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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Dryden Senior Loan Fund</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NYC Commercial Mortgage Trust 2021-909</name>
        <lei>N/A</lei>
        <title>NYC Commercial Mortgage Trust 2026-1PARK</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Bank AG</name>
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        <name>Bayview Commercial Asset Trust</name>
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        <name>National Collegiate Student Loan Trust</name>
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        <name>Velocity Commercial Capital Loan Trust</name>
        <lei>N/A</lei>
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        <name>Dryden Senior Loan Fund</name>
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        <name>Keycorp Student Loan Trust</name>
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        <name>Bayview Commercial Asset Trust</name>
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        <name>Oakwood Mortgage Investors Inc.</name>
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        <name>First Franklin Mtg Loan Asset Backed Certificates</name>
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        <name>GSR Mortgage Loan Trust</name>
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        <name>United States Treasury</name>
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        <name>Bombardier Capital Mortgage Securitization Corp.</name>
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        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2019-B15 Mortgage Trust</title>
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        <lei>N/A</lei>
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        <name>Citibank NA</name>
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        <name>MOUNTAIN VIEW CLO</name>
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        <name>Countrywide Alternative Loan Trust</name>
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      <invstOrSec>
        <name>Residential Funding Mortgage Securities II</name>
        <lei>N/A</lei>
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        <name>BENCHMARK Mortgage Trust</name>
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      <invstOrSec>
        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
        <lei>549300SZXFEQICAU3R39</lei>
        <title>HarborView Mortgage Loan Trust 2007-4</title>
        <cusip>41164YAB7</cusip>
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        <name>SLM Student Loan Trust</name>
        <lei>54930054KUX5HFXZUQ43</lei>
        <title>SLM Private Credit Student Loan Trust 2004-A</title>
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        <name>Residential Asset Securitization Trust</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Bombardier Capital Mortgage Securitization Corp.</name>
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          <isin value="US09774XBQ43"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Goldman Sachs &amp; Co. LLC</name>
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        <name>Goldman Sachs &amp; Co. LLC</name>
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        <name>Chicago Board of Trade</name>
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        <name>Conseco Financial Corp</name>
        <lei>N/A</lei>
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        <name>UMBS, TBA</name>
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        <name>Barclays Commercial Mortgage Securities LLC</name>
        <lei>N/A</lei>
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        <balance>15387600.00000000</balance>
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        <name>Asset Backed Funding Certificates</name>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>National Collegiate Student Loan Trust</name>
        <lei>635400WP3MSHUIUNQS85</lei>
        <title>National Collegiate Student Loan Trust 2005-2</title>
        <cusip>63543PBU9</cusip>
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        <balance>728609.01000000</balance>
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        <assetCat>ABS-O</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>Countrywide Alternative Loan Trust</name>
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        <name>Bayview Commercial Asset Trust</name>
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        <name>SMB Private Education Loan Trust</name>
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        <name>National Collegiate Student Loan Trust</name>
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      <invstOrSec>
        <name>Towd Point Asset Trust</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Chicago Board of Trade</name>
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      <invstOrSec>
        <name>Oakwood Mortgage Investors Inc.</name>
        <lei>N/A</lei>
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          <isin value="US67087TBW09"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GSAA Home Equity Trust</name>
        <lei>N/A</lei>
        <title>GSAA Home Equity Trust 2006-9</title>
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          <isin value="US362382AF05"/>
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      <invstOrSec>
        <name>AGL CLO Ltd.</name>
        <lei>54930005OE1IFBESDA27</lei>
        <title>AGL CLO 12 Ltd</title>
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          <isin value="US00120BAL45"/>
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        <balance>5510000.00000000</balance>
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        <assetCat>ABS-CBDO</assetCat>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>harvest commercial capital loan trust</name>
        <lei>N/A</lei>
        <title>Harvest Commercial Capital Loan Trust 2024-1</title>
        <cusip>417927AA8</cusip>
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          <isin value="US417927AA87"/>
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        <balance>1599759.15000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Fieldstone Mortgage Investment Corp.</name>
        <lei>549300VDVZHMT2SH4W85</lei>
        <title>Fieldstone Mortgage Investment Trust Series 2004-4</title>
        <cusip>31659TCE3</cusip>
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          <isin value="US31659TCE38"/>
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        <balance>3972433.67000000</balance>
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      <invstOrSec>
        <name>Mellon Residential Funding Corporation</name>
        <lei>N/A</lei>
        <title>Mellon Re-REMIC Pass-Through Trust 2004-TBC1</title>
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          <isin value="US58552RAA86"/>
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        <balance>78391.57000000</balance>
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      <invstOrSec>
        <name>WAMU Commercial Mortgage Securities Trust</name>
        <lei>N/A</lei>
        <title>WaMu Commercial Mortgage Securities Trust 2007-SL3</title>
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          <isin value="US93364LAM00"/>
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        <name>Bayview Commercial Asset Trust</name>
        <lei>5493003DOWFR7J1QCW02</lei>
        <title>Bayview Commercial Asset Trust 2006-2</title>
        <cusip>07324YAC3</cusip>
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        <balance>1364698.30000000</balance>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>New Century Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>New Century Home Equity Loan Trust Series 2003-B</title>
        <cusip>64352VES6</cusip>
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          <isin value="US64352VES60"/>
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        <fairValLevel>2</fairValLevel>
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        <name>BENCHMARK Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Benchmark 2022-B32 Mortgage Trust</title>
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      <invstOrSec>
        <name>MKT 2020-525M Mortgage Trust</name>
        <lei>N/A</lei>
        <title>MKT 2020-525M Mortgage Trust</title>
        <cusip>55316PAA5</cusip>
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          <isin value="US55316PAA57"/>
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      <invstOrSec>
        <name>Gracechurch Mortgage Finance Plc</name>
        <lei>N/A</lei>
        <title>Grace Trust 2020-GRCE</title>
        <cusip>38406JAA6</cusip>
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          <isin value="US38406JAA60"/>
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        <balance>8625000.00000000</balance>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2006-AR2</title>
        <cusip>45661EAA2</cusip>
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          <isin value="US45661EAA29"/>
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      <invstOrSec>
        <name>Carrington Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Carrington Mortgage Loan Trust Series 2007-RFC1</title>
        <cusip>144526AC4</cusip>
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        <balance>277610.68000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Progress Residential Trust</name>
        <lei>5493002EEQ4GX2578787</lei>
        <title>Progress Residential 2021-SFR10 Trust</title>
        <cusip>74333WAA0</cusip>
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          <isin value="US74333WAA09"/>
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        <balance>1272713.82000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>Washington Mutual Mortgage Pass-Through CTFS</name>
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        <name>OZLM Ltd</name>
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        <name>Volkswagen Auto Loan Enhanced Trust</name>
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        <name>Bear Stearns Asset Backed Securities Trust</name>
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        <name>Lehman ABS Manufactured Housing Contract</name>
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        <name>Access Group Inc</name>
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        <name>SLM Student Loan Trust</name>
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        <name>SLM Student Loan Trust</name>
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        <name>Morgan Stanley Mortgage Loan Trust</name>
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        <name>Bayview Commercial Asset Trust</name>
        <lei>5493003DOWFR7J1QCW02</lei>
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        <name>LCH Ltd.</name>
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        <name>COLT Funding LLC</name>
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        <name>National Collegiate Commutation Trust</name>
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        <name>SLC Student Loan Trust</name>
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        <name>HARVEST COMMERCIAL CAPITAL LOAN TRUST</name>
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        <name>SLM Student Loan Trust</name>
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        <name>Ace Securities Corp.</name>
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        <name>LCM Ltd Partnership</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>5493004SLAYUFMHIS127</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bombardier Capital Mortgage Securitization Corp.</name>
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        <name>Venture CDO Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Chase Auto Owner Trust</name>
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      <invstOrSec>
        <name>Residential Funding Mtg Sec I</name>
        <lei>N/A</lei>
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          <isin value="US76111XYJ61"/>
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        <fairValLevel>3</fairValLevel>
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      <invstOrSec>
        <name>New Century Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>New Century Home Equity Loan Trust 2006-S1</title>
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          <isin value="US64352VQM62"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Voya CLO Ltd</name>
        <lei>254900MS3D9HONB0N824</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>OZLM Ltd</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>None</couponKind>
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      <invstOrSec>
        <name>Bear Stearns Mortgage Funding Trust</name>
        <lei>N/A</lei>
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        <name>Citibank NA</name>
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      <invstOrSec>
        <name>MASTR Second Lien Trust</name>
        <lei>N/A</lei>
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          <couponKind>Floating</couponKind>
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        <name>SLM Student Loan Trust</name>
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        <title>SLM Private Credit Student Loan Trust 2004-B</title>
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      <invstOrSec>
        <name>Oakwood Mortgage Investors Inc.</name>
        <lei>N/A</lei>
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        <name>SMB Private Education Loan Trust</name>
        <lei>549300XC4C7GRVLU6076</lei>
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        <fairValLevel>3</fairValLevel>
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        <name>Saxon Asset Securities Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>SLM Student Loan Trust</name>
        <lei>549300T563MF7L069881</lei>
        <title>SLM Private Credit Student Loan Trust 2007-A</title>
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        <balance>8274772.67000000</balance>
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        <name>Citibank NA</name>
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        <name>Battalion CLO LTD</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Colony American Finance Ltd</name>
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        <name>Sound Point CLO LTD</name>
        <lei>549300HOEGQTNS4MTZ12</lei>
        <title>Sounds Point CLO IV-R LTD</title>
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        <name>Keycorp Student Loan Trust</name>
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        <name>Goldman Sachs &amp; Co. LLC</name>
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        <name>Citibank NA</name>
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        <name>Velocity Commercial Capital Loan Trust</name>
        <lei>N/A</lei>
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        <name>Madison Park Funding Ltd</name>
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        <name>Bayview Commercial Asset Trust</name>
        <lei>5493003DOWFR7J1QCW02</lei>
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        <name>Arcap Reit Inc</name>
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        <name>SLM Student Loan Trust</name>
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        <name>Lehman XS Trust</name>
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        <name>American Home Mortgage Investment Trust</name>
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        <name>Bear Stearns Alt-A Trust</name>
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        <name>National Collegiate Student Loan Trust</name>
        <lei>635400VQIBXGEB9ZUC59</lei>
        <title>National Collegiate Student Loan Trust 2007-2</title>
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        <balance>2420890.72000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>IndyMac INDA Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDA Mortgage Loan Trust 2007-AR1</title>
        <cusip>45669AAA2</cusip>
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          <isin value="US45669AAA25"/>
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        <name>Washington Mutual Mortgage Pass-Through CTFS</name>
        <lei>N/A</lei>
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        <name>Residential Accredit Loans, Inc.</name>
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        <name>Intercontinental Exchange, Inc.</name>
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        <name>JEFFERSON MILL CLO LTD</name>
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        <name>Residential Funding Mortgage Securities II</name>
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        <name>Citibank NA</name>
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        <name>Citibank NA</name>
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        <name>Access Group Inc</name>
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        <title>AccessLex Institute</title>
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        <name>Bayview Commercial Asset Trust</name>
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        <name>Deutsche Bank AG</name>
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        <name>SLM Student Loan Trust</name>
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        <name>Deutsche Bank AG</name>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs &amp; Co. LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>SWAP/CDSWAP/CDS: (CMBX.NA.8.A)</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BMO2LAZA5"/>
        </identifiers>
        <balance>944215.69000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>61072.09000000</valUSD>
        <pctVal>0.004854610217</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>Goldman Sachs &amp; Co. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.A.8</indexName>
                <indexIdentifier>137BEOAH7</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
            <fixedPmntDesc amount="-209.83000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.00000000"/>
            <terminationDt>2057-10-17</terminationDt>
            <upfrontPmnt>15947.69000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>944215.69167000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>45124.40000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Conseco Financial Corp</name>
        <lei>N/A</lei>
        <title>Conseco Finance Corp</title>
        <cusip>393505K35</cusip>
        <identifiers>
          <isin value="US393505K355"/>
        </identifiers>
        <balance>836150.97000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>849116.08000000</valUSD>
        <pctVal>0.067496095151</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-01</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.63000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Structured Asset Mortgage Investments Inc</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust 2007-AR1</title>
        <cusip>86362XAA6</cusip>
        <identifiers>
          <isin value="US86362XAA63"/>
        </identifiers>
        <balance>2943351.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2714249.27000000</valUSD>
        <pctVal>0.215755220408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.11000000</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>Terwin Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Terwin Mortgage Trust 2006-7</title>
        <cusip>88156PAZ4</cusip>
        <identifiers>
          <isin value="US88156PAZ45"/>
        </identifiers>
        <balance>7541850.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3312717.82000000</valUSD>
        <pctVal>0.263327385330</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.33000000</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 Mortgage Trust</name>
        <lei>549300818AKCJ4Q9TD76</lei>
        <title>CSMC 2021-RPL2Trust</title>
        <cusip>12656TAB4</cusip>
        <identifiers>
          <isin value="US12656TAB44"/>
        </identifiers>
        <balance>3599930.97000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3108360.04000000</valUSD>
        <pctVal>0.247083019584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.11000000</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>Tricon American Homes</name>
        <lei>N/A</lei>
        <title>Tricon American Homes 2020-SFR1</title>
        <cusip>89613GAA4</cusip>
        <identifiers>
          <isin value="US89613GAA40"/>
        </identifiers>
        <balance>12749049.06000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12606617.96000000</valUSD>
        <pctVal>1.002097952690</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Lehman Brothers Small Balance Commercial</name>
        <lei>N/A</lei>
        <title>Lehman Brothers Small Balance Commercial Mortgage Trust 2007-1</title>
        <cusip>52521GAE5</cusip>
        <identifiers>
          <isin value="US52521GAE52"/>
        </identifiers>
        <balance>2075723.90000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1920172.68000000</valUSD>
        <pctVal>0.152634205109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.29000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs &amp; Co. LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>SWAP/CDSWAP/CDS: (CDX.NA.HY.43 15-25%)</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BMO4ER192"/>
        </identifiers>
        <balance>3060000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>274568.67000000</valUSD>
        <pctVal>0.021825417645</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>Goldman Sachs &amp; Co. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CDX.NA.HY.S43</indexName>
                <indexIdentifier>2I65BRAD3</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="29325.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.00000000"/>
            <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
            <terminationDt>2029-12-20</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-161754.86000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3060000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>436323.53000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GMO US Treasury Fund</name>
        <lei>0NIBQB0NDRTFX04R2J69</lei>
        <title>GMO US Treasury Fund</title>
        <cusip>362013369</cusip>
        <identifiers>
          <isin value="US3620133690"/>
        </identifiers>
        <balance>2323242.20000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>11639443.41000000</valUSD>
        <pctVal>0.925217409509</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EC</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMM Mortgage Trust</name>
        <lei>5493004GWEVMOU8S3L34</lei>
        <title>COMM 2018-COR3 Mortgage Trust</title>
        <cusip>12595VAD9</cusip>
        <identifiers>
          <isin value="US12595VAD91"/>
        </identifiers>
        <balance>26327712.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26034258.06000000</valUSD>
        <pctVal>2.069458817942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-05-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.23000000</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>Oakwood Mortgage Investors Inc.</name>
        <lei>N/A</lei>
        <title>Oakwood Mortgage Investors Inc</title>
        <cusip>674135DG0</cusip>
        <identifiers>
          <isin value="US674135DG09"/>
        </identifiers>
        <balance>439006.66000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>441158.63000000</valUSD>
        <pctVal>0.035067625697</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>SWAP/CDSWAP/CDS: (CMBX.NA.13.AA)</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="BMO2S1925"/>
        </identifiers>
        <balance>2000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>26784.42000000</valUSD>
        <pctVal>0.002129089065</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 NA</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AA.13</indexName>
                <indexIdentifier>137BEPAM3</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">buy protection</otherRecDesc>
            <fixedPmntDesc amount="-333.33000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.50000000"/>
            <terminationDt>2072-12-16</terminationDt>
            <upfrontPmnt>147237.07000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2000000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-120452.65000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMMONBOND STUDENT LOAN TRUST</name>
        <lei>5493005PJR3MYTKJFJ48</lei>
        <title>Commonbond Student Loan Trust 2021-A-GS</title>
        <cusip>20268WAA2</cusip>
        <identifiers>
          <isin value="US20268WAA27"/>
        </identifiers>
        <balance>2488933.08000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2168544.67000000</valUSD>
        <pctVal>0.172377253044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.20000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Daiwa Capital Markets America, Inc.</name>
        <lei>M67H5PRC0NQKM73ZAS82</lei>
        <title>REPO DAIWA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="76099L006"/>
        </identifiers>
        <balance>88001109.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88001109.00000000</valUSD>
        <pctVal>6.995193432785</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="M67H5PRC0NQKM73ZAS82" name="Daiwa Capital Markets America, Inc."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>3.65000000</repurchaseRt>
          <maturityDt>2026-03-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>88470000.00000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>89907828.60000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Hyundai Auto Receivables Trust</name>
        <lei>N/A</lei>
        <title>Hyundai Auto Receivables Trust 2024-A</title>
        <cusip>448973AD9</cusip>
        <identifiers>
          <isin value="US448973AD90"/>
        </identifiers>
        <balance>6134601.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6185349.06000000</valUSD>
        <pctVal>0.491672362038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.99000000</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="Please see notes to financial statements or N-PORT part F for a glossary of swap paid and received terms." noteItem="C.11.a"/>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees, if any." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2026-03-26</ncom:dateSigned>
      <ncom:nameOfApplicant>GMO TRUST</ncom:nameOfApplicant>
      <ncom:signature>Betty Maganzini</ncom:signature>
      <ncom:signerName>Betty Maganzini</ncom:signerName>
      <ncom:title>Treasurer</ncom:title>
    </signature>
  </formData>
</edgarSubmission>
