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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Societe Generale</name>
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        <title>Bay Club</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="BL2775213"/>
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        <balance>14630835.50000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>0.00000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Societe Generale</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Bay Club</issuerName>
                <issueTitle>Bay Club</issueTitle>
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                  <cusip value="12021UAA1"/>
                  <isin value="US12021UAA16"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <otherPmntDesc fixedOrFloating="Other">equity-performance leg</otherPmntDesc>
            <terminationDt>2025-09-05</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>14630835.5</notionalAmt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSAIL Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSAIL 2017-CX10 Commercial Mortgage Trust</title>
        <cusip>12652DAJ6</cusip>
        <identifiers>
          <isin value="US12652DAJ63"/>
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        <balance>11771500.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>11863953.60000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2032-10-15</maturityDt>
          <couponKind>Variable</couponKind>
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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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Trinidad Mortgage Securities</name>
        <lei>635400NHIZRPQFPLUT88</lei>
        <title>Trinidad Mortgage Securities 2018-1 PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1839123566"/>
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        <balance>2082710.35000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.75485900"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-01-24</maturityDt>
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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>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FJXY0</cusip>
        <identifiers>
          <isin value="US3137FJXY05"/>
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        <balance>26880916.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4425170.26000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.29000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Trinidad Mortgage Securities</name>
        <lei>635400NHIZRPQFPLUT88</lei>
        <title>Trinidad Mortgage Securities 2018-1 PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1839123137"/>
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        <balance>2113298.76000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75485900"/>
        <valUSD>2764773.98000000</valUSD>
        <pctVal>0.340956842989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-01-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.41000000</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>Citigroup Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2019-C7</title>
        <cusip>17328CAM4</cusip>
        <identifiers>
          <isin value="US17328CAM47"/>
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        <balance>4905000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>489360.57000000</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>2072-12-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.33000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2013-LC13 Mortgage Trust</title>
        <cusip>12626GAT0</cusip>
        <identifiers>
          <isin value="US12626GAT04"/>
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        <balance>2218000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2265253.56000000</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>2046-08-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.29000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>CMBX.NA.BBB-.8</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="137BERAH0CSFB180914"/>
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        <balance>426000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-9201.60000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Credit Suisse International</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CMBX.NA.BBB-.8</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="248.50000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
            <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
            <terminationDt>2057-10-18</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-33890.12</upfrontRcpt>
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            <notionalAmt>426000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>24688.52</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>RICHMOND UK HOLDCO LIMITED</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BL2348987MR192449BRYE"/>
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        <balance>4930555.98000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75485900"/>
        <valUSD>-89811.67000000</valUSD>
        <pctVal>-0.01107573482</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>RICHMOND UK HOLDCO LIMITED</issuerName>
                <issueTitle>RICHMOND UK HOLDCO LIMITED</issueTitle>
                <identifiers>
                  <other otherDesc="Private Company" value="1487780D LN"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">equity-performance leg</otherRecDesc>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="London Interbank Offer Rate 3 Month" floatingRtSpread="0" pmntAmt="0">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2018-03-13</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>-89811.67</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Parkdean TL</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="LX159835NB18121992449BRYE"/>
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        <balance>564050.18000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.75485900"/>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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              <otherRefInst>
                <issuerName>Parkdean TL</issuerName>
                <issueTitle>Parkdean TL</issueTitle>
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                  <other otherDesc="LoanX ID" value="LX159835"/>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="London Interbank Offer Rate 3 Month" floatingRtSpread="0" pmntAmt="0">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2019-12-20</terminationDt>
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            <unrealizedAppr>56975.97</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>REPO FHMS K157 X1 REPO FHMS K157 X1</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="965REVII3"/>
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        <balance>-2176000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-2176000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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              <counterpartyInfo lei="MBNUM2BPBDO7JBLYG310" name="Citigroup Global Markets Inc."/>
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              <invstCat>AMBS</invstCat>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Credit Suisse First Boston Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Credit Suisse First Boston Mortgage Securities Corp</title>
        <cusip>225470BA0</cusip>
        <identifiers>
          <isin value="US225470BA01"/>
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        <balance>4804342.32000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4749978.69000000</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>5.10000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>European Residential Loan Securitization</name>
        <lei>635400RFIOEIAK5XC225</lei>
        <title>European Residential Loan Securitisation 2019-PL1 DAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS2052239162"/>
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        <balance>2474000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.89086900"/>
        <valUSD>2753212.71000000</valUSD>
        <pctVal>0.339531086616</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-03-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.04000000</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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO CSAIL 2018 CX11 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CNVII0"/>
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        <balance>-690000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-690000.00000000</valUSD>
        <pctVal>-0.08509202682</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>COMM Mortgage Trust</name>
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        <name>Goldman Sachs International</name>
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        <name>Morgan Stanley Capital Services LLC</name>
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        <name>CSAIL Commercial Mortgage Trust</name>
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      <invstOrSec>
        <name>Wells Fargo Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2019-JWDR</title>
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          <isin value="US95002NAN75"/>
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        <valUSD>885243.29000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Parkdean TL</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="30301F9A9PARKDRHL92449BRYE"/>
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        <balance>12491740.48000000</balance>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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                <issuerName>Parkdean TL</issuerName>
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                  <other otherDesc="LoanX ID" value="BL2349944"/>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">equity-performance leg</otherRecDesc>
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        <securityLending>
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      <invstOrSec>
        <name>Merrill Lynch Capital Services, Inc.</name>
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              <counterpartyName>Merrill Lynch Capital Services, Inc.</counterpartyName>
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                <indexName>Markit CMBX.NA.BBB-.8</indexName>
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      <invstOrSec>
        <name>Starwood Mortgage Residential Trust 2018-IMC2</name>
        <lei>N/A</lei>
        <title>Starwood Mortgage Residential Trust 2018-IMC2</title>
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          <isin value="US85572PAE34"/>
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        <balance>6509000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-10-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMDB Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>JPMDB Commercial Mortgage Securities Trust 2019-COR6</title>
        <cusip>48129RAC9</cusip>
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          <isin value="US48129RAC97"/>
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        <balance>4171000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>474943.85000000</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>2052-11-13</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.43000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Morgan Stanley Capital I Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Capital I Trust 2016-UB11</title>
        <cusip>61767FAJ0</cusip>
        <identifiers>
          <isin value="US61767FAJ03"/>
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        <balance>2077000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1975399.43000000</valUSD>
        <pctVal>0.243609769973</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-15</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CSAIL Commercial Mortgage Trust</name>
        <lei>54930025J96YEH8FQE77</lei>
        <title>CSAIL 2015-C4 Commercial Mortgage Trust</title>
        <cusip>12635RAN8</cusip>
        <identifiers>
          <isin value="US12635RAN89"/>
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        <balance>5786000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3731716.57000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-15</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO WFCM 2016 LC25 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CZT000"/>
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        <balance>-3732000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-3732000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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            <repurchaseCollateral>
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              <invstCat>ABS</invstCat>
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          </repurchaseCollaterals>
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        <securityLending>
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      <invstOrSec>
        <name>TMSQ Mortgage Trust</name>
        <lei>N/A</lei>
        <title>TMSQ 2014-1500 Mortgage Trust</title>
        <cusip>87264JAC0</cusip>
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          <isin value="US87264JAC09"/>
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        <balance>45653000.00000000</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>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>J.P. Morgan Securities LLC</name>
        <lei>ZBUT11V806EZRVTWT807</lei>
        <title>CMBX--137BERAJ6-20591117</title>
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          <other otherDesc="Internal Identifier" value="137BERAJ6JPM20191206"/>
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        <valUSD>2027.50000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>J.P. Morgan Securities LLC</counterpartyName>
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                <indexName>Markit CMBX.NA.BBB-.10</indexName>
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        <securityLending>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO MSBAM 2015 C22 D</title>
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          <other otherDesc="Internal Identifier" value="938CNLII2"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
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            <repurchaseCollateral>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FDEU2</cusip>
        <identifiers>
          <isin value="US3137FDEU24"/>
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        <balance>61785894.95000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JPMBB Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>JPMBB Commercial Mortgage Securities Trust 2015-C31</title>
        <cusip>46644YBD1</cusip>
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          <isin value="US46644YBD13"/>
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        <balance>602000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>578360.93000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.12000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO JPMCC 2018 ASH8 E</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="965PWG909"/>
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        <balance>-3233000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-3233000.00000000</valUSD>
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        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>2.96000000</repurchaseRt>
          <maturityDt>2020-02-14</maturityDt>
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            <repurchaseCollateral>
              <principalAmt>4292000.00000000</principalAmt>
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              <collateralVal>4307365.36000000</collateralVal>
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              <invstCat>ABS</invstCat>
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          </repurchaseCollaterals>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <name>The Bank of New York Mellon</name>
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        <name>LB-UBS Commercial Mortgage Trust</name>
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        <name>GS Mortgage Securities Trust</name>
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        <title>GS Mortgage Securities Corp II</title>
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        <name>Citibank, National Association</name>
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        <name>Natixis Commercial Mortgage Securities</name>
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        <name>The Bank of New York Mellon</name>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <name>The Bank of New York Mellon</name>
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        <name>JP Morgan Chase Commercial Mortgage Sec Trust</name>
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        <name>Tricon American Homes</name>
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        <name>Options Clearing Corp.</name>
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        <name>The Bank of New York Mellon</name>
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        <name>JPMorgan Prime Money Market Fund</name>
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        <name>Colony American Finance Ltd</name>
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        <name>JPMBB Commercial Mortgage Securities Trust</name>
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        <name>The Bank of New York Mellon</name>
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        <name>Credit Suisse International</name>
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        <name>Spruce Hill Mortgage Loan Trust</name>
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        <name>Citibank, National Association</name>
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        <name>Credit Suisse International</name>
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        <name>Morgan Stanley &amp; Co. LLC</name>
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        <name>Deephaven Residential Mortgage Trust</name>
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        <name>Goldman Sachs International</name>
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        <name>Morgan Stanley &amp; Co. LLC</name>
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        <name>Citibank, National Association</name>
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        <name>CITIGROUP GLOBAL MARKETS INC.</name>
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        <name>Freddie Mac - SCRT</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FPHY4</cusip>
        <identifiers>
          <isin value="US3137FPHY49"/>
        </identifiers>
        <balance>45716000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3528269.45000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.16000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac Multifamily</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily ML Certificates</title>
        <cusip>30309HAD9</cusip>
        <identifiers>
          <isin value="US30309HAD98"/>
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        <balance>20420.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>914.59000000</valUSD>
        <pctVal>0.000112788864</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.49000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GMAC Commercial Mortgage Securities Inc. Trust</name>
        <lei>N/A</lei>
        <title>GMAC Commercial Mortgage Securities Inc Series 2006-C1 Trust</title>
        <cusip>361849R46</cusip>
        <identifiers>
          <isin value="US361849R467"/>
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        <balance>1064649.62000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>608817.76000000</valUSD>
        <pctVal>0.075080488642</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.35000000</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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO JPMBB 2015 C32 D REPO JPMBB 2015 C32 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="966SNQ009"/>
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        <balance>-1244000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1244000.00000000</valUSD>
        <pctVal>-0.15341229183</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>2.98000000</repurchaseRt>
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            <repurchaseCollateral>
              <principalAmt>2250000.00000000</principalAmt>
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              <collateralVal>1500033.98000000</collateralVal>
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              <invstCat>ABS</invstCat>
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          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2014-GC24</title>
        <cusip>36253GAM4</cusip>
        <identifiers>
          <isin value="US36253GAM42"/>
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        <balance>843000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>808376.32000000</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>2047-09-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.53000000</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>CSAIL Commercial Mortgage Trust</name>
        <lei>54930025J96YEH8FQE77</lei>
        <title>CSAIL 2015-C4 Commercial Mortgage Trust</title>
        <cusip>12635RAL2</cusip>
        <identifiers>
          <isin value="US12635RAL24"/>
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        <balance>5842000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4808105.74000000</valUSD>
        <pctVal>0.592944148681</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO FHMS KBX1 X1</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CQAII3"/>
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        <balance>-3569000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3569000.00000000</valUSD>
        <pctVal>-0.44013542569</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.98000000</repurchaseRt>
          <maturityDt>2020-01-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>667207000.00000000</principalAmt>
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              <collateralVal>3516180.89000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>ACMO</invstCat>
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          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SG Americas Securities, LLC</name>
        <lei>549300F35UE0BOM1WJ55</lei>
        <title>REPO COMM 2015 LC21 E REPO COMM 2015 LC21 E</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="965SQC909"/>
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        <balance>-4925000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-4925000.00000000</valUSD>
        <pctVal>-0.60735975666</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG Americas Securities, LLC"/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>2.79000000</repurchaseRt>
          <maturityDt>2020-03-16</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>9077000.00000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>7143871.31000000</collateralVal>
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              <invstCat>ACMO</invstCat>
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          </repurchaseCollaterals>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CITIGROUP GLOBAL MARKETS INC.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>CMBX--137BERAH0-20571017</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="137BERAH0CITIGM20191029"/>
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        <balance>298000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
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        <valUSD>6436.80000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>CITIGROUP GLOBAL MARKETS INC.</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CMBX.NA.BBB-.8</indexName>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
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            <upfrontPmnt>9964.61</upfrontPmnt>
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            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>298000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-3527.81</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CD Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CD 2006-CD3 Mortgage Trust</title>
        <cusip>14986DAJ9</cusip>
        <identifiers>
          <isin value="US14986DAJ90"/>
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        <balance>8547651.63000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4079920.63000000</valUSD>
        <pctVal>0.503143066201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.69000000</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>NRZ Excess Spread Collateralized Notes</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage LLC 2018-FNT2</title>
        <cusip>64829TAN1</cusip>
        <identifiers>
          <isin value="US64829TAN19"/>
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        <balance>3973618.52000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4024172.76000000</valUSD>
        <pctVal>0.496268139753</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.95000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Wells Fargo Commercial Mortgage Trust</name>
        <lei>549300W6NRTMFPYUPG47</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2015-LC20</title>
        <cusip>94989EBA4</cusip>
        <identifiers>
          <isin value="US94989EBA47"/>
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        <balance>1106000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>844156.13000000</valUSD>
        <pctVal>0.104102834863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.63000000</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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO WFCM 2015 C26 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CPHII9"/>
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        <balance>-961000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-961000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
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          <repurchaseRt>2.88000000</repurchaseRt>
          <maturityDt>2020-01-10</maturityDt>
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            <repurchaseCollateral>
              <principalAmt>1453000.00000000</principalAmt>
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              <collateralVal>1033294.17000000</collateralVal>
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              <invstCat>ABS</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO HGVLLC 6 1/8 12/01/24 REPO HGVLLC 6 1/8 12/01/24</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="965RPY904"/>
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        <balance>-1381000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-1381000.00000000</valUSD>
        <pctVal>-0.17030737542</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>2.60000000</repurchaseRt>
          <maturityDt>2020-03-04</maturityDt>
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            <repurchaseCollateral>
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              <collateralVal>1780417.44000000</collateralVal>
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              <invstCat>CDS</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>CMBX--137BERAH0-20571017</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="137BERAH0GSCRN18083100501BRYE"/>
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        <name>Morgan Stanley &amp; Co. LLC</name>
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        <name>Morgan Stanley Capital Services LLC</name>
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        <name>JPMBB Commercial Mortgage Securities Trust</name>
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        <name>Morgan Stanley Capital I Trust</name>
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          <annualizedRt>5.92000000</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>Freddie Mac - STACR</name>
        <lei>549300RWLR7W4OBRM426</lei>
        <title>Freddie Mac STACR Trust 2019-HRP1</title>
        <cusip>35564RBF0</cusip>
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          <isin value="US35564RBF01"/>
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        <balance>745000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>746847.12000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.04000000</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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO WFCM 2015 C29 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CZH006"/>
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        <balance>-2955000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2955000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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            <repurchaseCollateral>
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              <invstCat>ABS</invstCat>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS 67M 2.62800% 08/13/26</title>
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          <other otherDesc="Internal Identifier" value="SLYLODTSCITI"/>
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        <balance>23000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-1225038.01000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="56354.25">
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
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            <curCd>USD</curCd>
            <unrealizedAppr>-1225038.01</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2016-CR28 Mortgage Trust</title>
        <cusip>12593YAU7</cusip>
        <identifiers>
          <isin value="US12593YAU73"/>
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        <balance>15121412.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4694108.17000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>California Housing Finance</name>
        <lei>549300BOPCVLBA552Z14</lei>
        <title>California Housing Finance Agency</title>
        <cusip>13033DAB1</cusip>
        <identifiers>
          <isin value="US13033DAB10"/>
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        <balance>7268000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>180998.64000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.30000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Starwood Mortgage Residential Trust 2019-IMC1</name>
        <lei>N/A</lei>
        <title>Starwood Mortgage Residential Trust 2019-IMC1</title>
        <cusip>85572TAE5</cusip>
        <identifiers>
          <isin value="US85572TAE55"/>
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        <balance>917000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>929469.69000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.05000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SG Commercial Mortgage Securities Trust</name>
        <lei>549300SZQW4U3UN4A157</lei>
        <title>SG Commercial Mortgage Securities Trust 2016-C5</title>
        <cusip>78419CAV6</cusip>
        <identifiers>
          <isin value="US78419CAV63"/>
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        <balance>1866000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1831255.34000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.84000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2015-CCRE23 Mortgage Trust</title>
        <cusip>12593AAJ4</cusip>
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          <isin value="US12593AAJ43"/>
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        <balance>7180000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.23000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Deephaven Residential Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Deephave Residential Mortgage Trust 2019-2</title>
        <cusip>24381PAF0</cusip>
        <identifiers>
          <isin value="US24381PAF09"/>
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        <balance>2947000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2970397.94000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>5.79000000</annualizedRt>
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      <invstOrSec>
        <name>Morgan Stanley Capital Services LLC</name>
        <lei>I7331LVCZKQKX5T7XV54</lei>
        <title>KSS CDS USD SR 5Y D14</title>
        <cusip>000000000</cusip>
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        <balance>6826000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-106486.74000000</valUSD>
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        <assetCat>DCR</assetCat>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Morgan Stanley Capital Services LLC</counterpartyName>
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                <issuerName>Kohl's Corp</issuerName>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
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      <invstOrSec>
        <name>Colony American Finance Ltd</name>
        <lei>N/A</lei>
        <title>Corevest American Finance 2019-1 Trust</title>
        <cusip>21872FAG2</cusip>
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          <isin value="US21872FAG28"/>
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        <balance>202000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2052-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2014-GC20</title>
        <cusip>36252WAE8</cusip>
        <identifiers>
          <isin value="US36252WAE84"/>
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        <balance>3875000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2047-04-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.96000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Apollo Commercial Real Estate Finance, Inc</name>
        <lei>549300E0AN7M2AQHSY29</lei>
        <title>Apollo Commercial Real Estate Finance, Inc Term Loan B</title>
        <cusip>03768DAB3</cusip>
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          <isin value="US03768DAB38"/>
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        <balance>0.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CANADIAN GOVERNMENT</name>
        <lei>4BFD7AQU0A75QLAHK410</lei>
        <title>Canadian Government Bond</title>
        <cusip>135087G73</cusip>
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          <isin value="CA135087G732"/>
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        <balance>-6332000.00000000</balance>
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        <valUSD>-4796743.30000000</valUSD>
        <pctVal>-0.59154291237</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.00000000</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO COMM 2016 COR1 D</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="938CZQ006"/>
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        <balance>-5188000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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          <maturityDt>2020-01-15</maturityDt>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2016-CR28 Mortgage Trust</title>
        <cusip>12593YBN2</cusip>
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          <isin value="US12593YBN22"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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          <isin value="US3137F4D257"/>
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        <balance>667207000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>Taurus CMBS</name>
        <lei>8156000571844ED04411</lei>
        <title>Taurus 2018-1 IT SRL</title>
        <cusip>000000000</cusip>
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          <isin value="IT0005332512"/>
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        <balance>1473158.05000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.89086900"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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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>3137G1CV7</cusip>
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          <isin value="US3137G1CV74"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
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          <other otherDesc="Internal Identifier" value="938CNNII8"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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          <isin value="US3137FHQ978"/>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mortgage Sec Trust</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2019-KF59 Mortgage Trust</title>
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          <isin value="US30297XAJ54"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Merrill Lynch Capital Services, Inc.</name>
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        <name>Goldman Sachs International</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
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        <name>Morgan Stanley Capital Services LLC</name>
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        <name>DIAMOND RESORTS INTL INC</name>
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        <name>HAMBROS BANK LTD., LONDON</name>
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        <name>Credit Suisse International</name>
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        <title>CMBX.NA.BBB-.9</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Verus Securitization Trust</name>
        <lei>N/A</lei>
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        <name>Citibank, National Association</name>
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                <issuerName>Richmond UK Bidco Limited</issuerName>
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        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2018-K1505 Mortgage Trust</title>
        <cusip>30296QAQ5</cusip>
        <identifiers>
          <isin value="US30296QAQ55"/>
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        <balance>2849000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2740281.65000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Natixis Commercial Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Natixis Commercial Mortgage Securities Trust 2018-FL1</title>
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        <name>COMM Mortgage Trust</name>
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        <name>Chicago Mercantile Exchange</name>
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        <title>IRS 7M 2.35200% 11/08/24</title>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Parkdean TL</title>
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                <issuerName>Compass IV Limited</issuerName>
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        <fairValLevel>2</fairValLevel>
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        <name>RWT HOLDINGS INC</name>
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              <title>Redwood Trust Inc</title>
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        <name>European Loan Conduit</name>
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        <name>Colony American Finance Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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        <name>Freddie Mac - STACR</name>
        <lei>549300D2VO9JVX6KU482</lei>
        <title>STACR Trust 2018-HRP1</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO AHT1 2018 KEYS D</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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          <isin value="US3137FNAH31"/>
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        <balance>4356000.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO MSBAM 2014 C15 E</title>
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        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS 105M 3.01400% 03/14/25</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <securityLending>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO LBUBS 2006 C7 AJ</title>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
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        <title>GS Mortgage Securities Trust 2016-GS2</title>
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      <invstOrSec>
        <name>JPMBB Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>JPMBB Commercial Mortgage Securities Trust 2015-C30</title>
        <cusip>46644UBJ6</cusip>
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          <isin value="US46644UBJ60"/>
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        <balance>9651000.00000000</balance>
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        <valUSD>9101934.54000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137FMD58</cusip>
        <identifiers>
          <isin value="US3137FMD588"/>
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        <balance>1961000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>466258.48000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-25</maturityDt>
          <couponKind>Variable</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GCAT</name>
        <lei>N/A</lei>
        <title>GCAT 2019-NQM2 Trust</title>
        <cusip>36166MAE5</cusip>
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          <isin value="US36166MAE57"/>
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        <balance>100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100146.09000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.01000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Natixis Commercial Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Natixis Commercial Mortgage Securities Trust 2018-285M</title>
        <cusip>63874JAN9</cusip>
        <identifiers>
          <isin value="US63874JAN90"/>
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        <balance>108000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>107585.00000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NRZ Excess Spread Collateralized Notes</name>
        <lei>N/A</lei>
        <title>New Residential Mortgage LLC 2018-FNT2</title>
        <cusip>64829TAM3</cusip>
        <identifiers>
          <isin value="US64829TAM36"/>
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        <balance>3047992.70000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3064603.41000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CSAIL Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSAIL 2017-CX10 Commercial Mortgage Trust</title>
        <cusip>12652DAC1</cusip>
        <identifiers>
          <isin value="US12652DAC11"/>
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        <balance>92814500.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302181.74000000</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>2032-10-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.12000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SG Americas Securities, LLC</name>
        <lei>549300F35UE0BOM1WJ55</lei>
        <title>REPO LSPT 2015 LSP D REPO LSPT 2015 LSP D</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="965PFNII4"/>
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        <curCd>USD</curCd>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
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              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG Americas Securities, LLC"/>
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            <repurchaseCollateral>
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              <invstCat>ACMO</invstCat>
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          </repurchaseCollaterals>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD EUR</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19IEKBCFLJC"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.88778548"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Colony American Finance Ltd</name>
        <lei>N/A</lei>
        <title>CoreVest American Finance 2019-2Trust</title>
        <cusip>21872GAL9</cusip>
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          <isin value="US21872GAL95"/>
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        <balance>195000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>201573.96000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.22000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Ashford Hospitality Trust</name>
        <lei>N/A</lei>
        <title>Ashford Hospitality Trust 2018-KEYS</title>
        <cusip>04410CAL3</cusip>
        <identifiers>
          <isin value="US04410CAL37"/>
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        <balance>8961000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.49000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Vericrest Opportunity Loan Transferee</name>
        <lei>N/A</lei>
        <title>VOLT LXII LLC</title>
        <cusip>92872FAB4</cusip>
        <identifiers>
          <isin value="US92872FAB40"/>
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        <balance>2773000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2757928.11000000</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>2047-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.63000000</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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO GSMS 2012 GCJ9 E</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="966QNM002"/>
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        <balance>-6459000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-6459000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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            <repurchaseCollateral>
              <principalAmt>10250422.00000000</principalAmt>
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              <invstCat>ABS</invstCat>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mortgage Sec Trust</name>
        <lei>N/A</lei>
        <title>JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4</title>
        <cusip>46645UAC1</cusip>
        <identifiers>
          <isin value="US46645UAC18"/>
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        <balance>4056000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Natixis Commercial Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Natixis Commercial Mortgage Securities Trust 2018-285M</title>
        <cusip>63874FAN7</cusip>
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          <isin value="US63874FAN78"/>
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        <balance>5244000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2017-KGS1 Mortgage Trust</title>
        <cusip>30305QAG6</cusip>
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          <isin value="US30305QAG64"/>
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        <balance>8847000.00000000</balance>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Nomura CRE CDO LTD</name>
        <lei>549300U9HYZNUTPVJA78</lei>
        <title>Nomura CRE CDO 2007-2 Ltd</title>
        <cusip>65537HAF4</cusip>
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          <isin value="US65537HAF47"/>
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        <balance>6475265.35000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3627624.96000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.60000000</annualizedRt>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO COMM 2014 UBS5 D</title>
        <cusip>000000000</cusip>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
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            <repurchaseCollateral>
              <principalAmt>4395000.00000000</principalAmt>
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        <name>Goldman Sachs International</name>
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        <name>Bulldog Purchaser Inc.</name>
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        <name>The Bank of New York Mellon</name>
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        <name>Freddie Mac - STACR</name>
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        <title>Freddie Mac Structured Agency Credit Risk Debt Notes</title>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <name>Jepson 2019 DAC</name>
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        <name>Chicago Mercantile Exchange</name>
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        <name>PRPM 2017-3 LLC</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Credit Suisse Commercial Mortgage Trust Series 2007-C3</title>
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        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
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        <name>COMM Mortgage Trust</name>
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      <invstOrSec>
        <name>SG Americas Securities, LLC</name>
        <lei>549300F35UE0BOM1WJ55</lei>
        <title>REPO JPMBB 2015 C30 D REPO JPMBB 2015 C30 D</title>
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        <fairValLevel>2</fairValLevel>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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          <isin value="US3137BPCS61"/>
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        <name>Morgan Stanley BAML Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15</title>
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          <isin value="US61763KAG94"/>
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        <name>Citibank, National Association</name>
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        <name>Merrill Lynch Capital Services, Inc.</name>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2005-C6 Mortgage Trust</title>
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          <isin value="US126171AS61"/>
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      <invstOrSec>
        <name>Citigroup Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2019-C7</title>
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        <balance>639000.00000000</balance>
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        <debtSec>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2016-K60 Mortgage Trust</title>
        <cusip>302947AC0</cusip>
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          <isin value="US302947AC02"/>
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        <balance>218008797.00000000</balance>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Wells Fargo Commercial Mortgage Trust</name>
        <lei>5493007OD9MH69ES1S63</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2016-LC24</title>
        <cusip>95000HAL6</cusip>
        <identifiers>
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      </invstOrSec>
      <invstOrSec>
        <name>Wells Fargo Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2016-LC25</title>
        <cusip>95000JAC2</cusip>
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          <isin value="US95000JAC27"/>
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        <balance>5964000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2018-K156 Mortgage Trust</title>
        <cusip>302957AQ8</cusip>
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          <isin value="US302957AQ86"/>
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        <balance>3132000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Societe Generale</name>
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        <title>Apollo</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Societe Generale</counterpartyName>
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                <issuerName>Apollo Commercial Real Estate</issuerName>
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        <securityLending>
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      <invstOrSec>
        <name>Merrill Lynch Capital Services, Inc.</name>
        <lei>GDWTXX036O1TB7DW3U69</lei>
        <title>CMBX--137BERAI8-20580917</title>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Merrill Lynch Capital Services, Inc.</counterpartyName>
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                <indexName>Markit CMBX.NA.BBB-.9</indexName>
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            <unrealizedAppr>79317.91</unrealizedAppr>
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        <securityLending>
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        <name>Hilton USA Trust</name>
        <lei>N/A</lei>
        <title>Hilton Orlando Trust 2018-ORL</title>
        <cusip>432885AQ4</cusip>
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          <isin value="US432885AQ47"/>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS 17M 2.42400% 10/24/24</title>
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          <other otherDesc="Internal Identifier" value="SLYLQD22CITI"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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                <indexName>ICE Libor USD 3 Months</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="7313.78">
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        <securityLending>
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      <invstOrSec>
        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>CMBX.NA.BBB-.9</title>
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          <other otherDesc="Internal Identifier" value="137BERAI8CSFB18008081"/>
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        <balance>782000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-4613.80000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
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        <title>REPO MSBAM 2014 C19 LNC4</title>
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        <name>Citigroup Global Markets Inc.</name>
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              <counterpartyName>Citigroup Global Markets Inc.</counterpartyName>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2017-KGS1 Mortgage Trust</title>
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          <isin value="US30305QAA94"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>Intown Hotel Portfolio Trust</name>
        <lei>N/A</lei>
        <title>InTown Hotel Portfolio Trust 2018-STAY</title>
        <cusip>46117MAQ7</cusip>
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          <isin value="US46117MAQ78"/>
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        <balance>13602000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>HAMBROS BANK LTD., LONDON</name>
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        <title>REPO EURO 31 E REPO EURO 31 E</title>
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          <other otherDesc="Internal Identifier" value="965RTNII5"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.89086900"/>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LB-UBS Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>LB-UBS Commercial Mortgage Trust 2006-C3</title>
        <cusip>52108MGA5</cusip>
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          <isin value="US52108MGA53"/>
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        <balance>2636253.29000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2606765.69000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <name>Ashford Hospitality Trust</name>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <name>Credit Suisse International</name>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <name>Citigroup Global Markets Inc.</name>
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        <name>Goldman Sachs International</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Goldman Sachs International</counterpartyName>
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        <name>Prima Capital Ltd</name>
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        <name>Chicago Mercantile Exchange</name>
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        <name>Royal Bank of Canada (London, GB, Branch)</name>
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          <other otherDesc="Internal Identifier" value="965GKV909"/>
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        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Apple Leisure Group</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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                <issuerName>Apple Leisure Group</issuerName>
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      <invstOrSec>
        <name>Colony American Finance Ltd</name>
        <lei>N/A</lei>
        <title>CoreVest American Finance 2019-2Trust</title>
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          <isin value="US21872GAC96"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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      <invstOrSec>
        <name>Morgan Stanley BAML Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22</title>
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        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>CMBX--137BERAI8-20580917</title>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2014-FL5 Mortgage Trust</title>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO DBWF 2018 GLKS F</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
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        <securityLending>
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      <invstOrSec>
        <name>Starwood Mortgage Residential Trust</name>
        <lei>N/A</lei>
        <title>Starwood Mortgage Residential Trust 2019-INV1</title>
        <cusip>85572JAE7</cusip>
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          <isin value="US85572JAE73"/>
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        <balance>100000.00000000</balance>
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        <valUSD>99033.92000000</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>
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        <name>WF-RBS Commercial Mortgage Trust</name>
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        <name>Chicago Mercantile Exchange</name>
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        <name>Colony American Finance Ltd</name>
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        <name>Velocity Commercial Capital Loan Trust</name>
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        <name>The Bank of New York Mellon</name>
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        <name>NMI Holdings, Inc.</name>
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        <name>The Bank of New York Mellon</name>
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        <name>Citigroup Global Markets Inc.</name>
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        <name>FREMF Mortgage Trust</name>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Angel Oak Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Angel Oak Mortgage Trust 2019-5</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Credit Suisse International</name>
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      <invstOrSec>
        <name>Merrill Lynch Mortgage Trust</name>
        <lei>549300M2XM6P6EGN6835</lei>
        <title>Merrill Lynch Mortgage Trust 2007-C1</title>
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      <invstOrSec>
        <name>Morgan Stanley &amp; Co. LLC</name>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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          <isin value="US3137FQKF95"/>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US30308PAL40"/>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2015-CCRE23 Mortgage Trust</title>
        <cusip>12593AAL9</cusip>
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      <invstOrSec>
        <name>Morgan Stanley &amp; Co. LLC</name>
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        <title>REPO JPMCC 2016 JP4 D REPO JPMCC 2016 JP4 D</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Morgan Stanley Capital Services LLC</name>
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        <name>LHFC Depositor, LLC</name>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2016-K60 Mortgage Trust</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Cold Finance PLC</name>
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        <name>VICI PROPERTIES / NOTE</name>
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        <name>SENIOR HOUSING PROPERTIE</name>
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        <name>Velocity Commercial Capital Loan Trust</name>
        <lei>N/A</lei>
        <title>Velocity Commercial Capital Loan Trust 2019-2</title>
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        <name>Seasoned Credit Risk Transfer Trust Series 2018-2</name>
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        <title>Seasoned Credit Risk Transfer Trust Series 2018-2</title>
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          <isin value="US35563PFS39"/>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>JP Morgan Chase Commercial Mortgage Sec Trust</name>
        <lei>N/A</lei>
        <title>J.P. Morgan Chase Commercial Mortgage Securities Trust 2018-ASH8</title>
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        <balance>4292000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
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        <name>COMM Mortgage Trust</name>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
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      <invstOrSec>
        <name>Starwood Mortgage Residential Trust 2019-1</name>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Credit Suisse Commercial Mortgage Trust Series 2006-C5</title>
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          <isin value="US22545LAH24"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Ashford Hospitality Trust</name>
        <lei>N/A</lei>
        <title>Ashford Hospitality Trust 2018-KEYS</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GRACE Mortgage Trust</name>
        <lei>N/A</lei>
        <title>GRACE 2014-GRCE Mortgage Trust</title>
        <cusip>38406HAQ5</cusip>
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          <isin value="US38406HAQ56"/>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
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        <name>The Bank of New York Mellon</name>
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        <name>Morgan Stanley Capital Services LLC</name>
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        <name>Merrill Lynch Mortgage Trust</name>
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        <name>Freddie Mac - STACR</name>
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        <name>Morgan Stanley Capital Services LLC</name>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
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        <title>COMM 2014-CR14 Mortgage Trust</title>
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        <name>The Bancorp Commercial Mortgage Trust</name>
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        <name>Chicago Mercantile Exchange</name>
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        <name>Goldman Sachs International</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Lone Star Portfolio Trust</name>
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        <title>Lone Star Portfolio Trust 2015-LSP</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Homeward Opportunities Fund I Trust</name>
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        <title>Homeward Opportunities Fund I Trust 2019-1</title>
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        <name>Colony American Finance Ltd</name>
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        <name>SG Americas Securities, LLC</name>
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        <name>Citigroup Global Markets Inc.</name>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <name>Credit Suisse International</name>
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        <name>Credit Suisse International</name>
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        <name>European Residential Loan Securitization</name>
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          <isin value="XS2052239089"/>
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        <name>Walker &amp; Dunlop, Inc.</name>
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          <isin value="US93148QAD25"/>
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        <fairValLevel>2</fairValLevel>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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          <isin value="US3137FQ3J04"/>
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        <balance>2765000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <name>Citigroup Global Markets Inc.</name>
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        <title>REPO FHMS KW01 X3 REPO FHMS KW01 X3</title>
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        <fairValLevel>2</fairValLevel>
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        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
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          <isin value="US12593ABF12"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>CMBX--137BERAH0-20571017</title>
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        <balance>446000.00000000</balance>
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        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Goldman Sachs International</counterpartyName>
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                <indexName>Markit CMBX.NA.BBB-.8</indexName>
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      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137BWWF7</cusip>
        <identifiers>
          <isin value="US3137BWWF71"/>
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        <balance>45844661.11000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO FREMF 2018 K154 B</title>
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          <other otherDesc="Internal Identifier" value="938CQCII9"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JP MORGAN SECURITIES LLC</name>
        <lei>8NAV47T0Y26Q87Y0QP81</lei>
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          <other otherDesc="Internal Identifier" value="935PSW005"/>
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        <name>Options Clearing Corp.</name>
        <lei>549300CII6SLYGKNHA04</lei>
        <title>ISHARES IBOXX HIGH YIELD CORPO JAN20 79 PUT</title>
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        <assetCat>DE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO FREMF 2015 K719 B</title>
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          <other otherDesc="Internal Identifier" value="938CQBII1"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <isTriParty>N</isTriParty>
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        <name>Goldman Sachs International</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>DBWF Mortgage Trust</name>
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          <isin value="US23307GAQ91"/>
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        <name>Series RR Trust</name>
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          <isin value="US81753VAC46"/>
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          <couponKind>None</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
        <cusip>3137BVZB5</cusip>
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          <isin value="US3137BVZB57"/>
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        <curCd>USD</curCd>
        <valUSD>6312018.99000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Variable</couponKind>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
        <lei>N/A</lei>
        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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          <isin value="US3137FJY945"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>JPMBB Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
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        <cusip>46644RBH7</cusip>
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          <isin value="US46644RBH75"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Morgan Stanley &amp; Co. LLC</name>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
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          <isin value="US36192PAN69"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Morgan Stanley BAML Trust</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>Chicago Mercantile Exchange</name>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
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        <name>Trinidad Mortgage Securities</name>
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        <name>Goldman Sachs International</name>
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        <name>JPMorgan Prime Money Market Fund</name>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2031-10-25</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>N/A</lei>
        <title>COMM 2016-CR28 Mortgage Trust</title>
        <cusip>12593YAN3</cusip>
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          <isin value="US12593YAN31"/>
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        <balance>13754000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>10788983.93000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley BAML Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust 2014 C19</title>
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          <isin value="US61764PBG63"/>
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        <balance>6474438.04000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6723320.75000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
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          <other otherDesc="Trade Identifier" value="19JGKBB9214"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Home Partners of America Trust</name>
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          <isin value="US43730TAL70"/>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Morgan Stanley Capital Services LLC</name>
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        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Magnolia Finance XI DAC</name>
        <lei>N/A</lei>
        <title>Magnolia Finance XI DAC</title>
        <cusip>000000000</cusip>
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          <isin value="XS1234285366"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-04-20</maturityDt>
          <couponKind>Floating</couponKind>
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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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          <isin value="US35563PKR90"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Credit Suisse International</name>
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          <other otherDesc="Internal Identifier" value="137BERAH0190207"/>
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      <invstOrSec>
        <name>COMM Mortgage Trust</name>
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      <invstOrSec>
        <name>Goldman Sachs International</name>
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        <title>CMBX--137BERAH0-20571017</title>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Parkdean TL</title>
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        <isRestrictedSec>N</isRestrictedSec>

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                <issuerName>Parkdean TL</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley BAML Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20</title>
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      <invstOrSec>
        <name>Hilton USA Trust</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>Bear Stearns Commercial Mortgage Securities Trust 2006-PWR12</title>
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          <isin value="US07387JAN63"/>
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        <curCd>USD</curCd>
        <valUSD>289831.38000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Wells Fargo Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2019-JWDR</title>
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          <isin value="US95002NAS62"/>
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        <balance>943000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Ellington Financial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Ellington Financial Mortgage Trust 2019-2</title>
        <cusip>31573TAE8</cusip>
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          <isin value="US31573TAE82"/>
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        <balance>165000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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                <issuerName>Macy's Retail Holdings Inc</issuerName>
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      <invstOrSec>
        <name>Spruce Hill Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Spruce Hill Mortgage Loan Trust 2019-SH1</title>
        <cusip>85211XAE3</cusip>
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          <isin value="US85211XAE31"/>
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        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS 15M 2.86400% 02/24/23</title>
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              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO JPMCC 2014 FL6 C</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Goldman Sachs International</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>RBC CAPITAL MARKETS, LLC</name>
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        <name>Goldman Sachs International</name>
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        <name>FHLMC Multifamily Structured Pass Through Certs.</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <name>Morgan Stanley Capital I Trust</name>
        <lei>549300WMVIFZ8YEZUJ06</lei>
        <title>Morgan Stanley Capital I Trust 2005-IQ10</title>
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        <name>Switch, Ltd.</name>
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        <name>JPMBB Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>JPMBB Commercial Mortgage Securities Trust 2016-C1</title>
        <cusip>46645LAJ6</cusip>
        <identifiers>
          <isin value="US46645LAJ61"/>
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        <balance>3138000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2808807.95000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-03-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.74000000</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>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO WFCM 2019 JWDR F REPO WFCM 2019 JWDR F</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="965LUPII1"/>
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        <balance>-719000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-719000.00000000</valUSD>
        <pctVal>-0.08866835838</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
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            <repurchaseCollateral>
              <principalAmt>1045000.00000000</principalAmt>
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              <collateralVal>774104.09000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>ABS</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FREMF Mortgage Trust</name>
        <lei>N/A</lei>
        <title>FREMF 2016-KF16 Mortgage Trust</title>
        <cusip>30289BAE4</cusip>
        <identifiers>
          <isin value="US30289BAE48"/>
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        <balance>507167.03000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545422.10000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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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>SG Americas Securities, LLC</name>
        <lei>549300F35UE0BOM1WJ55</lei>
        <title>REPO WFCM 2016 LC24 D REPO WFCM 2016 LC24 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="965PFN903"/>
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        <balance>-3939000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-3939000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG Americas Securities, LLC"/>
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          <isTriParty>N</isTriParty>
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          <maturityDt>2020-02-07</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5805000.00000000</principalAmt>
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              <collateralVal>5287542.30000000</collateralVal>
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              <invstCat>ABS</invstCat>
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          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Natixis Commercial Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Natixis Commercial Mortgage Securities Trust 2018-FL1</title>
        <cusip>63874MBE1</cusip>
        <identifiers>
          <isin value="US63874MBE12"/>
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        <balance>750000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>746189.96000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>5.52000000</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>Cold Finance PLC</name>
        <lei>635400FTSG9PJZ77LL12</lei>
        <title>Cold Finance PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1997239105"/>
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        <balance>761000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75485900"/>
        <valUSD>1008705.49000000</valUSD>
        <pctVal>0.124395354507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.30000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMT Trust</name>
        <lei>N/A</lei>
        <title>IMT Trust 2017-APTS</title>
        <cusip>44974ABG1</cusip>
        <identifiers>
          <isin value="US44974ABG13"/>
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        <balance>192000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>189442.17000000</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>
          <maturityDt>2034-06-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HILTON GRAND VACA LLC/IN</name>
        <lei>N/A</lei>
        <title>Hilton Grand Vacations Borrower LLC / Hilton Grand Vacations Borrower Inc</title>
        <cusip>43283QAB6</cusip>
        <identifiers>
          <isin value="US43283QAB68"/>
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        <balance>10764000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11631707.25000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.13000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SG Americas Securities, LLC</name>
        <lei>549300F35UE0BOM1WJ55</lei>
        <title>REPO JPMBB 2015 C31 E REPO JPMBB 2015 C31 E</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="965PXK909"/>
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        <balance>-2519000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-2519000.00000000</valUSD>
        <pctVal>-0.31064755878</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300F35UE0BOM1WJ55" name="SG Americas Securities, LLC"/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>2.81000000</repurchaseRt>
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            <repurchaseCollateral>
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              <collateralVal>4218273.96000000</collateralVal>
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              <invstCat>ACMO</invstCat>
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          </repurchaseCollaterals>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS 15M 2.71900% 08/08/28</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="SLYLOA4GCITI"/>
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        <balance>5000000.00000000</balance>
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        <descOthUnits>Notional Amount</descOthUnits>
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        <valUSD>-350169.67000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO JPMBB 2015 C31 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CPNII6"/>
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        <balance>-382000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-382000.00000000</valUSD>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
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            <repurchaseCollateral>
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              <invstCat>ABS</invstCat>
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      </invstOrSec>
      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>GS Mortgage Securities Trust 2014-GC20</title>
        <cusip>36252WAZ1</cusip>
        <identifiers>
          <isin value="US36252WAZ14"/>
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        <balance>5172404.48000000</balance>
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        <curCd>USD</curCd>
        <valUSD>159634.06000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>CMBX.NA.BBB-.9</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="137BERAI8CS180906A"/>
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        <balance>228000.00000000</balance>
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        <valUSD>-1345.20000000</valUSD>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Credit Suisse International</counterpartyName>
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                <indexName>Markit CMBX.NA.BBB-.9</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="133.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
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        <securityLending>
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      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO GSMS 2014 GC20 D</title>
        <cusip>000000000</cusip>
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        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ML-CFC Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>ML-CFC Commercial Mortgage Trust 2007-5</title>
        <cusip>55312YAR3</cusip>
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          <isin value="US55312YAR36"/>
        </identifiers>
        <balance>2584983.21000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1566887.57000000</valUSD>
        <pctVal>0.193231361062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-12</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.45000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO COMM 2016 CR28 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CZR004"/>
        </identifiers>
        <balance>-506000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-506000.00000000</valUSD>
        <pctVal>-0.06240081966</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.05000000</repurchaseRt>
          <maturityDt>2020-01-15</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>688000.00000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>679434.40000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>ABS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>IRS 5M 2.71550% 09/08/28</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="SLYLOZ7FSSBT"/>
        </identifiers>
        <balance>1000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-70166.40000000</valUSD>
        <pctVal>-0.00865304520</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0" pmntAmt="1204.31">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="-8372.79000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.72"/>
            <terminationDt>2028-09-08</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-70166.4</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>The Bank of New York Mellon</name>
        <lei>MMYX0N4ZEZ13Z4XCG897</lei>
        <title>REPO GSMS 2016 GS2 D</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="938CNYII4"/>
        </identifiers>
        <balance>-1913000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1913000.00000000</valUSD>
        <pctVal>-0.23591456131</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="HPFHU0OQ28E4N0NFVK49" name="The Bank of New York Mellon"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.98000000</repurchaseRt>
          <maturityDt>2020-01-10</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>3325000.00000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>2235162.88000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>ABS</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMBB Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>JPMBB Commercial Mortgage Securities Trust 2015-C33</title>
        <cusip>46645JBA9</cusip>
        <identifiers>
          <isin value="US46645JBA97"/>
        </identifiers>
        <balance>11426606.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4792024.89000000</valUSD>
        <pctVal>0.590961029667</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.62000000</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 Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Wells Fargo Commercial Mortgage Trust 2019-JWDR</title>
        <cusip>95002NAL1</cusip>
        <identifiers>
          <isin value="US95002NAL10"/>
        </identifiers>
        <balance>604000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>592614.48000000</valUSD>
        <pctVal>0.073082271343</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.44000000</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>Natixis Commercial Mortgage Securities</name>
        <lei>N/A</lei>
        <title>Natixis Commercial Mortgage Securities Trust 2018-285M</title>
        <cusip>63874JAQ2</cusip>
        <identifiers>
          <isin value="US63874JAQ22"/>
        </identifiers>
        <balance>2619000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2605057.02000000</valUSD>
        <pctVal>0.321260263504</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.48000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>549300L45M7638EL0H21</lei>
        <title>GS Mortgage Securities Trust 2015-GC30</title>
        <cusip>36250GAX3</cusip>
        <identifiers>
          <isin value="US36250GAX34"/>
        </identifiers>
        <balance>5107000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4840965.65000000</valUSD>
        <pctVal>0.596996491207</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-05-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.38000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse International</name>
        <lei>E58DKGMJYYYJLN8C3868</lei>
        <title>CMBX.NA.BBB-.9</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="137BERAI8CSFB20180823"/>
        </identifiers>
        <balance>240000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-1416.00000000</valUSD>
        <pctVal>-0.00017462363</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Credit Suisse International</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CMBX.NA.BBB-.9</indexName>
                <indexIdentifier>137BERAI8</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="140.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
            <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
            <terminationDt>2058-09-18</terminationDt>
            <upfrontPmnt>0</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-19561</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>240000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>18145</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19KOKBB40LB"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.75393314"/>
        <valUSD>-55260.06000000</valUSD>
        <pctVal>-0.00681476885</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>1773000.00000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>2296407.33000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-02-20</settlementDt>
            <unrealizedAppr>-55260.06</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CD Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CD 2016-CD1 Mortgage Trust</title>
        <cusip>12514MAL9</cusip>
        <identifiers>
          <isin value="US12514MAL90"/>
        </identifiers>
        <balance>1456000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1290712.87000000</valUSD>
        <pctVal>0.159173006019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.77000000</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>WF-RBS Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>WFRBS Commercial Mortgage Trust 2014-C22</title>
        <cusip>92890KBG9</cusip>
        <identifiers>
          <isin value="US92890KBG94"/>
        </identifiers>
        <balance>1561000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1512780.87000000</valUSD>
        <pctVal>0.186558826616</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-09-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.76000000</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>J.P. Morgan Securities LLC</name>
        <lei>ZBUT11V806EZRVTWT807</lei>
        <title>CMBX--137BERAJ6-20591117</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="137BERAJ6JPM20191213"/>
        </identifiers>
        <balance>387000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>967.50000000</valUSD>
        <pctVal>0.000119313820</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>J.P. Morgan Securities LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Markit CMBX.NA.BBB-.10</indexName>
                <indexIdentifier>137BERAJ6</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
            <fixedPmntDesc amount="-225.75000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3"/>
            <terminationDt>2059-11-18</terminationDt>
            <upfrontPmnt>4595.96</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>387000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-3628.46</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Deephaven Residential Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Deephaven Residential Mortgage Trust 2019-3</title>
        <cusip>24381NAE8</cusip>
        <identifiers>
          <isin value="US24381NAE85"/>
        </identifiers>
        <balance>301000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>303316.74000000</valUSD>
        <pctVal>0.037405559674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.26000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-01-23</ncom:dateSigned>
      <ncom:nameOfApplicant>Blackstone Real Estate Income Master Fund</ncom:nameOfApplicant>
      <ncom:signature>Anthony Marone</ncom:signature>
      <ncom:signerName>Anthony Marone</ncom:signerName>
      <ncom:title>CFO and Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
