"/>
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        <balance>71670.83000000</balance>
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        <curCd>USD</curCd>
        <valUSD>66535.23000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <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>Provident Bank Home Equity Loa</name>
        <lei>N/A</lei>
        <title>Provident Home Equity Loan Trust 2000-2</title>
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        <identifiers>
          <isin value="US743844DA75"/>
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        <balance>796675.04000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <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>
        <name>MASTR Reperforming Loan Trust</name>
        <lei>N/A</lei>
        <title>MASTR Reperforming Loan Trust 2005-1</title>
        <cusip>576436AT6</cusip>
        <identifiers>
          <isin value="US576436AT67"/>
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        <balance>1330040.82000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1363294.23000000</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>2034-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Bayview Financial Asset Trust</name>
        <lei>N/A</lei>
        <title>Bayview Financial Asset Trust 2007-SSR1</title>
        <cusip>07325QAB1</cusip>
        <identifiers>
          <isin value="US07325QAB14"/>
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        <balance>2220031.23000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2172205.10000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81800000</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>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2007-2</title>
        <cusip>75970QAE0</cusip>
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          <isin value="US75970QAE08"/>
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        <balance>445054.35000000</balance>
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        <curCd>USD</curCd>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Deutsche Mortgage Securities,</name>
        <lei>N/A</lei>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BARCLAYS CAPITAL INC.</name>
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      <invstOrSec>
        <name>American Home Mortgage Investm</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Investment Trust 2007-2</title>
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      <invstOrSec>
        <name>MORGAN STANLEY &amp; COMPANY LLC</name>
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      <invstOrSec>
        <name>Origen Manufactured Housing</name>
        <lei>5493001P8LORMOBBQA95</lei>
        <title>Origen Manufactured Housing Contract Trust 2007-A</title>
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        <balance>1162850.59000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2037-04-15</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>
        <name>Magnolia Finance XI DAC Series</name>
        <lei>213800FNSN9L4EI3LC40</lei>
        <title>Magnolia Finance XI DAC</title>
        <cusip>55960WAA9</cusip>
        <identifiers>
          <isin value="US55960WAA99"/>
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        <balance>2084538.25000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ML-CFC Commercial Mortgage Tru</name>
        <lei>N/A</lei>
        <title>ML-CFC Commercial Mortgage Trust 2007-9</title>
        <cusip>60688CAJ5</cusip>
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        <balance>223649.95000000</balance>
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        <curCd>USD</curCd>
        <valUSD>96128.66000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>Wachovia Mortgage Loan Trust,</name>
        <lei>N/A</lei>
        <title>Wachovia Mortgage Loan Trust LLC Series 2005-B Trust</title>
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      </invstOrSec>
      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
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        <cusip>74957XAM7</cusip>
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      </invstOrSec>
      <invstOrSec>
        <name>Renaissance Home Equity Loan T</name>
        <lei>N/A</lei>
        <title>Renaissance Home Equity Loan Trust 2007-3</title>
        <cusip>75971FAF0</cusip>
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          <isin value="US75971FAF09"/>
          <other otherDesc="Sedol" value="B8FFRY8"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2006-AR7</title>
        <cusip>45661EDE1</cusip>
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          <isin value="US45661EDE14"/>
          <other otherDesc="Sedol" value="BQ5C3L4"/>
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      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC Trust</name>
        <lei>N/A</lei>
        <title>BCAP LLC 2011-RR2 Trust</title>
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          <isin value="US05533TAD37"/>
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      <invstOrSec>
        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
        <cusip>30711XDY7</cusip>
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          <isin value="US30711XDY76"/>
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        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>ChaseFlex Trust</name>
        <lei>N/A</lei>
        <title>ChaseFlex Trust Series 2005-2</title>
        <cusip>16165TBD4</cusip>
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          <isin value="US16165TBD46"/>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust 2006-2</title>
        <cusip>41161PJ38</cusip>
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          <isin value="US41161PJ380"/>
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        <balance>21320.20000000</balance>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse First Boston Mor</name>
        <lei>N/A</lei>
        <title>CSFB Mortgage-Backed Pass-Through Certificates Series 2005-10</title>
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          <isin value="US225470DY68"/>
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        <balance>309264.88000000</balance>
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      <invstOrSec>
        <name>Lehman XS Trust</name>
        <lei>N/A</lei>
        <title>Lehman XS Trust Series 2005-9N</title>
        <cusip>525221GM3</cusip>
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          <isin value="US525221GM31"/>
          <other otherDesc="Sedol" value="B8GFTZ2"/>
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      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgage</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust 2006-2</title>
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          <isin value="US576438AF20"/>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Trust 2018-PLUM</title>
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          <isin value="US12653QAC15"/>
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        <name>CHICAGO BOARD OF TRADE</name>
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      <invstOrSec>
        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
        <title>Seasoned Credit Risk Transfer Trust Series 2017-2</title>
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      <invstOrSec>
        <name>Fannie Mae - CAS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-OA8</title>
        <cusip>02148GAA1</cusip>
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          <isin value="US02148GAA13"/>
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        <debtSec>
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      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan T</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Mortgage Loan Trust 2004-7AR</title>
        <cusip>61748HCP4</cusip>
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          <isin value="US61748HCP47"/>
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        <name>Applebees/IHOP Funding LLC</name>
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        <name>Home Equity Mortgage Trust</name>
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      <invstOrSec>
        <name>Natixis Commercial Mortgage Se</name>
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        <name>Credit Suisse Mortgage Trust</name>
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        <name>Deutsche Mortgage Securities,</name>
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        <name>Structured Asset Investment Lo</name>
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        <name>Banc of America Funding Corpor</name>
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        <name>New Century Home Equity Loan T</name>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-36</title>
        <cusip>12667GA29</cusip>
        <identifiers>
          <isin value="US12667GA298"/>
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        <balance>338884.15000000</balance>
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        <curCd>USD</curCd>
        <valUSD>325160.02000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.10433600</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DBUBS Mortgage Trust</name>
        <lei>N/A</lei>
        <title>DBUBS 2011-LC3 Mortgage Trust</title>
        <cusip>23305YAQ2</cusip>
        <identifiers>
          <isin value="US23305YAQ26"/>
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        <balance>2599999.99000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1990916.19000000</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>2044-08-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Lehman Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Lehman Mortgage Trust 2006-7</title>
        <cusip>52520QAH7</cusip>
        <identifiers>
          <isin value="US52520QAH74"/>
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        <balance>3865003.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2324863.67000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.97200000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Trust 2017-CHOP</title>
        <cusip>12651QAQ2</cusip>
        <identifiers>
          <isin value="US12651QAQ29"/>
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        <balance>1620000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1627348.97000000</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>2032-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.08975000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac - SCRT</name>
        <lei>N/A</lei>
        <title>Seasoned Credit Risk Transfer Trust Series 2017-2</title>
        <cusip>35563PBN8</cusip>
        <identifiers>
          <isin value="US35563PBN87"/>
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        <balance>512630692.06000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2343747.52000000</valUSD>
        <pctVal>1.144756127321</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.07500000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GE BUSINESS LOAN TRUST</name>
        <lei>549300D0K8M3F831GK53</lei>
        <title>GE Business Loan Trust 2006-1</title>
        <cusip>36159NAD4</cusip>
        <identifiers>
          <isin value="US36159NAD49"/>
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        <balance>77006.11000000</balance>
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        <curCd>USD</curCd>
        <valUSD>72446.92000000</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>2034-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.15975000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns Asset Backed Secu</name>
        <lei>N/A</lei>
        <title>Bear Stearns Asset Backed Securities I Trust 2004-BO1</title>
        <cusip>073879JV1</cusip>
        <identifiers>
          <isin value="US073879JV17"/>
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        <balance>617000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>612719.50000000</valUSD>
        <pctVal>0.299270461501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.79200000</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>Adjustable Rate Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Adjustable Rate Mortgage Trust 2005-5</title>
        <cusip>007036LG9</cusip>
        <identifiers>
          <isin value="US007036LG93"/>
          <other otherDesc="Sedol" value="B14TBZ1"/>
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        <balance>130585.93000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109510.54000000</valUSD>
        <pctVal>0.053488210910</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>3.73831300</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>Structured Asset Securities Co</name>
        <lei>N/A</lei>
        <title>Structured Asset Securities Corp Mortgage Loan Trust 2007-BC1</title>
        <cusip>86362PAG0</cusip>
        <identifiers>
          <isin value="US86362PAG00"/>
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        <balance>3904680.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3241904.57000000</valUSD>
        <pctVal>1.583442793658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.02200000</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>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Credit Suisse Commercial Mortgage Trust Series 2006-C5</title>
        <cusip>22545LAH2</cusip>
        <identifiers>
          <isin value="US22545LAH24"/>
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        <balance>923651.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>501080.93000000</valUSD>
        <pctVal>0.244742857328</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.37300000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2006-J8</title>
        <cusip>23245LAE0</cusip>
        <identifiers>
          <isin value="US23245LAE02"/>
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        <balance>99301.41000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68407.86000000</valUSD>
        <pctVal>0.033412437228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Natixis Commercial Mortgage Se</name>
        <lei>N/A</lei>
        <title>Natixis Commercial Mortgage Securities Trust 2019-FAME</title>
        <cusip>63873VAN3</cusip>
        <identifiers>
          <isin value="US63873VAN38"/>
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        <balance>950000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>864051.89000000</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>2034-08-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.39750000</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>Freddie Mac - STACR</name>
        <lei>549300D2VO9JVX6KU482</lei>
        <title>STACR Trust 2018-HRP1</title>
        <cusip>3137G0VB2</cusip>
        <identifiers>
          <isin value="US3137G0VB27"/>
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        <balance>5657081.78000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6997423.22000000</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>2043-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>13.54200000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2005-HY10</title>
        <cusip>126694VH8</cusip>
        <identifiers>
          <isin value="US126694VH83"/>
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        <balance>105490.06000000</balance>
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        <curCd>USD</curCd>
        <valUSD>99533.12000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.07226500</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
        <lei>N/A</lei>
        <title>RALI Series 2006-QO7 Trust</title>
        <cusip>751150AA1</cusip>
        <identifiers>
          <isin value="US751150AA12"/>
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        <balance>1762322.21000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1681033.86000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.03947600</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Structured Adjustable Rate Mor</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust Series 2005-4</title>
        <cusip>863579MX3</cusip>
        <identifiers>
          <isin value="US863579MX33"/>
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        <balance>65643.72000000</balance>
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        <curCd>USD</curCd>
        <valUSD>66074.74000000</valUSD>
        <pctVal>0.032272871898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.35336800</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-S3</title>
        <cusip>46631NAT6</cusip>
        <identifiers>
          <isin value="US46631NAT63"/>
          <other otherDesc="Sedol" value="B8ZRSV8"/>
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        <balance>2482672.57000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1237962.58000000</valUSD>
        <pctVal>0.604657812651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.29200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
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      <invstOrSec>
        <name>Lehman Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Lehman Mortgage Trust 2006-7</title>
        <cusip>52520QAY0</cusip>
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          <isin value="US52520QAY08"/>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Tharaldson Hotel Portfolio Tru</name>
        <lei>N/A</lei>
        <title>Tharaldson Hotel Portfolio Trust 2018-THPT</title>
        <cusip>88327HAS2</cusip>
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          <isin value="US88327HAS22"/>
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        <balance>2430240.79000000</balance>
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        <curCd>USD</curCd>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CVS PASS-THROUGH TRUST</name>
        <lei>N/A</lei>
        <title>CVS Pass-Through Trust</title>
        <cusip>336249AC1</cusip>
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          <isin value="US336249AC13"/>
          <other otherDesc="Sedol" value="B85K8W8"/>
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        <assetCat>DBT</assetCat>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2006-HY10</title>
        <cusip>12668BUF8</cusip>
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          <isin value="US12668BUF83"/>
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        <debtSec>
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        <name>JP Morgan Mortgage Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Mortgage Trust 2005-S3</title>
        <cusip>466247ZN6</cusip>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Argent Securities Inc.</name>
        <lei>N/A</lei>
        <title>Argent Securities Trust 2006-M2</title>
        <cusip>04013BAC6</cusip>
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          <isin value="US04013BAC63"/>
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        <balance>2125692.73000000</balance>
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        <curCd>USD</curCd>
        <valUSD>929818.81000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>First Horizon Alternative Mort</name>
        <lei>N/A</lei>
        <title>First Horizon Alternative Mortgage Securities Trust 2006-FA6</title>
        <cusip>32052FAH9</cusip>
        <identifiers>
          <isin value="US32052FAH91"/>
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        <balance>93491.88000000</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>
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        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Residential Asset Mortgage Pro</name>
        <lei>N/A</lei>
        <title>RAMP Series 2005-SL2 Trust</title>
        <cusip>76112BUZ1</cusip>
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          <isin value="US76112BUZ11"/>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>WAMU Mortgage Pass-Through Cer</name>
        <lei>N/A</lei>
        <title>WaMu Mortgage Pass-Through Certificates Series 2005-AR2 Trust</title>
        <cusip>92922FD96</cusip>
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          <isin value="US92922FD965"/>
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        <balance>1701724.39000000</balance>
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      <invstOrSec>
        <name>Countrywide Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-61</title>
        <cusip>12668AVM4</cusip>
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      <invstOrSec>
        <name>Upgrade Pass-Thru Trust 1</name>
        <lei>N/A</lei>
        <title>Upgrade Pass-Thru Trust VII</title>
        <cusip>91531NAH9</cusip>
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          <isin value="US91531NAH98"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Tru</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2004-AR13</title>
        <cusip>45660N7J8</cusip>
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          <isin value="US45660N7J87"/>
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        <balance>61465.92000000</balance>
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        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>5493007222WHFWMBOC78</lei>
        <title>Freddie Mac STACR Trust 2019-DNA1</title>
        <cusip>35563KBE9</cusip>
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          <isin value="US35563KBE91"/>
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        <balance>1500000.00000000</balance>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certi</name>
        <lei>N/A</lei>
        <title>Countrywide Asset-Backed Certificates</title>
        <cusip>23244AAA3</cusip>
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          <isin value="US23244AAA34"/>
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        <balance>512445.39000000</balance>
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        <curCd>USD</curCd>
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          <maturityDt>2036-07-25</maturityDt>
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      <invstOrSec>
        <name>Freddie Mac - STACR</name>
        <lei>N/A</lei>
        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
        <cusip>3137G0LK3</cusip>
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          <isin value="US3137G0LK36"/>
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        <balance>1583839.03000000</balance>
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      </invstOrSec>
      <invstOrSec>
        <name>Banc of America Funding Corpor</name>
        <lei>N/A</lei>
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          <isin value="US05946XJP96"/>
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        <curCd>USD</curCd>
        <valUSD>308049.31000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2034-12-20</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Residential Asset Securitizati</name>
        <lei>N/A</lei>
        <title>Residential Asset Securitization Trust 2006-A1</title>
        <cusip>45660L6P9</cusip>
        <identifiers>
          <isin value="US45660L6P92"/>
          <other otherDesc="Sedol" value="BDB2XT5"/>
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        <balance>3256387.42000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>664896.02000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.70800000</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>MASTR Reperforming Loan Trust</name>
        <lei>N/A</lei>
        <title>MASTR Reperforming Loan Trust 2005-1</title>
        <cusip>576436AS8</cusip>
        <identifiers>
          <isin value="US576436AS84"/>
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        <balance>733815.45000000</balance>
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        <curCd>USD</curCd>
        <valUSD>702293.89000000</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>2034-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</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>RAAC Series</name>
        <lei>N/A</lei>
        <title>RAAC Series 2006-RP3 Trust</title>
        <cusip>74919RAA3</cusip>
        <identifiers>
          <isin value="US74919RAA32"/>
          <other otherDesc="Sedol" value="B65GPM1"/>
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        <balance>308079.84000000</balance>
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        <curCd>USD</curCd>
        <valUSD>305117.25000000</valUSD>
        <pctVal>0.149028356727</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.06200000</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>HSI Asset Loan Obligation</name>
        <lei>N/A</lei>
        <title>HSI Asset Loan Obligation Trust 2007-AR1</title>
        <cusip>40431LAF5</cusip>
        <identifiers>
          <isin value="US40431LAF58"/>
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        <balance>130746.97000000</balance>
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        <curCd>USD</curCd>
        <valUSD>112116.93000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.70831600</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Capital I Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Capital I Trust 2007-IQ13</title>
        <cusip>61753JAG4</cusip>
        <identifiers>
          <isin value="US61753JAG40"/>
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        <balance>6927.61000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6921.39000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.43800000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Bombardier Capital Mortgage Se</name>
        <lei>N/A</lei>
        <title>BCMSC Trust 1998-B</title>
        <cusip>09774XAJ1</cusip>
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          <isin value="US09774XAJ19"/>
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        <balance>479375.28000000</balance>
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        <curCd>USD</curCd>
        <valUSD>498447.27000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.53000000</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>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC 2017-RPL1 Trust</title>
        <cusip>22945AAG4</cusip>
        <identifiers>
          <isin value="US22945AAG40"/>
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        <balance>2977486.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1844010.67000000</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>2057-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.07899600</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>Upgrade Pass-Thru Trust 1</name>
        <lei>549300R5D3NLSNKBVR19</lei>
        <title>Upgrade Pass-Thru Trust I</title>
        <cusip>91531NAC0</cusip>
        <identifiers>
          <isin value="US91531NAC02"/>
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        <balance>131553.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129350.62000000</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>2024-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>16.53718000</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>Morgan Stanley Capital Inc</name>
        <lei>N/A</lei>
        <title>Morgan Stanley ABS Capital I Inc Trust 2003-NC10</title>
        <cusip>61746RDY4</cusip>
        <identifiers>
          <isin value="US61746RDY45"/>
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        <balance>16850.02000000</balance>
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        <curCd>USD</curCd>
        <valUSD>16529.32000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.49200000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2007-S6 Trust</title>
        <cusip>762009AF5</cusip>
        <identifiers>
          <isin value="US762009AF58"/>
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        <balance>1707089.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1403539.74000000</valUSD>
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        <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>2.29200000</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>Countrywide Asset-Backed Certi</name>
        <lei>N/A</lei>
        <title>CWABS Asset-Backed Certificates Trust 2005-11</title>
        <cusip>126670CM8</cusip>
        <identifiers>
          <isin value="US126670CM87"/>
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        <balance>2000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1978040.40000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
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        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.34800000</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>CHICAGO BOARD OF TRADE</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>10 YEAR US TREASURY NOTE</title>
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        <identifiers>
          <ticker value="TYH0"/>
          <other otherDesc="ID_BB_GLOBAL" value="BBG00PF52FG3"/>
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        <curCd>USD</curCd>
        <valUSD>132156.40000000</valUSD>
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        <assetCat>DIR</assetCat>
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          <futrDeriv derivCat="FUT">
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              <counterpartyName>CHICAGO BOARD OF TRADE</counterpartyName>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
        <lei>549300R1KUK063S4I339</lei>
        <title>Citigroup Mortgage Loan Trust Inc</title>
        <cusip>17307GKZ0</cusip>
        <identifiers>
          <isin value="US17307GKZ09"/>
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        <balance>22074.71000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.23662600</annualizedRt>
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      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan T</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Mortgage Loan Trust 2007-15AR</title>
        <cusip>61756XBK0</cusip>
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          <isin value="US61756XBK00"/>
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        <balance>529284.73000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2037-11-25</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>MASTR Adjustable Rate Mortgage</name>
        <lei>N/A</lei>
        <title>MASTR Adjustable Rate Mortgages Trust 2004-12</title>
        <cusip>576433UC8</cusip>
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          <isin value="US576433UC81"/>
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        <balance>60511.17000000</balance>
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        <curCd>USD</curCd>
        <valUSD>63617.55000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.58230600</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Nomura Resecuritization Trust</name>
        <lei>N/A</lei>
        <title>Nomura Resecuritization Trust 2014-5R</title>
        <cusip>65540HAJ1</cusip>
        <identifiers>
          <isin value="US65540HAJ14"/>
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        <balance>1766345.95000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1806095.80000000</valUSD>
        <pctVal>0.882151006427</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.20366500</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>RBSGC Mortgage Pass Through Ce</name>
        <lei>N/A</lei>
        <title>RBSGC Mortgage Loan Trust 2007-A</title>
        <cusip>74927WAG9</cusip>
        <identifiers>
          <isin value="US74927WAG96"/>
        </identifiers>
        <balance>2918938.94000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>945812.69000000</valUSD>
        <pctVal>0.461963100946</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14200000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Commercial Mortgage</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2015-SHP2</title>
        <cusip>17290TAL3</cusip>
        <identifiers>
          <isin value="US17290TAL35"/>
        </identifiers>
        <balance>804178.57000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>805973.01000000</valUSD>
        <pctVal>0.393661234318</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.93975000</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>Fannie Mae - CAS</name>
        <lei>N/A</lei>
        <title>Fannie Mae Connecticut Avenue Securities</title>
        <cusip>30711XCH5</cusip>
        <identifiers>
          <isin value="US30711XCH52"/>
        </identifiers>
        <balance>2345641.18000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3392648.61000000</valUSD>
        <pctVal>1.657070674637</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>14.04200000</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>Origen Manufactured Housing</name>
        <lei>5493005G5GFEQWMCSY59</lei>
        <title>Origen Manufactured Housing Contract Trust 2007-B</title>
        <cusip>68620KAA0</cusip>
        <identifiers>
          <isin value="US68620KAA07"/>
        </identifiers>
        <balance>1966151.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1941676.37000000</valUSD>
        <pctVal>0.948372596819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.93975000</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>Wells Fargo Alternative Loan T</name>
        <lei>N/A</lei>
        <title>Wells Fargo Alternative Loan 2007-PA1 Trust</title>
        <cusip>94984TAM1</cusip>
        <identifiers>
          <isin value="US94984TAM18"/>
        </identifiers>
        <balance>2698060.88000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>272196.30000000</valUSD>
        <pctVal>0.132948783774</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>Floating</couponKind>
          <annualizedRt>3.66800000</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 Mor</name>
        <lei>N/A</lei>
        <title>JPMCC Commercial Mortgage Securities Trust 2019-BOLT</title>
        <cusip>46651JAJ2</cusip>
        <identifiers>
          <isin value="US46651JAJ25"/>
        </identifiers>
        <balance>1814911.78000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1817340.86000000</valUSD>
        <pctVal>0.887643428809</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.53975000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Accredit Loans, In</name>
        <lei>N/A</lei>
        <title>RALI Series 2006-QO2 Trust</title>
        <cusip>761118VY1</cusip>
        <identifiers>
          <isin value="US761118VY19"/>
        </identifiers>
        <balance>196295.37000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71359.73000000</valUSD>
        <pctVal>0.034854218495</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01200000</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>Conseco Financial Corp</name>
        <lei>N/A</lei>
        <title>Conseco Finance Corp</title>
        <cusip>393505UW0</cusip>
        <identifiers>
          <isin value="US393505UW07"/>
        </identifiers>
        <balance>1335649.94000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1364185.03000000</valUSD>
        <pctVal>0.666308618384</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.22000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <signature>
      <ncom:dateSigned>2020-02-25</ncom:dateSigned>
      <ncom:nameOfApplicant>Western Asset Mortgage Opportunity Fund Inc.</ncom:nameOfApplicant>
      <ncom:signature>Christopher Berarducci</ncom:signature>
      <ncom:signerName>Christopher Berarducci</ncom:signerName>
      <ncom:title>Principal Financial Officer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
