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          <maturityDt>2025-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31406TV99</cusip>
        <identifiers>
          <isin value="US31406TV990"/>
        </identifiers>
        <balance>207100.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214711.11000000</valUSD>
        <pctVal>0.008034777470</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.46000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANK PLC</name>
        <lei>H7FNTJ4851HG0EXQ1Z70</lei>
        <title>Lloyds Bank PLC</title>
        <cusip>53944VAS8</cusip>
        <identifiers>
          <isin value="US53944VAS88"/>
        </identifiers>
        <balance>8100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8079988.55000000</valUSD>
        <pctVal>0.302363999516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Inc</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup Inc</title>
        <cusip>172967LG4</cusip>
        <identifiers>
          <isin value="US172967LG49"/>
        </identifiers>
        <balance>8400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8525033.24000000</valUSD>
        <pctVal>0.319018168219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Apidos CLO</name>
        <lei>549300SXGU1ZTWUMZ124</lei>
        <title>Apidos CLO XVI</title>
        <cusip>03764UAN3</cusip>
        <identifiers>
          <isin value="US03764UAN37"/>
        </identifiers>
        <balance>473644.16000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>473860.14000000</valUSD>
        <pctVal>0.017732481457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.28000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>General Electric Co</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
        <title>General Electric Co</title>
        <cusip>36962G5J9</cusip>
        <identifiers>
          <isin value="US36962G5J92"/>
        </identifiers>
        <balance>2300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2392519.34000000</valUSD>
        <pctVal>0.089531279912</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.65000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>PURCHASED GBP / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IFKBBNMZP"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.81180086"/>
        <valUSD>-3771.03000000</valUSD>
        <pctVal>-0.00014111699</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <amtCurSold>1219586.45000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>987000.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>-3771.03000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00M8G6 IRS JPY R F  1.00000 SWU00M8G6 CCPVANILLA / Short: SWU00M8G6 IRS JPY P V 06MLIBOR SWUV0M8G8 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0ZDB61"/>
        </identifiers>
        <balance>110000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>203638.82000000</valUSD>
        <pctVal>0.007620437540</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="21346.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2048-03-21</terminationDt>
            <upfrontPmnt>28539534.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>110000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-64351.17000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>General Motors Financial Co Inc</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co Inc</title>
        <cusip>37045XCH7</cusip>
        <identifiers>
          <isin value="US37045XCH70"/>
        </identifiers>
        <balance>4100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4097450.01000000</valUSD>
        <pctVal>0.153332070358</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.16000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Marriott International Inc/MD</name>
        <lei>225YDZ14ZO8E1TXUSU86</lei>
        <title>Marriott International Inc/MD</title>
        <cusip>571903BA0</cusip>
        <identifiers>
          <isin value="US571903BA05"/>
        </identifiers>
        <balance>7000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7450358.23000000</valUSD>
        <pctVal>0.278802389175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.15000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RMB9</cusip>
        <identifiers>
          <isin value="US38376RMB95"/>
        </identifiers>
        <balance>365330.84000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>365998.63000000</valUSD>
        <pctVal>0.013696159208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.93000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Lloyds Banking Group PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>Lloyds Banking Group PLC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1043552188"/>
        </identifiers>
        <balance>2500000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.81330600"/>
        <valUSD>3342837.75000000</valUSD>
        <pctVal>0.125093468334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-27</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.63000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810QZ4</cusip>
        <identifiers>
          <isin value="US912810QZ49"/>
        </identifiers>
        <balance>4500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5367128.90000000</valUSD>
        <pctVal>0.200845155915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.13000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00W8Y5 IRS GBP R V 06MLIBOR SWUV0W8Y7 CCPVANILLA / Short: BWU00W8Y5 IRS GBP P F   .75000 SWU00W8Y5 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1ARTU3"/>
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        <balance>16800000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.81330600"/>
        <valUSD>-221964.93000000</valUSD>
        <pctVal>-0.00830622513</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>London Interbank Offer Rate 6 Months</indexName>
                <indexIdentifier>BP0006M Index</indexIdentifier>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="London Interbank Offer Rate 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <fixedPmntDesc amount="0.00000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.75000000"/>
            <terminationDt>2030-03-18</terminationDt>
            <upfrontPmnt>139372.17000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>16800000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-395057.77000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>US 10YR FUT OPTN  Dec19P 115.5</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1DYLH2"/>
        </identifiers>
        <balance>1178.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1178.00000000</valUSD>
        <pctVal>0.000044082338</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Citigroup Global Markets Inc.</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>10 Year US Treasury Note Future</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1DYLH2E"/>
                    </identifiers>
                    <balance>1178000.00000000</balance>
                    <units>NC</units>
                    <curCd>N/A</curCd>
                    <valUSD>1178.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>10 Year US Treasury Note</indexName>
                      <indexIdentifier>TYZ9 Comdty</indexIdentifier>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <expDate>2019-12-19</expDate>
                  <notionalAmt>1178000.00000000</notionalAmt>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Eurex Deutschland</name>
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        <name>BNP Paribas</name>
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        <name>Barings Euro CLO 2016-1 B.V.</name>
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        <title>Barings Euro CLO 2016-1 BV</title>
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        <name>FirstEnergy Corp</name>
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        <name>Barclays Bank PLC</name>
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        <name>WaMu Mortgage Pass-Through Certificates Series</name>
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        <name>Bank of America, National Association</name>
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        <name>CBL &amp; Associates LP</name>
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        <name>Chicago Board Of Trade</name>
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        <name>Air Lease Corp</name>
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        <name>State of Qatar</name>
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        <name>United States Treasury</name>
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        <name>The Goldman Sachs Group, Inc.</name>
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        <name>Fannie Mae</name>
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        <name>HSBC Holdings PLC</name>
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        <name>Countrywide Home Loans</name>
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        <name>Home Equity Asset Trust</name>
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        <name>Octagon Investment Partners XXIII Ltd</name>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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        <name>MITSUBISHI UFJ LEASE&amp;FIN</name>
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        <title>Mitsubishi UFJ Lease &amp; Finance Co Ltd</title>
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        <curCd>USD</curCd>
        <valUSD>4082373.20000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>CIT Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>CIT Mortgage Loan Trust 2007-1</title>
        <cusip>12559QAA0</cusip>
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          <isin value="US12559QAA04"/>
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        <balance>4126711.33000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4172593.34000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>Bayer US Finance II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>Bayer US Finance II LLC</title>
        <cusip>07274NAA1</cusip>
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          <isin value="US07274NAA19"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Aviation Capital Group LLC</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>Aviation Capital Group LLC</title>
        <cusip>05369AAC5</cusip>
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          <isin value="US05369AAC53"/>
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        <balance>3900000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Volkswagen Group of America Finance LLC</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>Volkswagen Group of America Finance LLC</title>
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          <isin value="US928668AV40"/>
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        <balance>6700000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-13</maturityDt>
          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Hilton USA Trust</name>
        <lei>N/A</lei>
        <title>Hilton USA Trust 2016-SFP</title>
        <cusip>43289VAA1</cusip>
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          <isin value="US43289VAA17"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2035-11-05</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FIXED INC CLEARING CORP.REPO</name>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <clearedCentCparty centralCounterparty="FIXED INC CLEARING CORP.REPO" isCleared="Y"/>
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      <invstOrSec>
        <name>Washington Prime Group LP</name>
        <lei>549300K4BNOIQ154O537</lei>
        <title>Washington Prime Group LP</title>
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        <balance>22800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>22293840.00000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CHARTER COMM OPT LLC/CAP</name>
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        <title>Charter Communications Operating LLC / Charter Communications Operating Capital</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>Government National Mortgage Association</name>
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        <title>Ginnie Mae II Pool</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <title>PURCHASED USD / SOLD EUR</title>
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      <invstOrSec>
        <name>HSBC Bank USA, National Association</name>
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                <issuerName>Petrobras Global Finance BV</issuerName>
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      <invstOrSec>
        <name>United States Small Business Administration</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Small Business Administration</title>
        <cusip>83162CNQ2</cusip>
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        <curCd>USD</curCd>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Royal Bank of Scotland Group PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>Royal Bank of Scotland Group PLC</title>
        <cusip>780097BB6</cusip>
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        <balance>3800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4069230.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>8.63000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>PURCHASED RUB / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HIKBB7H0D"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <valUSD>2855.19000000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP Paribas</counterpartyName>
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            <amtCurSold>421000.00000000</amtCurSold>
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            <amtCurPur>27530242.50000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2019-10-11</settlementDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase &amp; Co</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Progress Energy Inc</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Eurex Deutschland</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>Barclays PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
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        <name>Fannie Mae</name>
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      <invstOrSec>
        <name>UniCredit SpA</name>
        <lei>549300TRUWO2CD2G5692</lei>
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        <invCountry>IT</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
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      <invstOrSec>
        <name>Tayarra Ltd</name>
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        <name>American Tower Corp</name>
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        <title>American Tower Corp</title>
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        <name>BNP PARIBAS SA</name>
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        <title>PARIBAS REVERSE REPO EUR ZCP</title>
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        <issuerCat>CORP</issuerCat>
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        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>Barclays Bank PLC</title>
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        <invCountry>GB</invCountry>
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        <name>Freddie Mac</name>
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        <title>Freddie Mac Non Gold Pool</title>
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        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <name>GS Mortgage Securities Trust</name>
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        <name>Banc of America Funding Corporation</name>
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        <name>Svenska Handelsbanken AB</name>
        <lei>NHBDILHZTYCNBV5UYZ31</lei>
        <title>Svenska Handelsbanken AB</title>
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        <invCountry>SE</invCountry>
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      <invstOrSec>
        <name>CVS Health Corp</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS Health Corp</title>
        <cusip>126650CC2</cusip>
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        <balance>400000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BOSTON PROPERTIES LP</name>
        <lei>BVHHEFJI6SHNOKQT2572</lei>
        <title>Boston Properties LP</title>
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        <balance>6500000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Pernod Ricard SA</name>
        <lei>52990097YFPX9J0H5D87</lei>
        <title>Pernod Ricard SA</title>
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        <balance>4000000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BONOS Y OBLIG DEL ESTADO</name>
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        <title>Spain Government Bond</title>
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          <isin value="ES0000012B88"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00NYG5 IRS JPY R V 06MLIBOR SWUV0NYG7 CCPVANILLA / Short: BWU00NYG5 IRS JPY P F   .39900 SWU00NYG5 CCPVANILLA</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Societe Generale SA</name>
        <lei>O2RNE8IBXP4R0TD8PU41</lei>
        <title>Societe Generale SA</title>
        <cusip>83368RAL6</cusip>
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        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>Chicago Board Of Trade</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US 10YR NOTE (CBT)DEC19 XCBT 20191219</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI19T4T1"/>
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        <assetCat>DIR</assetCat>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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              <indexBasketInfo>
                <indexName>10 Year US Treasury Note</indexName>
                <indexIdentifier>TYZ9 Comdty</indexIdentifier>
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      <invstOrSec>
        <name>BONOS Y OBLIG DEL ESTADO</name>
        <lei>9598007A56S18711AH60</lei>
        <title>Spain Government Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="ES0000012F43"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>OATZ9C200 DEC19 200 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI616755"/>
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        <balance>150.00000000</balance>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810RC4</cusip>
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          <isin value="US912810RC45"/>
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        <balance>14800000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>HSBC Bank USA, National Association</name>
        <lei>1IE8VN30JCEQV1H4R804</lei>
        <title>PURCHASED USD / SOLD JPY</title>
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          <other otherDesc="Trade Identifier" value="19HRKBBQSDZ"/>
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        <name>Structured Asset Mortgage Investments Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust 2005-AR8</title>
        <cusip>86359LRW1</cusip>
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          <isin value="US86359LRW18"/>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>Business Mortgage Finance 7 PLC</name>
        <lei>6354003XKCGEIVFGHI58</lei>
        <title>Business Mortgage Finance 7 PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS0330211359"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Gallatin Funding Ltd</name>
        <lei>N/A</lei>
        <title>Gallatin CLO IX 2018-1 Ltd</title>
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          <isin value="US36361WAC01"/>
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        <balance>6700000.00000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Teva Pharmaceutical Finance Netherlands II BV</name>
        <lei>549300HSQCIKJAOYIT23</lei>
        <title>Teva Pharmaceutical Finance Netherlands II BV</title>
        <cusip>000000000</cusip>
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          <isin value="XS1812903828"/>
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        <balance>3800000.00000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00NYH3 IRS JPY R F   .38000 SWU00NYH3 CCPVANILLA / Short: SWU00NYH3 IRS JPY P V 06MLIBOR SWUV0NYH5 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S11QPF2"/>
        </identifiers>
        <balance>7090000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>2681895.60000000</valUSD>
        <pctVal>0.100360127354</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="7729261.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.38000000"/>
            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2028-06-18</terminationDt>
            <upfrontPmnt>28375777.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>7090000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>2430342.24000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RGB6</cusip>
        <identifiers>
          <isin value="US38376RGB69"/>
        </identifiers>
        <balance>8602199.40000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8593820.00000000</valUSD>
        <pctVal>0.321592260959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.83000000</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>Jersey Central Power &amp; Light Co</name>
        <lei>549300W9UGH9ZPLNPF79</lei>
        <title>Jersey Central Power &amp; Light Co</title>
        <cusip>476556DB8</cusip>
        <identifiers>
          <isin value="US476556DB87"/>
        </identifiers>
        <balance>4700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5133424.65000000</valUSD>
        <pctVal>0.192099629694</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.70000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs &amp; Co. LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>US BOND FUTR OPTN Dec19C 220</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1F3Z18"/>
        </identifiers>
        <balance>69.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>69.00000000</valUSD>
        <pctVal>0.000002582072</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs &amp; Co. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>US Treasury Long Bond Future</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1F3Z18E"/>
                    </identifiers>
                    <balance>69000.00000000</balance>
                    <units>NC</units>
                    <curCd>N/A</curCd>
                    <valUSD>69.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>US Treasury Long Bond</indexName>
                      <indexIdentifier>USZ9 Comdty</indexIdentifier>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <expDate>2019-12-19</expDate>
                  <notionalAmt>69000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1000.00000000</shareNo>
            <exercisePrice>220.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2019-11-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-524.40000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179QYT2</cusip>
        <identifiers>
          <isin value="US36179QYT20"/>
        </identifiers>
        <balance>966041.55000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1027504.22000000</valUSD>
        <pctVal>0.038450584868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Accredit Loans, Inc</name>
        <lei>N/A</lei>
        <title>RALI Series 2005-QO3 Trust</title>
        <cusip>761118KU1</cusip>
        <identifiers>
          <isin value="US761118KU16"/>
        </identifiers>
        <balance>191294.96000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>173729.53000000</valUSD>
        <pctVal>0.006501191827</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS AG/London</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>UBS AG/London</title>
        <cusip>902674XK1</cusip>
        <identifiers>
          <isin value="US902674XK19"/>
        </identifiers>
        <balance>4300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4314717.95000000</valUSD>
        <pctVal>0.161462527833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.45000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Group Inc/The</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group Inc/The</title>
        <cusip>38141GWU4</cusip>
        <identifiers>
          <isin value="US38141GWU48"/>
        </identifiers>
        <balance>7100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7093649.55000000</valUSD>
        <pctVal>0.265453872345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90000000</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 Trust</name>
        <lei>N/A</lei>
        <title>Structured Asset Mortgage Investments II Trust 2005-AR5</title>
        <cusip>86359LPE3</cusip>
        <identifiers>
          <isin value="US86359LPE38"/>
        </identifiers>
        <balance>29775.48000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29414.13000000</valUSD>
        <pctVal>0.001100716162</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.31000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>US BOND FUTR OPTN DEC19C 190 EXP 11/22/2019</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1F7ZR2"/>
        </identifiers>
        <balance>38.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>38.00000000</valUSD>
        <pctVal>0.000001422010</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Citigroup Global Markets Inc.</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>US Treasury Long Bond Future</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1F7ZR2E"/>
                    </identifiers>
                    <balance>38000.00000000</balance>
                    <units>NC</units>
                    <curCd>N/A</curCd>
                    <valUSD>38.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>US Treasury Long Bond</indexName>
                      <indexIdentifier>USZ9 Comdty</indexIdentifier>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <expDate>2019-12-19</expDate>
                  <notionalAmt>38000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1000.00000000</shareNo>
            <exercisePrice>190.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2019-11-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-288.80000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0426B4</cusip>
        <identifiers>
          <isin value="US01F0426B49"/>
        </identifiers>
        <balance>-16000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-16857274.56000000</valUSD>
        <pctVal>-0.63082180443</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0306C7</cusip>
        <identifiers>
          <isin value="US01F0306C76"/>
        </identifiers>
        <balance>61000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61836547.90000000</valUSD>
        <pctVal>2.314006489440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2002-30</title>
        <cusip>12669DFF0</cusip>
        <identifiers>
          <isin value="US12669DFF06"/>
        </identifiers>
        <balance>26658.63000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25459.30000000</valUSD>
        <pctVal>0.000952721123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-19</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.70000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31414AGW6</cusip>
        <identifiers>
          <isin value="US31414AGW62"/>
        </identifiers>
        <balance>10164.81000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10984.74000000</valUSD>
        <pctVal>0.000411063691</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <balance>88700000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Mitsubishi UFJ Financial Group Inc</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Chicago Board Of Trade</name>
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          <other otherDesc="Internal Identifier" value="ADI19ZWQ2"/>
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        <fairValLevel>1</fairValLevel>
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            <payOffProf>Long</payOffProf>
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                <indexName>5 Year US Treasury Note</indexName>
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      <invstOrSec>
        <name>NTT Finance Corp</name>
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          <isin value="XS1438319656"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Air Lease Corp</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
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        <name>Towd Point Mortgage Funding</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>BBVA USA</name>
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        <name>LCH Limited</name>
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        <name>Freddie Mac</name>
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        <title>Freddie Mac REMICS</title>
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      <invstOrSec>
        <name>Citigroup Commercial Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Citigroup Commercial Mortgage Trust 2017-1500</title>
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      <invstOrSec>
        <name>GSR Mortgage Loan Trust</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>GSR Mortgage Loan Trust 2006-AR1</title>
        <cusip>3623414A4</cusip>
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        <balance>2260.15000000</balance>
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        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Bank Aktiengesellschaft</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Chicago Mercantile Exchange</name>
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        <name>Springleaf Finance Corp</name>
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      <invstOrSec>
        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
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        <name>Bank of America Corp</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
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          <isin value="US06051GHC69"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-20</maturityDt>
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      <invstOrSec>
        <name>Navient Student Loan Trust</name>
        <lei>N/A</lei>
        <title>Navient Student Loan Trust 2017-3</title>
        <cusip>63940JAA7</cusip>
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        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>Goldman Sachs &amp; Co. LLC</name>
        <lei>FOR8UP27PHTHYVLBNG30</lei>
        <title>317U311P1 IRO USD 5Y P 2.75000 DEC19 2.75 PUT</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <name>ING Groep NV</name>
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        <name>Capital One Financial Corp</name>
        <lei>ZUE8T73ROZOF6FLBAR73</lei>
        <title>Capital One Financial Corp</title>
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        <name>Japan Finance Organization for Municipalities</name>
        <lei>5493007YYYNZ4NMEOD64</lei>
        <title>Japan Finance Organization for Municipalities</title>
        <cusip>471068AN6</cusip>
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        <name>Citigroup Global Markets Inc.</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
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        <name>Intercontinental Exchange, Inc.</name>
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        <name>United States Treasury</name>
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        <name>Wells Fargo &amp; Co</name>
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        <name>Centene Escrow I Corp</name>
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        <name>Chicago Board Of Trade</name>
        <lei>549300EX04Q2QBFQTQ27</lei>
        <title>US LONG BOND(CBT) DEC19 XCBT 20191219</title>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC Bank USA, National Association</name>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>SABRA HEALTH/CAPTL CORP</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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        <fairValLevel>2</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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      <invstOrSec>
        <name>Bank of Montreal</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <invstCat>UST</invstCat>
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      <invstOrSec>
        <name>Goldman Sachs &amp; Co. LLC</name>
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        <name>Citigroup Inc</name>
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        <name>Government National Mortgage Association</name>
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        <name>Citigroup Mortgage Loan Trust</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
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        <name>GSAMP Trust</name>
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        <name>Skandinaviska Enskilda Banken AB</name>
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        <title>Skandinaviska Enskilda Banken AB</title>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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      <invstOrSec>
        <name>GS Mortgage Securities Trust</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>GS Mortgage Securities Trust 2016-GS3</title>
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        <balance>4400000.00000000</balance>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                  <derivAddlInfo>
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                    <indexBasketInfo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-60.80000000</unrealizedAppr>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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        <currencyConditional curCd="GBP" exchangeRt="0.81180086"/>
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        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Asset-Backed Certificates</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
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        <cusip>000000000</cusip>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912810RL4</cusip>
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          <isin value="US912810RL44"/>
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        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Pool</title>
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          <isin value="US3132AD3K27"/>
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      <invstOrSec>
        <name>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>State of Illinois</title>
        <cusip>452152BM2</cusip>
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      <invstOrSec>
        <name>Kraft Heinz Foods Co</name>
        <lei>5493003STKEZ2S0RNU91</lei>
        <title>Kraft Heinz Foods Co</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>Ally Financial Inc</name>
        <lei>549300JBN1OSM8YNAI90</lei>
        <title>Ally Financial Inc</title>
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          <couponKind>Fixed</couponKind>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810QE1</cusip>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>9128285W6</cusip>
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        <balance>54867240.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>58189011.90000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>0.88000000</annualizedRt>
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        <name>Emera US Finance LP</name>
        <lei>NQZVQT2P5IUF2PGA1Q48</lei>
        <title>Emera US Finance LP</title>
        <cusip>29103DAF3</cusip>
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          <isin value="US29103DAF33"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Aircastle Ltd</name>
        <lei>549300PNK8AKY3OIKP58</lei>
        <title>Aircastle Ltd</title>
        <cusip>00928QAM3</cusip>
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          <isin value="US00928QAM33"/>
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        <balance>2400000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2487551.04000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>BM</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.13000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Mortgage Loan Trust 2007-14AR</title>
        <cusip>61756VAC3</cusip>
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          <isin value="US61756VAC37"/>
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        <balance>903613.91000000</balance>
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        <curCd>USD</curCd>
        <valUSD>856467.31000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.22000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <name>Nationwide Building Society</name>
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        <fairValLevel>2</fairValLevel>
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        <name>United States Treasury</name>
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        <title>United States Treasury Note/Bond</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Welltower Inc</name>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
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        <fairValLevel>1</fairValLevel>
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        <name>LCH Limited</name>
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      <invstOrSec>
        <name>Cooperatieve Rabobank UA</name>
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        <title>Cooperatieve Rabobank UA</title>
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      <invstOrSec>
        <name>LoanCore 2018-CRE1 Issuer Ltd</name>
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        <invCountry>KY</invCountry>
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        <name>Mizuho Financial Group Inc</name>
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        <fairValLevel>2</fairValLevel>
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        <name>RMAC Securities PLC</name>
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        <name>Daimler Finance North America LLC</name>
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        <name>United States Treasury</name>
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        <name>Countrywide Alternative Loan Trust</name>
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        <name>Unibail-Rodamco SE</name>
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        <name>Deutsche Bank AG/New York NY</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
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        <name>General Motors Financial Co Inc</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co Inc</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>Wells Fargo Bank NA</name>
        <lei>KB1H1DSPRFMYMCUFXT09</lei>
        <title>Wells Fargo Bank NA</title>
        <cusip>94988J5U7</cusip>
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        <balance>5800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5818397.60000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.79000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38375UG53</cusip>
        <identifiers>
          <isin value="US38375UG536"/>
        </identifiers>
        <balance>3473922.65000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3509965.29000000</valUSD>
        <pctVal>0.131347604848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2067-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.98000000</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>HSBC Holdings PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC Holdings PLC</title>
        <cusip>404280BV0</cusip>
        <identifiers>
          <isin value="US404280BV07"/>
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        <balance>6500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6508878.35000000</valUSD>
        <pctVal>0.243570950390</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>PAYPAL HOLDINGS INC</name>
        <lei>5493005X2GO78EFZ3E94</lei>
        <title>PayPal Holdings Inc</title>
        <cusip>70450YAE3</cusip>
        <identifiers>
          <isin value="US70450YAE32"/>
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        <balance>6700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6741684.85000000</valUSD>
        <pctVal>0.252282881604</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.85000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Small Business Administration</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Small Business Administration</title>
        <cusip>83162CNF6</cusip>
        <identifiers>
          <isin value="US83162CNF67"/>
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        <balance>21317.89000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22180.41000000</valUSD>
        <pctVal>0.000830020666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.13000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley Bank of America Merrill Lynch Trust</name>
        <lei>N/A</lei>
        <title>Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20</title>
        <cusip>61764RBD9</cusip>
        <identifiers>
          <isin value="US61764RBD98"/>
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        <balance>6000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6165349.20000000</valUSD>
        <pctVal>0.230715629235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.07000000</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>Broadcom Inc</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>Broadcom Inc</title>
        <cusip>11135FAC5</cusip>
        <identifiers>
          <isin value="US11135FAC59"/>
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        <balance>5300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5366513.52000000</valUSD>
        <pctVal>0.200822127571</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.13000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns Alt-A Trust</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>Bear Stearns ALT-A Trust 2006-6</title>
        <cusip>073868AV3</cusip>
        <identifiers>
          <isin value="US073868AV35"/>
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        <balance>2967760.85000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2748075.02000000</valUSD>
        <pctVal>0.102836649937</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.05000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Banco Espirito Santo SA</name>
        <lei>UBGVXZLX4SCS302CM391</lei>
        <title>Banco Espirito Santo SA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="PTBEQKOM0019"/>
        </identifiers>
        <balance>1600000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
        <valUSD>331344.90000000</valUSD>
        <pctVal>0.012399370192</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>PT</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2017-05-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.63000000</annualizedRt>
          <isDefault>Y</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>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac REMICS</title>
        <cusip>3137BRC60</cusip>
        <identifiers>
          <isin value="US3137BRC604"/>
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        <balance>4839905.20000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4841901.18000000</valUSD>
        <pctVal>0.181190430776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.43000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00WG59 IRS JPY R F   .06400 SWU00WG59 CCPVANILLA / Short: SWU00WG59 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE -0.064</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1ATHC2"/>
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        <balance>818000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>30840.68000000</valUSD>
        <pctVal>0.001154099575</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>818000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>PURCHASED GBP / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IJKBBQ7LZ"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.81180086"/>
        <valUSD>-14837.53000000</valUSD>
        <pctVal>-0.00055524025</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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            <amtCurSold>1132106.61000000</amtCurSold>
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            <amtCurPur>907000.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>-14837.53000000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31418C3D4</cusip>
        <identifiers>
          <isin value="US31418C3D48"/>
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        <balance>4196443.12000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4366445.65000000</valUSD>
        <pctVal>0.163398247687</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Banco Espirito Santo SA</name>
        <lei>UBGVXZLX4SCS302CM391</lei>
        <title>Banco Espirito Santo SA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="PTBENKOM0012"/>
        </identifiers>
        <balance>800000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
        <valUSD>165672.45000000</valUSD>
        <pctVal>0.006199685096</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>PT</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-01-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>Y</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>KEURIG DR PEPPER INC</name>
        <lei>DYTQ8KRTKO7Y2BVU5K74</lei>
        <title>Keurig Dr Pepper Inc</title>
        <cusip>49271VAG5</cusip>
        <identifiers>
          <isin value="US49271VAG59"/>
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        <balance>6700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7085578.84000000</valUSD>
        <pctVal>0.265151855561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.06000000</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>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae REMICS</title>
        <cusip>3136ATVF8</cusip>
        <identifiers>
          <isin value="US3136ATVF87"/>
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        <balance>3440122.02000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3441332.25000000</valUSD>
        <pctVal>0.128779264516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.68000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00RJE8 IRS JPY R V 06MLIBOR SWUV0RJE0 CCPVANILLA / Short: BWU00RJE8 IRS JPY P F   .78500 SWU00RJE8 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
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        <cusip>12667GCB7</cusip>
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          <isin value="US12667GCB77"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bear Stearns Structured Products Inc Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>UBS Group Funding Switzerland AG</name>
        <lei>506700Q800G1L95S7805</lei>
        <title>UBS Group Funding Switzerland AG</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citigroup Mortgage Loan Trust</name>
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        <title>Citigroup Mortgage Loan Trust Inc</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <name>Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp</name>
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        <name>Nomura Asset Acceptance Corp</name>
        <lei>549300B3CEAHYG7K8164</lei>
        <title>NACC Reperforming Loan REMIC Trust 2004-R1</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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        <name>Crown Castle International Corp</name>
        <lei>54930012H97VSM0I2R19</lei>
        <title>Crown Castle International Corp</title>
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        <name>Countrywide Asset-Backed Certificates</name>
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        <title>Countrywide Asset-Backed Certificates</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376REZ5</cusip>
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          <isin value="US38376REZ55"/>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED AUD / SOLD USD</title>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376REA0</cusip>
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        <balance>8025876.42000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>9128282Y5</cusip>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>PETROLEOS MEXICANOS</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2030-01-23</maturityDt>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Bear Stearns Alt-A Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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        <name>Countrywide Asset-Backed Certificates</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Molson Coors Brewing Co</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>Ford Motor Credit Co LLC</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>Ford Credit Auto Owner Trust</name>
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        <curCd>USD</curCd>
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          <couponKind>Floating</couponKind>
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        <name>Wells Fargo Mortgage Backed Securities Trust</name>
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        <name>Bank of America, National Association</name>
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          <other otherDesc="Trade Identifier" value="19HIKBBR0CS"/>
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        <name>Svenska Handelsbanken AB</name>
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        <title>Svenska Handelsbanken AB</title>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <name>United States Treasury</name>
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        <title>United States Treasury Note/Bond</title>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>SoFi Professional Loan Program LLC</name>
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        <curCd>USD</curCd>
        <valUSD>3767037.11000000</valUSD>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>United States Treasury</name>
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        <name>Regions Bank/Birmingham AL</name>
        <lei>EQTWLK1G7ODGC2MGLV11</lei>
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        <name>VMware Inc</name>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <name>BNP Paribas</name>
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        <name>Teva Pharmaceutical Finance Netherlands II BV</name>
        <lei>549300HSQCIKJAOYIT23</lei>
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        <name>Government National Mortgage Association</name>
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        <title>Ginnie Mae</title>
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        <name>Morgan Stanley ABS Capital I Inc Trust</name>
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        <title>Morgan Stanley ABS Capital I Inc Trust 2007-HE5</title>
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        <name>BP Capital Markets America Inc</name>
        <lei>5493009NTB34VXE1T760</lei>
        <title>BP Capital Markets America Inc</title>
        <cusip>10373QAD2</cusip>
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        <name>Asx - Trade24</name>
        <lei>549300USWUR0S7VMM868</lei>
        <title>AUST 10Y BOND FUT DEC19 XSFE 20191216</title>
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        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
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        <name>Goldman Sachs &amp; Co. LLC</name>
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        <name>ICE Futures Europe</name>
        <lei>549300UF4R84F48NCH34</lei>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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          <other otherDesc="Trade Identifier" value="19ICKBBNGJV"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Wells Fargo Bank NA</name>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>ZF North America Capital Inc</name>
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        <balance>800000.00000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Freddie Mac</name>
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        <title>Freddie Mac Gold Pool</title>
        <cusip>3128MJ3B4</cusip>
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        <balance>824894.81000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Goldman Sachs International</name>
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        <units>OU</units>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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                <issuerName>Petrobras Global Finance BV</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      <invstOrSec>
        <name>TICP CLO Ltd</name>
        <lei>N/A</lei>
        <title>TICP CLO I Ltd</title>
        <cusip>87248BAQ7</cusip>
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        <balance>7100000.00000000</balance>
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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>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
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        <balance>1983401.51000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2104931.01000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>NXP BV / NXP Funding LLC</name>
        <lei>724500M9BY5293JDF951</lei>
        <title>NXP BV / NXP Funding LLC</title>
        <cusip>62947QAU2</cusip>
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          <isin value="US62947QAU22"/>
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        <balance>10200000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>10465489.07000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>US 5YR FUTR OPTN  Dec19P 108.5</title>
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        <balance>1103.00000000</balance>
        <units>NC</units>
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        <isRestrictedSec>N</isRestrictedSec>

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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>Mondelez International Holdings Netherlands BV</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
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        <name>Royal Bank of Scotland Group PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Small Business Administration</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Small Business Administration</title>
        <cusip>83162CSE4</cusip>
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        <balance>535318.76000000</balance>
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        <valUSD>589076.70000000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>KVK CLO Ltd</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>IndyMac Residential Asset Back Trust</name>
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        <title>Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CenterPoint Energy Resources Corp</name>
        <lei>2JADVB0458J06WCD4N56</lei>
        <title>CenterPoint Energy Resources Corp</title>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810RM2</cusip>
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          <isin value="US912810RM27"/>
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        <balance>37500000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>UST</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Freddie Mac Structured Pass-Through Certificates</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Structured Pass-Through Certificates</title>
        <cusip>31395HHV5</cusip>
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          <isin value="US31395HHV50"/>
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        <balance>612234.68000000</balance>
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        <curCd>USD</curCd>
        <valUSD>618846.26000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2044-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Allstate Corp/The</name>
        <lei>OBT0W1ED8G0NWVOLOJ77</lei>
        <title>Allstate Corp/The</title>
        <cusip>020002BF7</cusip>
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          <isin value="US020002BF73"/>
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        <balance>5600000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-03-29</maturityDt>
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      <invstOrSec>
        <name>Credit Suisse Group Funding Guernsey Ltd</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd</title>
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          <isin value="US225433AC55"/>
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        <balance>6825000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>7168078.62000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-26</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
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          <isin value="US6174468J17"/>
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        <balance>7600000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-22</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Intercontinental Exchange, Inc.</name>
        <lei>5493000F4ZO33MV32P92</lei>
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          <other otherDesc="Internal Identifier" value="99S0TPNC5"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Wyndham Hotels &amp; Resorts, Inc.</name>
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        <title>Wyndham Hotels &amp; Resorts, Inc. Term Loan B</title>
        <cusip>98310CAC6</cusip>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Freddie Mac Structured Pass-Through Certificates</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Structured Pass-Through Certificates</title>
        <cusip>31395A3J2</cusip>
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          <isin value="US31395A3J20"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132ADPD4</cusip>
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          <isin value="US3132ADPD48"/>
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        <curCd>USD</curCd>
        <valUSD>4561577.17000000</valUSD>
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        <name>Wells Fargo &amp; Co</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>Wells Fargo &amp; Co</title>
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        <name>HSBC Bank USA, National Association</name>
        <lei>1IE8VN30JCEQV1H4R804</lei>
        <title>PURCHASED USD / SOLD CNH</title>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD GBP</title>
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          <other otherDesc="Trade Identifier" value="19IMKBBM10C"/>
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        <name>Bayer US Finance II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>Bayer US Finance II LLC</title>
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        <balance>13800000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>14415523.33000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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      <invstOrSec>
        <name>Soundview Home Equity Loan Trust</name>
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        <name>Volkswagen International Finance NV</name>
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      <invstOrSec>
        <name>Bank of Montreal</name>
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        <name>AvalonBay Communities Inc</name>
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      <invstOrSec>
        <name>Bank of America, National Association (San Francisco, CA, US, Branch)</name>
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        <name>The Goldman Sachs Group, Inc.</name>
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        <name>Government National Mortgage Association</name>
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        <name>Fannie Mae</name>
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        <name>Eurex Deutschland</name>
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        <name>Eurex Deutschland</name>
        <lei>529900LN3S50JPU47S06</lei>
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        <fairValLevel>1</fairValLevel>
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              <counterpartyName>Eurex Deutschland</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <indexName>Long-Term Euro-BTP (FBTP)</indexName>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140JVPM8</cusip>
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          <isin value="US3140JVPM87"/>
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        <balance>3190504.43000000</balance>
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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>2049-08-01</maturityDt>
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        <securityLending>
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      <invstOrSec>
        <name>Hospitality Properties Trust</name>
        <lei>529900IS770AG1K9QG27</lei>
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          <isin value="US44106MAU62"/>
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        <balance>1900000.00000000</balance>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BOC Aviation Ltd</name>
        <lei>254900H06V5RMEB3KE72</lei>
        <title>BOC Aviation Ltd</title>
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          <isin value="XS1938443329"/>
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        <balance>1400000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>SG</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-01-25</maturityDt>
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      <invstOrSec>
        <name>Bank of Montreal</name>
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          <other otherDesc="Internal Identifier" value="921JXK005"/>
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        <curCd>USD</curCd>
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        <assetCat>RA</assetCat>
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        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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            <repurchaseCollateral>
              <principalAmt>4500000.00000000</principalAmt>
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              <invstCat>UST</invstCat>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Ford Motor Credit Co LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>Ford Motor Credit Co LLC</title>
        <cusip>345397XQ1</cusip>
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          <isin value="US345397XQ11"/>
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        <balance>6500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6508690.57000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.20000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2006-OA12</title>
        <cusip>23243AAB2</cusip>
        <identifiers>
          <isin value="US23243AAB26"/>
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        <balance>2507691.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2179184.92000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.23000000</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>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HRKBBQRSK"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91429886"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED RUB / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19GAKBB2NLN"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="65.00750000"/>
        <valUSD>-3568.60000000</valUSD>
        <pctVal>-0.00013354179</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>200853.58000000</amtCurSold>
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            <settlementDt>2019-10-17</settlementDt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Barclays PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays PLC</title>
        <cusip>06738EAT2</cusip>
        <identifiers>
          <isin value="US06738EAT29"/>
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        <balance>5200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5220495.28000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.96000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Barclays PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>Barclays PLC</title>
        <cusip>06738EBA2</cusip>
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          <isin value="US06738EBA29"/>
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        <balance>6500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6764355.00000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED AUD / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HUKBBNWNW"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.47927901"/>
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        <pctVal>-0.00002758514</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>US 5YR FUTR OPTN  Dec19P 108</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1F1JY8"/>
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        <balance>1058.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1058.00000000</valUSD>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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          <optionSwaptionWarrantDeriv derivCat="OPT">
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                    <name>Chicago Board Of Trade</name>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>MASTR Asset Backed Securities Trust</name>
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        <title>Mastr Asset Backed Securities Trust 2007-HE2</title>
        <cusip>57646LAN3</cusip>
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          <isin value="US57646LAN38"/>
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        <balance>3276846.80000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2912471.27000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.17000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>The Goldman Sachs Group, Inc.</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>US 2YR FUTR OPTN  DEC19P 104.1 EXP 11/22/2019</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1FL743"/>
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        <balance>132.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>132.00000000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
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              <counterpartyName>The Goldman Sachs Group, Inc.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
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                  <derivAddlInfo>
                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>2 Year US Treasury Note Future</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1FL743E"/>
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        <name>Asset Backed Funding Certificates</name>
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        <name>TOBACCO SETTLEMENT FIN AUTH WV</name>
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        <name>Countrywide Home Loans</name>
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      <invstOrSec>
        <name>Ford Motor Credit Co LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>Ford Motor Credit Co LLC</title>
        <cusip>345397VR1</cusip>
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          <isin value="US345397VR12"/>
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        <balance>6500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6719796.66000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00W8X7 IRS GBP R V 06MLIBOR SWUV0W8X9 CCPVANILLA / Short: BWU00W8X7 IRS GBP P F   .75000 SWU00W8X7 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1ATUU7"/>
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        <balance>13600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.81330600"/>
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        <pctVal>-0.00799582110</pctVal>
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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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          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>London Interbank Offer Rate 6 Months</indexName>
                <indexIdentifier>BP0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="London Interbank Offer Rate 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
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            <upfrontRcpt>0.00000000</upfrontRcpt>
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            <unrealizedAppr>-544109.40000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138EP6V1</cusip>
        <identifiers>
          <isin value="US3138EP6V16"/>
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        <balance>2593483.34000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2737120.98000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.71000000</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>Standard Chartered PLC</name>
        <lei>U4LOSYZ7YG4W3S5F2G91</lei>
        <title>Standard Chartered PLC</title>
        <cusip>853254BM1</cusip>
        <identifiers>
          <isin value="US853254BM16"/>
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        <balance>6700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6927123.17000000</valUSD>
        <pctVal>0.259222232044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
        <lei>SNZ2OJLFK8MNNCLQOF39</lei>
        <title>Long: SWU00QL56 IRS USD R F  2.80000 SWU00QL56 CCPVANILLA / Short: SWU00QL56 IRS USD P V 03MLIBOR SWUV0QL58 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S13SCL7"/>
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        <balance>45600000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>2228365.75000000</valUSD>
        <pctVal>0.083388432593</pctVal>
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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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          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor USD 3 Months</indexName>
                <indexIdentifier>US0003M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="138320.00000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.80000000"/>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="ICE Libor USD 3 Months" floatingRtSpread="0.00000000" pmntAmt="-108908.00000000">
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                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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            <terminationDt>2023-08-22</terminationDt>
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            <upfrontRcpt>-672.96000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>45600000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2229038.71000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138A2QA0</cusip>
        <identifiers>
          <isin value="US3138A2QA08"/>
        </identifiers>
        <balance>119584.42000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125527.08000000</valUSD>
        <pctVal>0.004697391552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00WCI5 IRS JPY R F   .06225 SWU00WCI5 CCPVANILLA / Short: SWU00WCI5 IRS JPY P V 06MLIBOR CCP VANILLA NEG RATE -0.06225</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1AR3X5"/>
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        <balance>2180000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>83341.18000000</valUSD>
        <pctVal>0.003118738640</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="48466.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.06225000"/>
            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
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            <terminationDt>2026-09-18</terminationDt>
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            <upfrontRcpt>-105242.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>2180000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>84315.06000000</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>PURCHASED USD / SOLD CAD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IAKBBQC1Z"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.32480428"/>
        <valUSD>-7558.70000000</valUSD>
        <pctVal>-0.00028285668</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>
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            <amtCurSold>1768000.00000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1326978.05000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>-7558.70000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>RXZ9C185.5 DEC19 185.5 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI633420"/>
        </identifiers>
        <balance>100.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
        <valUSD>1089.95000000</valUSD>
        <pctVal>0.000040787389</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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              <counterpartyName>Citigroup Global Markets Inc.</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
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            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-Bund (FGBL)</indexName>
                <indexIdentifier>RXZ9 Comdty</indexIdentifier>
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            <expDate>2019-11-22</expDate>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-93.74000000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Group Inc/The</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group Inc/The</title>
        <cusip>38148LAE6</cusip>
        <identifiers>
          <isin value="US38148LAE65"/>
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        <balance>10700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11323142.11000000</valUSD>
        <pctVal>0.423727151874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31411LF22</cusip>
        <identifiers>
          <isin value="US31411LF222"/>
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        <balance>3215.19000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3317.06000000</valUSD>
        <pctVal>0.000124128830</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179UQ70</cusip>
        <identifiers>
          <isin value="US36179UQ707"/>
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        <balance>5856086.94000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6192393.40000000</valUSD>
        <pctVal>0.231727659440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31405U2C2</cusip>
        <identifiers>
          <isin value="US31405U2C23"/>
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        <balance>4189.64000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4331.96000000</valUSD>
        <pctVal>0.000162107748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.23000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Lloyds Banking Group PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>Lloyds Banking Group PLC</title>
        <cusip>539439AS8</cusip>
        <identifiers>
          <isin value="US539439AS89"/>
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        <balance>5100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5347550.74000000</valUSD>
        <pctVal>0.200112514931</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.05000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <name>Barclays Capital Securities Limited</name>
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        <name>American International Group Inc</name>
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        <name>Fannie Mae</name>
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        <name>Morgan Stanley ABS Capital I Inc Trust</name>
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        <name>Lloyds Bank PLC</name>
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        <name>United States Treasury</name>
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        <title>United States Treasury Inflation Indexed Bonds</title>
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        <name>Fannie Mae</name>
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        <name>AMBAC LSNI LLC</name>
        <lei>5493000UC0RBBNDHI717</lei>
        <title>Ambac LSNI LLC</title>
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        <name>Royal Bank of Scotland Group PLC</name>
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        <title>Royal Bank of Scotland Group PLC</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>31750F5V1 USD CALL MXN PUT OCT19 20.32 CALL</title>
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        <name>LCH Limited</name>
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        <title>Long: BWU00IY84 IRS JPY R V 06MLIBOR SWUV0IY86 CCPVANILLA / Short: BWU00IY84 IRS JPY P F   .30000 SWU00IY84 CCPVANILLA</title>
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        <name>Chesapeake Funding II LLC</name>
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        <title>Chesapeake Funding II LLC</title>
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        <name>HSBC Bank USA, National Association</name>
        <lei>1IE8VN30JCEQV1H4R804</lei>
        <title>PURCHASED EUR / SOLD USD</title>
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        <name>Japan Finance Organization for Municipalities</name>
        <lei>5493007YYYNZ4NMEOD64</lei>
        <title>Japan Finance Organization for Municipalities</title>
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        <fairValLevel>2</fairValLevel>
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        <name>General Electric Co</name>
        <lei>3C7474T6CDKPR9K6YT90</lei>
        <title>General Electric Co</title>
        <cusip>369604BR3</cusip>
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          <isin value="XS1612542669"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-05-17</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Citigroup Inc</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup Inc</title>
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          <isin value="US172967LC35"/>
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        <balance>3700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3754591.43000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-12-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.90000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>HSBC Bank USA, National Association</name>
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          <other otherDesc="Trade Identifier" value="19IEKBBQQ1L"/>
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        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.47927901"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>HSBC Bank USA, National Association</counterpartyName>
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      <invstOrSec>
        <name>MASTR Alternative Loans Trust</name>
        <lei>N/A</lei>
        <title>MASTR Alternative Loan Trust 2006-2</title>
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          <isin value="US5764342H69"/>
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        <balance>220782.46000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Residential Accredit Loans, Inc</name>
        <lei>N/A</lei>
        <title>RALI Series 2005-QA13 Trust</title>
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          <isin value="US761118PE29"/>
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        <balance>1679202.96000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2035-12-25</maturityDt>
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      <invstOrSec>
        <name>CIFC Funding Ltd</name>
        <lei>549300RWVPXQ5M3BFY62</lei>
        <title>CIFC Funding 2015-II Ltd</title>
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          <isin value="US12550LAJ17"/>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Wells Fargo &amp; Co</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>Wells Fargo &amp; Co</title>
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          <isin value="US949746SA05"/>
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        <balance>4000000.00000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.10000000</annualizedRt>
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      <invstOrSec>
        <name>BCAP LLC Trust</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BCAP LLC 2013-RR12 Trust</title>
        <cusip>05490CAC3</cusip>
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          <isin value="US05490CAC38"/>
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        <balance>47281.49000000</balance>
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        <curCd>USD</curCd>
        <valUSD>46968.02000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-26</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31418CZ98</cusip>
        <identifiers>
          <isin value="US31418CZ984"/>
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        <balance>7100133.74000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Eurosail PLC</name>
        <lei>213800YCKG3TNT5E1296</lei>
        <title>Eurosail-UK 2007-3bl PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS0308710143"/>
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        <balance>1707503.16000000</balance>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CVS Health Corp</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS Health Corp</title>
        <cusip>126650CJ7</cusip>
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          <isin value="US126650CJ78"/>
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        <balance>8100000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.80000000</annualizedRt>
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      <invstOrSec>
        <name>Bank of Montreal</name>
        <lei>NQQ6HPCNCCU6TUTQYE16</lei>
        <title>REVERSE REPO BANK OF MONTREAL REVERSE REPO</title>
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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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        <securityLending>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>US BOND FUTR OPTN DEC19C 191 EXP 11/22/2019</title>
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        <units>NC</units>
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        <isRestrictedSec>N</isRestrictedSec>

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                    <curCd>N/A</curCd>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
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        <name>GS Mortgage Securities Trust</name>
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        <title>GS Mortgage Securities Corp Trust 2016-RENT</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-9T1</title>
        <cusip>02150JAK8</cusip>
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        <balance>904703.15000000</balance>
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        <curCd>USD</curCd>
        <valUSD>632909.61000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Bank USA</name>
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        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19EEKBB6P5F"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>32164.54000000</amtCurSold>
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        </derivativeInfo>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>American Home Mortgage Assets Trust</name>
        <lei>N/A</lei>
        <title>American Home Mortgage Assets Trust 2007-1</title>
        <cusip>02660BAA0</cusip>
        <identifiers>
          <isin value="US02660BAA08"/>
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        <balance>3435272.85000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2127430.12000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.15000000</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Synchrony Bank</name>
        <lei>549300UATVPGSLE43Z27</lei>
        <title>Synchrony Bank</title>
        <cusip>87166FAC7</cusip>
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          <isin value="US87166FAC77"/>
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        <balance>6900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7032562.46000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
        <cusip>21H0306B5</cusip>
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          <isin value="US21H0306B55"/>
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        <balance>16000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16405000.00000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Cent CLO LP</name>
        <lei>N/A</lei>
        <title>Cent CLO 19 Ltd</title>
        <cusip>12518XAA5</cusip>
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          <isin value="US12518XAA54"/>
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        <balance>3814187.48000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3818222.89000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-29</maturityDt>
          <couponKind>Floating</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-J12</title>
        <cusip>12668ASY2</cusip>
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          <isin value="US12668ASY28"/>
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        <balance>3988659.51000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2662754.50000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Wabtec Corp</name>
        <lei>06BTX5UWZD0GQ5N5Y745</lei>
        <title>Wabtec Corp</title>
        <cusip>960386AP5</cusip>
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          <isin value="US960386AP59"/>
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        <balance>6600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6600194.30000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.42000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>HCA Inc</name>
        <lei>L3CJ6J7LJ2DX62FTXD46</lei>
        <title>HCA Inc</title>
        <cusip>404119BW8</cusip>
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        <curCd>USD</curCd>
        <valUSD>112323.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.88000000</annualizedRt>
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      <invstOrSec>
        <name>HarborView Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>HarborView Mortgage Loan Trust 2006-7</title>
        <cusip>41161VAC4</cusip>
        <identifiers>
          <isin value="US41161VAC46"/>
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        <balance>269446.74000000</balance>
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        <curCd>USD</curCd>
        <valUSD>250033.91000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.26000000</annualizedRt>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TZ65</cusip>
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          <isin value="US36179TZ650"/>
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        <balance>5782170.81000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6063518.87000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179UUK6</cusip>
        <identifiers>
          <isin value="US36179UUK68"/>
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        <balance>7045453.40000000</balance>
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        <curCd>USD</curCd>
        <valUSD>7342717.92000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>Residential Funding Mortgage Securities I Inc</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2005-SA4 Trust</title>
        <cusip>76111XYD9</cusip>
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          <isin value="US76111XYD91"/>
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        <balance>383535.37000000</balance>
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        <curCd>USD</curCd>
        <valUSD>316619.19000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.34000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>Goldman Sachs Group Inc/The</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>Goldman Sachs Group Inc/The</title>
        <cusip>38148YAB4</cusip>
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          <isin value="US38148YAB48"/>
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        <balance>4900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4914376.75000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-31</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED RUB / SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19HIKBB7P1S"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>Natwest Markets PLC</name>
        <lei>RR3QWICWWIPCS8A4S074</lei>
        <title>Natwest Markets PLC</title>
        <cusip>000000000</cusip>
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          <isin value="XS1788515861"/>
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        <balance>5800000.00000000</balance>
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        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
        <cusip>01N0406B9</cusip>
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          <isin value="US01N0406B92"/>
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        <balance>4000000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4184711.12000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>American Express Co</name>
        <lei>R4PP93JZOLY261QX3811</lei>
        <title>American Express Co</title>
        <cusip>025816BS7</cusip>
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          <isin value="US025816BS73"/>
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        <balance>8300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8618517.98000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-27</maturityDt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>First Horizon Mortgage Pass-Through Trust</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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          <other otherDesc="Trade Identifier" value="19GNKBB4ZX4"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3138AKQJ1</cusip>
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          <isin value="US3138AKQJ12"/>
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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>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="99ZW74330"/>
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        <units>NC</units>
        <curCd>USD</curCd>
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        <pctVal>-0.00000384167</pctVal>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                    <descOthUnits>Notional Amount</descOthUnits>
                    <curCd>N/A</curCd>
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                    <indexBasketInfo>
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                  <rcptCurCd>N/A</rcptCurCd>
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            <shareNo>1.00000000</shareNo>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>AerCap Ireland Capital DAC / AerCap Global Aviation Trust</name>
        <lei>549300SZYINBBLJQU475</lei>
        <title>AerCap Ireland Capital DAC / AerCap Global Aviation Trust</title>
        <cusip>00774MAF2</cusip>
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          <isin value="US00774MAF23"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE GROUP AG</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>Credit Suisse Group AG</title>
        <cusip>225401AM0</cusip>
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          <isin value="US225401AM02"/>
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        <curCd>USD</curCd>
        <valUSD>6336650.24000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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        <name>GLP CAPITAL LP / FIN II</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>Hawksmoor Mortgages plc</name>
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        <balance>25500000.00000000</balance>
        <units>PA</units>
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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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        <name>WAMU Asset-Backed Certificates</name>
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        <curCd>USD</curCd>
        <valUSD>2224922.52000000</valUSD>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD JPY</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
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        <name>Eurex Deutschland</name>
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        <name>WaMu Mortgage Pass-Through Certificates Series</name>
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        <name>Chase Issuance Trust</name>
        <lei>5493008SHVCX2Y068L12</lei>
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        <name>Fannie Mae</name>
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        <name>The Goldman Sachs Group, Inc.</name>
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        <name>United States Treasury</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Odebrecht Offshore Drilling Finance Ltd</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>Citigroup Mortgage Loan Trust</name>
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        <name>KENTUCKY ST PROPERTY &amp; BLDGS C</name>
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        <name>Intercontinental Exchange, Inc.</name>
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        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
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        <name>LCH Limited</name>
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        <name>Ameriquest Mortgage Securities</name>
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        <name>FHLMC Multifamily Structured Pass Through Certificates</name>
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        <title>Freddie Mac Multifamily Structured Pass Through Certificates</title>
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        <name>United States Treasury</name>
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        <name>JPMorgan Chase Bank, National Association</name>
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        <name>United States Treasury</name>
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        <name>Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC</name>
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        <name>United States Treasury</name>
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        <name>HSBC Bank USA, National Association</name>
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        <name>Wells Fargo Mortgage Backed Securities Trust</name>
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        <name>State Street Global Advisors</name>
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          <cashCollateralCondition cashCollateralVal="27335645.00000000" isCashCollateral="Y"/>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Bank of Montreal</name>
        <lei>NQQ6HPCNCCU6TUTQYE16</lei>
        <title>REVERSE REPO BANK OF MONTREAL REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="921JXK005"/>
        </identifiers>
        <balance>-13146250.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-13146250.00000000</valUSD>
        <pctVal>-0.49195029226</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="NQQ6HPCNCCU6TUTQYE16" name="Bank of Montreal"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.33000000</repurchaseRt>
          <maturityDt>2019-10-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>13000000.00000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>13096992.22000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AerCap Ireland Capital DAC / AerCap Global Aviation Trust</name>
        <lei>549300SZYINBBLJQU475</lei>
        <title>AerCap Ireland Capital DAC / AerCap Global Aviation Trust</title>
        <cusip>00774MAD7</cusip>
        <identifiers>
          <isin value="US00774MAD74"/>
        </identifiers>
        <balance>7500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7648293.68000000</valUSD>
        <pctVal>0.286209398967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.30000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00KXL1 IRS JPY R V 06MLIBOR SWUV0KXL3 CCPVANILLA / Short: BWU00KXL1 IRS JPY P F   .45000 SWU00KXL1 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S0VR1O6"/>
        </identifiers>
        <balance>1150000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>-511159.41000000</valUSD>
        <pctVal>-0.01912827012</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="-156387.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.45000000"/>
            <terminationDt>2029-03-20</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>-8195952.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>1150000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-436349.75000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>General Motors Financial Co Inc</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co Inc</title>
        <cusip>37045XCP9</cusip>
        <identifiers>
          <isin value="US37045XCP96"/>
        </identifiers>
        <balance>6400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6602594.62000000</valUSD>
        <pctVal>0.247077938803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.20000000</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>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>9128286Z8</cusip>
        <identifiers>
          <isin value="US9128286Z85"/>
        </identifiers>
        <balance>19600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19766140.58000000</valUSD>
        <pctVal>0.739675469065</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Enbridge Inc</name>
        <lei>98TPTUM4IVMFCZBCUR27</lei>
        <title>Enbridge Inc</title>
        <cusip>29250NAP0</cusip>
        <identifiers>
          <isin value="US29250NAP06"/>
        </identifiers>
        <balance>5300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5309389.16000000</valUSD>
        <pctVal>0.198684457468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Residential Funding Mortgage Securities I Inc</name>
        <lei>N/A</lei>
        <title>RFMSI Series 2003-S9 Trust</title>
        <cusip>76111JZ72</cusip>
        <identifiers>
          <isin value="US76111JZ721"/>
        </identifiers>
        <balance>3019.08000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3124.98000000</valUSD>
        <pctVal>0.000116940939</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.50000000</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>Banque Federative du Credit Mutuel SA</name>
        <lei>VBHFXSYT7OG62HNT8T76</lei>
        <title>Banque Federative du Credit Mutuel SA</title>
        <cusip>06675FAQ0</cusip>
        <identifiers>
          <isin value="US06675FAQ00"/>
        </identifiers>
        <balance>8000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8071462.96000000</valUSD>
        <pctVal>0.302044960513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.24000000</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>ICE Futures Europe</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>3MO EURO EURIBOR  DEC20 IFLL 20201214</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI0KFDB9"/>
        </identifiers>
        <balance>-1202.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
        <valUSD>-329347866.37000000</valUSD>
        <pctVal>-12.3246385179</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ICE Futures Europe</counterpartyName>
              <counterpartyLei>549300UF4R84F48NCH34</counterpartyLei>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euribor 3 Month</indexName>
                <indexIdentifier>ERZ0 Comdty</indexIdentifier>
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            <expDate>2020-12-14</expDate>
            <notionalAmt>-302442798.48000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>299761.93000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DXC Technology Co</name>
        <lei>549300DOVZ3EDJB7O259</lei>
        <title>DXC Technology Co</title>
        <cusip>23355LAE6</cusip>
        <identifiers>
          <isin value="US23355LAE65"/>
        </identifiers>
        <balance>5231000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5227980.14000000</valUSD>
        <pctVal>0.195638022843</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.08000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IEKBBQQ89"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.81180086"/>
        <valUSD>21242.01000000</valUSD>
        <pctVal>0.000794904480</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>
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            <amtCurSold>3351000.00000000</amtCurSold>
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            <amtCurPur>4149101.64000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>21242.01000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00WCH7 IRS JPY R F   .06820 SWU00WCH7 CCPVANILLA / Short: SWU00WCH7 IRS JPY P V 06MLIBOR CCP VANILLA NEG RATE -0.06820</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1AR430"/>
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        <balance>1360000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>46761.56000000</valUSD>
        <pctVal>0.001749880240</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="33126.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.06820000"/>
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>1360000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>46761.56000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Mountain Hawk CLO Ltd</name>
        <lei>549300LQ6MVS0NGUT623</lei>
        <title>Mountain Hawk III CLO Ltd</title>
        <cusip>62405CAN4</cusip>
        <identifiers>
          <isin value="US62405CAN48"/>
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        <balance>3053741.79000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3054117.40000000</valUSD>
        <pctVal>0.114289165924</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.50000000</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>Mondelez International Inc</name>
        <lei>549300DV9GIB88LZ5P30</lei>
        <title>Mondelez International Inc</title>
        <cusip>609207AQ8</cusip>
        <identifiers>
          <isin value="US609207AQ82"/>
        </identifiers>
        <balance>6800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7113173.73000000</valUSD>
        <pctVal>0.266184493325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.63000000</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 Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust Series 2005-18</title>
        <cusip>863579XC7</cusip>
        <identifiers>
          <isin value="US863579XC76"/>
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        <balance>973145.80000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>845337.99000000</valUSD>
        <pctVal>0.031633680421</pctVal>
        <payoffProfile>Long</payoffProfile>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.18000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Andeavor Logistics LP / Tesoro Logistics Finance Corp</name>
        <lei>5493009LC18D9CGP2H42</lei>
        <title>Andeavor Logistics LP / Tesoro Logistics Finance Corp</title>
        <cusip>88160QAK9</cusip>
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          <isin value="US88160QAK94"/>
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        <balance>6100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6106418.12000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.50000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>PURCHASED JPY / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IKKBBP4VX"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.79205000"/>
        <valUSD>-386.54000000</valUSD>
        <pctVal>-0.00001446484</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Barclays Bank PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>1699955.29000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>183200000.00000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>-386.54000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LETRA TESOURO NACIONAL</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>Brazil Letras do Tesouro Nacional</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="BRSTNCLTN7B7"/>
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        <balance>57500000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="BRL" exchangeRt="4.15495000"/>
        <valUSD>13666510.10000000</valUSD>
        <pctVal>0.511419122402</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-01</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T Inc</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T Inc</title>
        <cusip>00206RFZ0</cusip>
        <identifiers>
          <isin value="US00206RFZ01"/>
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        <balance>7900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7941317.00000000</valUSD>
        <pctVal>0.297174724281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.89000000</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>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED GBP / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HUKBBNWXB"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.81180086"/>
        <valUSD>142652.51000000</valUSD>
        <pctVal>0.005338248092</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>18403767.85000000</amtCurSold>
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            <amtCurPur>15056000.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>142652.51000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Daimler Finance North America LLC</name>
        <lei>549300423Z16BB673J12</lei>
        <title>Daimler Finance North America LLC</title>
        <cusip>233851DJ0</cusip>
        <identifiers>
          <isin value="US233851DJ03"/>
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        <balance>6800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6912021.98000000</valUSD>
        <pctVal>0.258657125277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.35000000</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>Bear Stearns Alt-A Trust</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>Bear Stearns ALT-A Trust 2005-8</title>
        <cusip>07386HWZ0</cusip>
        <identifiers>
          <isin value="US07386HWZ09"/>
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        <balance>1783023.76000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1712337.39000000</valUSD>
        <pctVal>0.064077959833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.18000000</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>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>PURCHASED USD / SOLD THB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HTKBBJVX1"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="THB" exchangeRt="30.53750000"/>
        <valUSD>-1040.72000000</valUSD>
        <pctVal>-0.00003894513</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>BNP Paribas</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
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            <amtCurSold>9785668.80000000</amtCurSold>
            <curSold>THB</curSold>
            <amtCurPur>319406.89000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2019-12-18</settlementDt>
            <unrealizedAppr>-1040.72000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse Group Funding Guernsey Ltd</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>Credit Suisse Group Funding Guernsey Ltd</title>
        <cusip>225433AP6</cusip>
        <identifiers>
          <isin value="US225433AP68"/>
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        <balance>5300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5440604.02000000</valUSD>
        <pctVal>0.203594693369</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.59000000</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>Dell International LLC / EMC Corp</name>
        <lei>549300TJB5YBRUPOG437</lei>
        <title>Dell International LLC / EMC Corp</title>
        <cusip>25272KAG8</cusip>
        <identifiers>
          <isin value="US25272KAG85"/>
        </identifiers>
        <balance>6500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7073809.86000000</valUSD>
        <pctVal>0.264711444558</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.45000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VOLKSWAGEN GROUP AMERICA</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>Volkswagen Group of America Finance LLC</title>
        <cusip>928668AW2</cusip>
        <identifiers>
          <isin value="US928668AW23"/>
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        <balance>5400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5408821.66000000</valUSD>
        <pctVal>0.202405354867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.97000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Structured Adjustable Rate Mortgage Loan Trust</title>
        <cusip>863579KY3</cusip>
        <identifiers>
          <isin value="US863579KY34"/>
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        <balance>195010.53000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>198879.52000000</valUSD>
        <pctVal>0.007442338156</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.13000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIFC Funding Ltd</name>
        <lei>549300H3BLEZ8XSDXO87</lei>
        <title>CIFC Funding 2015-V Ltd</title>
        <cusip>12547UAL2</cusip>
        <identifiers>
          <isin value="US12547UAL26"/>
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        <balance>8200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8164051.20000000</valUSD>
        <pctVal>0.305509736531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.14000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BNP Paribas</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>PURCHASED USD / SOLD BRL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19BRKBB63WG"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.17840833"/>
        <valUSD>1001325.20000000</valUSD>
        <pctVal>0.037470930857</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP Paribas</counterpartyName>
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            <amtCurSold>46400000.00000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>12106032.14000000</amtCurPur>
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            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>1001325.20000000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>Venture CDO Ltd</name>
        <lei>549300LQ92YS70N4PB21</lei>
        <title>Venture XX CLO Ltd</title>
        <cusip>92330JCC8</cusip>
        <identifiers>
          <isin value="US92330JCC80"/>
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        <balance>5551555.42000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5538376.03000000</valUSD>
        <pctVal>0.207253453008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.12000000</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>Volkswagen Group of America Finance LLC</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>Volkswagen Group of America Finance LLC</title>
        <cusip>928668AT9</cusip>
        <identifiers>
          <isin value="US928668AT93"/>
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        <balance>6700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7384908.64000000</valUSD>
        <pctVal>0.276353177808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.63000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Skandinaviska Enskilda Banken AB</name>
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        <title>Skandinaviska Enskilda Banken AB</title>
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        <balance>6800000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>SE</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2021-05-17</maturityDt>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2006-AR35</title>
        <cusip>45667SAA5</cusip>
        <identifiers>
          <isin value="US45667SAA50"/>
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        <balance>5806577.17000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5637206.28000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>ICE Futures Europe</name>
        <lei>549300UF4R84F48NCH34</lei>
        <title>LONG GILT FUTURE  DEC19 IFLL 20191227</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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            <payOffProf>Short</payOffProf>
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                <indexName>United Kingdom Gilt</indexName>
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            <expDate>2019-12-27</expDate>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae or Freddie Mac</title>
        <cusip>01F0326B5</cusip>
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          <isin value="US01F0326B57"/>
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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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          <maturityDt>2048-11-13</maturityDt>
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          <annualizedRt>3.50000000</annualizedRt>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-80CB</title>
        <cusip>12668BGC1</cusip>
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          <isin value="US12668BGC19"/>
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        <curCd>USD</curCd>
        <valUSD>3644295.13000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>Scotia Capital (USA) Inc.</name>
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        <title>REVERSE REPO THE BANK OF NOVA REVERSE REPO</title>
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        <curCd>USD</curCd>
        <valUSD>-6772500.00000000</valUSD>
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        <assetCat>RA</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
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            <repurchaseCollateral>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00LCF5 IRS JPY R V 06MLIBOR SWUV0LCF5 CCPVANILLA / Short: BWU00LCF5 IRS JPY P F   .30000 SWU00LCF5 CCPVANILLA</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Deutsche Bank AG/New York NY</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>Deutsche Bank AG/New York NY</title>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2005-56</title>
        <cusip>12668AHF5</cusip>
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          <isin value="US12668AHF57"/>
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          <couponKind>Floating</couponKind>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810QY7</cusip>
        <identifiers>
          <isin value="US912810QY73"/>
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        <balance>6600000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Odebrecht Offshore Drilling Finance Ltd</name>
        <lei>549300L7LF2PIRAWID66</lei>
        <title>Odebrecht Offshore Drilling Finance Ltd</title>
        <cusip>67576GAD9</cusip>
        <identifiers>
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        <balance>3503753.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>916651.86000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>HCP Inc</name>
        <lei>PZ9HF5U52KPF0MH0QN75</lei>
        <title>HCP Inc</title>
        <cusip>40414LAP4</cusip>
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        <balance>998000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T Inc</title>
        <cusip>00206RHM7</cusip>
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        <balance>2100000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>OneMain Direct Auto Receivables Trust</name>
        <lei>N/A</lei>
        <title>OneMain Direct Auto Receivables Trust 2018-1</title>
        <cusip>68268XAA9</cusip>
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        <balance>6700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6812174.08000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>GSAMP Trust</name>
        <lei>N/A</lei>
        <title>GSAMP Trust 2005-HE1</title>
        <cusip>36242DRX3</cusip>
        <identifiers>
          <isin value="US36242DRX39"/>
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        <balance>3153414.29000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2561164.93000000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.34000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Pool</title>
        <cusip>3132A5KB0</cusip>
        <identifiers>
          <isin value="US3132A5KB03"/>
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        <balance>2259672.51000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2343368.95000000</valUSD>
        <pctVal>0.087692006452</pctVal>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Adjustable Rate Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Adjustable Rate Mortgage Trust 2005-4</title>
        <cusip>007036KB1</cusip>
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          <isin value="US007036KB16"/>
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        <balance>90361.95000000</balance>
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        <curCd>USD</curCd>
        <valUSD>71424.10000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.17000000</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31414DZQ2</cusip>
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          <isin value="US31414DZQ23"/>
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        <balance>745.75000000</balance>
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        <curCd>USD</curCd>
        <valUSD>773.82000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.00000000</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Deutsche Bank Aktiengesellschaft</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>PURCHASED USD / SOLD CNH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HTKBBJS45"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.16964000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Deutsche Bank Aktiengesellschaft</counterpartyName>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>UBS Group Funding Switzerland AG</name>
        <lei>506700Q800G1L95S7805</lei>
        <title>UBS Group Funding Switzerland AG</title>
        <cusip>90352JAC7</cusip>
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          <isin value="US90352JAC71"/>
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        <balance>4900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5344770.45000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Voya CLO Ltd</name>
        <lei>5493000X4YEVJOIVRG48</lei>
        <title>Voya CLO 2014-3 Ltd</title>
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          <isin value="US92912QAG10"/>
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        <balance>4689648.10000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED JPY / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HSKBBNNRS"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      <invstOrSec>
        <name>Constellation Brands Inc</name>
        <lei>5493005GKEG8QCVY7037</lei>
        <title>Constellation Brands Inc</title>
        <cusip>21036PAL2</cusip>
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          <isin value="US21036PAL22"/>
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        <balance>700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>748342.64000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</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>Sumitomo Mitsui Financial Group Inc</name>
        <lei>35380028MYWPB6AUO129</lei>
        <title>Sumitomo Mitsui Financial Group Inc</title>
        <cusip>86562MAD2</cusip>
        <identifiers>
          <isin value="US86562MAD20"/>
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        <balance>6000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6109019.58000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.78000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>AbbVie Inc</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>AbbVie Inc</title>
        <cusip>00287YBC2</cusip>
        <identifiers>
          <isin value="US00287YBC21"/>
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        <balance>2700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2839472.39000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75000000</annualizedRt>
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      <invstOrSec>
        <name>Adjustable Rate Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Adjustable Rate Mortgage Trust 2005-10</title>
        <cusip>007036TB2</cusip>
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          <isin value="US007036TB25"/>
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        <balance>116368.81000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110015.96000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.32000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Aurium CLO</name>
        <lei>213800HRTED9UC792482</lei>
        <title>Aurium CLO II DAC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1844246733"/>
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        <balance>3600000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-13</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RN85</cusip>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Barclays Commercial Mortgage Securities LLC</name>
        <lei>N/A</lei>
        <title>BBCMS Trust 2015-STP</title>
        <cusip>05547GAA1</cusip>
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          <isin value="US05547GAA13"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Wells Fargo Bank NA</name>
        <lei>KB1H1DSPRFMYMCUFXT09</lei>
        <title>Wells Fargo Bank NA</title>
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          <isin value="US94988J5T07"/>
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        <balance>4000000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-22</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CONTL AIRLINES 2012-1 A</name>
        <lei>N/A</lei>
        <title>Continental Airlines 2012-1 Class A Pass Through Trust</title>
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          <isin value="US210795PZ71"/>
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        <balance>1726484.85000000</balance>
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        <curCd>USD</curCd>
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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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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Ally Auto Receivables Trust</name>
        <lei>N/A</lei>
        <title>Ally Auto Receivables Trust 2018-3</title>
        <cusip>02007JAB3</cusip>
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          <isin value="US02007JAB35"/>
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        <balance>2376384.81000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2377912.59000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.72000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SERVICE PROPERTIES TRUST</name>
        <lei>529900IS770AG1K9QG27</lei>
        <title>Service Properties Trust</title>
        <cusip>44106MAZ5</cusip>
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          <isin value="US44106MAZ59"/>
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        <balance>6500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6580048.74000000</valUSD>
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        <assetCat>DBT</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-10-01</maturityDt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Morgan Stanley</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
        <cusip>61746BEE2</cusip>
        <identifiers>
          <isin value="US61746BEE20"/>
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        <balance>2700000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2726157.60000000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-20</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>9128282P4</cusip>
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          <isin value="US9128282P40"/>
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        <balance>32500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>32742480.55000000</valUSD>
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        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.88000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>Bear Stearns Alt-A Trust</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>Bear Stearns ALT-A Trust 2006-8</title>
        <cusip>07387QAX8</cusip>
        <identifiers>
          <isin value="US07387QAX88"/>
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        <balance>292878.67000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>289410.66000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.18000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED EUR / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HLKBBN7SZ"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91429886"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>XX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>General Motors Financial Co Inc</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co Inc</title>
        <cusip>37045XBU9</cusip>
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          <isin value="US37045XBU90"/>
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        <balance>8400000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-04-13</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="Internal Identifier" value="99S14YHX2"/>
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        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="6196.00000000">
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            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>Tralee CDO Ltd</name>
        <lei>54930005YIOSJ9Z81114</lei>
        <title>Tralee CLO V Ltd</title>
        <cusip>89300JAA6</cusip>
        <identifiers>
          <isin value="US89300JAA60"/>
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        <balance>7900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7889437.70000000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.39000000</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Duke Energy Corp</name>
        <lei>I1BZKREC126H0VB1BL91</lei>
        <title>Duke Energy Corp</title>
        <cusip>26441CAJ4</cusip>
        <identifiers>
          <isin value="US26441CAJ45"/>
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        <balance>7060000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7227524.27000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.05000000</annualizedRt>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810RG5</cusip>
        <identifiers>
          <isin value="US912810RG58"/>
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        <balance>35800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44591976.65000000</valUSD>
        <pctVal>1.668691523853</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.38000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>The Goldman Sachs Group, Inc.</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>US 5YR FUTR OPTN  DEC19P 111.2 EXP 11/22/2019</title>
        <cusip>000000000</cusip>
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        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>487.00000000</valUSD>
        <pctVal>0.000018224192</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
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                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
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                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1FGQ84E"/>
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                    <balance>487000.00000000</balance>
                    <units>NC</units>
                    <curCd>N/A</curCd>
                    <valUSD>487.00000000</valUSD>
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                    <indexBasketInfo>
                      <indexName>5 Year US Treasury Note</indexName>
                      <indexIdentifier>FVZ9 Comdty</indexIdentifier>
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            <delta>XXXX</delta>
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      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31407EYE7</cusip>
        <identifiers>
          <isin value="US31407EYE75"/>
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        <balance>7363.56000000</balance>
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        <curCd>USD</curCd>
        <valUSD>7655.22000000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</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>Deutsche Bank Securities Inc.</name>
        <lei>9J6MBOOO7BECTDTUZW19</lei>
        <title>REVERSE REPO DEUTSCHE REVERSE REPO</title>
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          <other otherDesc="Internal Identifier" value="913ZLG001"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Aviation Capital Group LLC</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>Aviation Capital Group LLC</title>
        <cusip>05369AAD3</cusip>
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          <isin value="US05369AAD37"/>
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        <balance>5300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5529058.16000000</valUSD>
        <pctVal>0.206904765825</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.13000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RC95</cusip>
        <identifiers>
          <isin value="US38376RC950"/>
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        <balance>7314993.92000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7357012.71000000</valUSD>
        <pctVal>0.275309274724</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs Bank USA</name>
        <lei>KD3XUN7C6T14HNAYLU02</lei>
        <title>PURCHASED CAD / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IJKBBRPVS"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.32480428"/>
        <valUSD>1101.16000000</valUSD>
        <pctVal>0.000041206882</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
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            <amtCurSold>1087361.50000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1442000.00000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>1101.16000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED BRL / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19GMKBB7V7F"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.17840833"/>
        <valUSD>-666854.20000000</valUSD>
        <pctVal>-0.02495457781</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>7344037.90000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>27900000.00000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-01-03</settlementDt>
            <unrealizedAppr>-666854.20000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Bear Stearns Structured Products Inc Trust</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>Bear Stearns Structured Products Inc Trust 2007-R6</title>
        <cusip>07402FAC9</cusip>
        <identifiers>
          <isin value="US07402FAC95"/>
        </identifiers>
        <balance>184005.63000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>159444.89000000</valUSD>
        <pctVal>0.005966641455</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-26</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.61000000</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Tyson Foods Inc</name>
        <lei>WD6L6041MNRW1JE49D58</lei>
        <title>Tyson Foods Inc</title>
        <cusip>902494BE2</cusip>
        <identifiers>
          <isin value="US902494BE29"/>
        </identifiers>
        <balance>8800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8799952.13000000</valUSD>
        <pctVal>0.329306001501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.60000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Goldman Sachs International</name>
        <lei>W22LROWP2IHZNBB6K528</lei>
        <title>Long: SWPC0HXN4 CDS USD R F  1.00000 FIX CORPORATE / Short: SWPC0HXN4 CDS USD P V 03MEVENT FLO CORPORATE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S17GXX0"/>
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        <balance>6400000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <curCd>USD</curCd>
        <valUSD>-223774.36000000</valUSD>
        <pctVal>-0.00837393643</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 International</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>Republic of South Africa Government International Bond</issuerName>
                <issueTitle>Republic of South Africa Government International Bond</issueTitle>
                <identifiers>
                  <cusip value="836205AN4"/>
                  <isin value="US836205AN45"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="1955.56000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
            <otherPmntDesc fixedOrFloating="Other">sell protection</otherPmntDesc>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-240706.73000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6400000.00000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>16932.37000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00WG42 IRS JPY R F   .06300 SWU00WG42 CCPVANILLA / Short: SWU00WG42 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE -0.063</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1ATH99"/>
        </identifiers>
        <balance>818000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>31380.08000000</valUSD>
        <pctVal>0.001174284645</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="16989.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.06300000"/>
            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            <terminationDt>2026-09-19</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>818000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>31380.08000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>3140J83X9</cusip>
        <identifiers>
          <isin value="US3140J83X98"/>
        </identifiers>
        <balance>11765949.45000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12453393.40000000</valUSD>
        <pctVal>0.466022669793</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</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>Citigroup Mortgage Loan Trust</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup Mortgage Loan Trust Series 2004-OPT1 Asset Backed Pass-Through Certifi</title>
        <cusip>17307GJK5</cusip>
        <identifiers>
          <isin value="US17307GJK58"/>
        </identifiers>
        <balance>4631000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4632173.96000000</valUSD>
        <pctVal>0.173342157149</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.96000000</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>Bank of America, National Association (San Francisco, CA, US, Branch)</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="913ZLA004"/>
        </identifiers>
        <balance>-8732625.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-8732625.00000000</valUSD>
        <pctVal>-0.32678653007</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="B4TYDEB6GKMZO031MB27" name="Bank of America, National Association (San Francisco, CA, US, Branch)"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>2.40000000</repurchaseRt>
          <maturityDt>2019-10-03</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8700000.00000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>8773746.07000000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Dryden Senior Loan Fund</name>
        <lei>549300KYL9TWDEEU3W90</lei>
        <title>Dryden XXV Senior Loan Fund</title>
        <cusip>26250JAS9</cusip>
        <identifiers>
          <isin value="US26250JAS96"/>
        </identifiers>
        <balance>7100000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7090720.30000000</valUSD>
        <pctVal>0.265344255884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.20000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED MXN / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IOKBBVXF8"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="19.76487391"/>
        <valUSD>-38222.03000000</valUSD>
        <pctVal>-0.00143031958</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>2719240.90000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>52990000.00000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2019-10-09</settlementDt>
            <unrealizedAppr>-38222.03000000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00UDZ0 IRS GBP R V 06MLIBOR SWUV0UDZ2 CCPVANILLA / Short: BWU00UDZ0 IRS GBP P F  1.00000 SWU00UDZ0 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1964L8"/>
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        <balance>9000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="GBP" exchangeRt="0.81330600"/>
        <valUSD>-388826.57000000</valUSD>
        <pctVal>-0.01455041131</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>London Interbank Offer Rate 6 Months</indexName>
                <indexIdentifier>BP0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="London Interbank Offer Rate 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
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            <terminationDt>2029-12-18</terminationDt>
            <upfrontPmnt>30796.37000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>9000000.00000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-427465.59000000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC NY</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>Barclays Bank PLC/NY</title>
        <cusip>06742TJS6</cusip>
        <identifiers>
          <isin value="US06742TJS69"/>
        </identifiers>
        <balance>13500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13500000.00000000</valUSD>
        <pctVal>0.505188091320</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.68000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
        <cusip>21H0506A5</cusip>
        <identifiers>
          <isin value="US21H0506A54"/>
        </identifiers>
        <balance>32875000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <name>Deutsche Bank AG/New York NY</name>
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        <name>Credit Suisse First Boston Mortgage Securities Corp</name>
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        <name>Citigroup Global Markets Inc.</name>
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        <name>Countrywide Asset-Backed Certificates</name>
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        <name>Mississippi Power Co</name>
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        <name>WaMu Mortgage Pass-Through Certificates Series</name>
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        <name>Royal Bank of Scotland Group PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Bank of America Corp</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>AIB Group PLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>ALEXANDRIA REAL ESTATE E</name>
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        <title>Alexandria Real Estate Equities Inc</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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          <isin value="US073879UP10"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Shire Acquisitions Investments Ireland DAC</name>
        <lei>549300XK5HGW68R8K327</lei>
        <title>Shire Acquisitions Investments Ireland DAC</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810QH4</cusip>
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        <name>United Technologies Corp</name>
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        <title>United Technologies Corp</title>
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        <name>United States Treasury</name>
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        <name>HSBC Bank USA, National Association</name>
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        <name>Fannie Mae</name>
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        <title>Fannie Mae Pool</title>
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        <name>Deutsche Alt-A Securities Mortgage Loan Trust</name>
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        <name>Imperial Brands Finance PLC</name>
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        <title>Imperial Brands Finance PLC</title>
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        <name>NextEra Energy Capital Holdings Inc</name>
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        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
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        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>RXX9P174 NOV19 174 PUT FSO</title>
        <cusip>000000000</cusip>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <name>Credit Suisse Group AG</name>
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        <name>Government National Mortgage Association</name>
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        <name>Altice Financing SA</name>
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        <name>Intercontinental Exchange, Inc.</name>
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        <name>Asx - Trade24</name>
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        <title>AUST 3YR BOND FUT DEC19 XSFE 20191216</title>
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        <name>Time Warner Cable LLC</name>
        <lei>549300U5NFR7S6E3GM41</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>Cooperatieve Rabobank UA</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
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        <name>SYNGENTA FINANCE NV</name>
        <lei>54930042S3BYCEGOCN86</lei>
        <title>Syngenta Finance NV</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Freddie Mac Structured Pass-Through Certificates</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Structured Pass-Through Certificates</title>
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        <balance>43532.47000000</balance>
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        <valUSD>51801.14000000</valUSD>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
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        <name>HSBC Bank USA, National Association</name>
        <lei>1IE8VN30JCEQV1H4R804</lei>
        <title>PURCHASED USD / SOLD MXN</title>
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        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <balance>68299.65000000</balance>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Zimmer Biomet Holdings Inc</name>
        <lei>2P2YLDVPES3BXQ1FRB91</lei>
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          <isin value="US98956PAK84"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>JPMorgan Chase &amp; Co</name>
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        <fairValLevel>2</fairValLevel>
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        <name>HSBC Bank USA, National Association</name>
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          <other otherDesc="Trade Identifier" value="19HIKBB7P1J"/>
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        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
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          <isin value="US31402LPB26"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Structured Asset Investment Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Banco Bilbao Vizcaya Argentaria SA</name>
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        <cusip>000000000</cusip>
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          <isin value="XS1190663952"/>
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        <balance>3600000.00000000</balance>
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        <invCountry>ES</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>IKZ9P100 DEC19 100 PUT FSO</title>
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        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI618959"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                <indexName>Long-Term Euro-BTP (FBTP)</indexName>
                <indexIdentifier>IKZ9 Comdty</indexIdentifier>
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      <invstOrSec>
        <name>Deutsche Bank AG/New York NY</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>Deutsche Bank AG/New York NY</title>
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        <name>Structured Asset Mortgage Investments Trust</name>
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      <invstOrSec>
        <name>McDonald's Corp</name>
        <lei>UE2136O97NLB5BYP9H04</lei>
        <title>McDonald's Corp</title>
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        <fairValLevel>2</fairValLevel>
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        <name>Home Equity Asset Trust</name>
        <lei>N/A</lei>
        <title>Home Equity Asset Trust</title>
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          <isin value="US22541NAD12"/>
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        <name>BNP Paribas</name>
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        <name>Citigroup Mortgage Loan Trust</name>
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        <name>DELTA AIR LINES 2007-1 A</name>
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        <name>Intercontinental Exchange, Inc.</name>
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        <curCd>USD</curCd>
        <valUSD>-22267.91000000</valUSD>
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        <assetCat>DCR</assetCat>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Intercontinental Exchange, Inc.</counterpartyName>
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                <issuerName>General Electric Co</issuerName>
                <issueTitle>General Electric Co</issueTitle>
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                  <cusip value="369604BD4"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="488.89000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.00000000"/>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED GBP / SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19IJKBBRM80"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>1518699.29000000</amtCurSold>
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      <invstOrSec>
        <name>Bank of America Corp</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>Bank of America Corp</title>
        <cusip>06053FAA7</cusip>
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          <isin value="US06053FAA75"/>
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        <balance>4100000.00000000</balance>
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        <valUSD>4374365.85000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19ESKBCV461"/>
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        <balance>1.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>59000000.00000000</amtCurSold>
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      <invstOrSec>
        <name>Aviation Capital Group LLC</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>Aviation Capital Group LLC</title>
        <cusip>05367AAJ2</cusip>
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          <isin value="US05367AAJ25"/>
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        <balance>1100000.00000000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Santander UK PLC</name>
        <lei>PTCQB104N23FMNK2RZ28</lei>
        <title>Santander UK PLC</title>
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        <balance>8100000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00VSA7 IRS JPY R F   .12200 SWU00VSA7 CCPVANILLA / Short: SWU00VSA7 IRS JPY P V 06MLIBOR SWUV0VSA9 CCPVANILLA</title>
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        <fairValLevel>2</fairValLevel>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>Soundview Home Equity Loan Trust</name>
        <lei>N/A</lei>
        <title>Soundview Home Loan Trust 2007-WMC1</title>
        <cusip>83612NAC9</cusip>
        <identifiers>
          <isin value="US83612NAC92"/>
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        <balance>1230661.31000000</balance>
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        <curCd>USD</curCd>
        <valUSD>451371.49000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Sequoia Mortgage Trust</name>
        <lei>N/A</lei>
        <title>Sequoia Mortgage Trust 10</title>
        <cusip>81743VAB9</cusip>
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        <balance>8854.42000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8608.00000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Trillium Credit Card Trust II</name>
        <lei>549300P7QN1SDIOQVL28</lei>
        <title>Trillium Credit Card Trust II</title>
        <cusip>89621AAD1</cusip>
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        <balance>11100000.00000000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-27</maturityDt>
          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179UQ62</cusip>
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          <isin value="US36179UQ624"/>
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        <balance>6203630.34000000</balance>
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        <curCd>USD</curCd>
        <valUSD>6488971.90000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2049-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      <invstOrSec>
        <name>State of Qatar</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>Qatar Government International Bond</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1807174393"/>
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        <balance>7300000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8317634.60000000</valUSD>
        <pctVal>0.311257033175</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2028-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RVV5</cusip>
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          <isin value="US38376RVV58"/>
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        <balance>5551578.24000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5589780.87000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED GBP / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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            <settlementDt>2019-11-15</settlementDt>
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      <invstOrSec>
        <name>American Express Co</name>
        <lei>R4PP93JZOLY261QX3811</lei>
        <title>American Express Co</title>
        <cusip>025816BU2</cusip>
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          <isin value="US025816BU20"/>
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        <balance>6600000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6731954.99000000</valUSD>
        <pctVal>0.251918777203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.38000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Navient Student Loan Trust</name>
        <lei>N/A</lei>
        <title>Navient Private Education Loan Trust 2018-B</title>
        <cusip>63940QAA1</cusip>
        <identifiers>
          <isin value="US63940QAA13"/>
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        <balance>1824499.14000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1823758.76000000</valUSD>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Residential Asset Securities Corporation</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>VOLKSWAGEN BANK GMBH</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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          <other otherDesc="Trade Identifier" value="19HQKBBM4VG"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Residential Accredit Loans, Inc</name>
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        <title>RALI Series 2007-QO2 Trust</title>
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          <isin value="US75116AAA88"/>
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        <fairValLevel>2</fairValLevel>
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        <name>Barclays Bank PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
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        <curCd>USD</curCd>
        <valUSD>3417750.00000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.63000000</annualizedRt>
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      <invstOrSec>
        <name>Morgan Stanley</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley</title>
        <cusip>61744YAQ1</cusip>
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          <isin value="US61744YAQ17"/>
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        <balance>1800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1879845.14000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
          <annualizedRt>3.74000000</annualizedRt>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
        <lei>7H6GLXDRUGQFU57RNE97</lei>
        <title>PURCHASED USD / SOLD MXN</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IGKBB57BX"/>
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        <balance>1.00000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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      <invstOrSec>
        <name>Credit Suisse Mortgage Trust</name>
        <lei>N/A</lei>
        <title>CSMC Series 2008-3R</title>
        <cusip>12640WAC4</cusip>
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          <isin value="US12640WAC47"/>
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        <balance>832442.27000000</balance>
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        <curCd>USD</curCd>
        <valUSD>723345.13000000</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>JPMorgan Chase &amp; Co</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMorgan Chase &amp; Co</title>
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        <balance>7100000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>7654983.00000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.90000000</annualizedRt>
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        <name>Citibank NA</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>Citibank NA</title>
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          <isin value="US17325FAN87"/>
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        <balance>9500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>9548122.44000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.05000000</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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        <name>BAT International Finance PLC</name>
        <lei>21380041YBGOQDFAC823</lei>
        <title>BAT International Finance PLC</title>
        <cusip>05530QAG5</cusip>
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          <isin value="US05530QAG55"/>
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        <balance>5200000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5215438.49000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75000000</annualizedRt>
          <isDefault>N</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Bank of America, National Association</name>
        <lei>B4TYDEB6GKMZO031MB27</lei>
        <title>PURCHASED USD / SOLD GBP</title>
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          <other otherDesc="Trade Identifier" value="19IRKBBVWZG"/>
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      <invstOrSec>
        <name>Westlake Automobile Receivables Trust</name>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>JT INTL FIN SERVICES BV</name>
        <lei>549300U2F0PG10VZUN93</lei>
        <title>JT International Financial Services BV</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1883352681"/>
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        <balance>4500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4675942.22000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>KENTUCKY ST PROPERTY &amp; BLDGS C</name>
        <lei>N/A</lei>
        <title>Kentucky State Property &amp; Building Commission</title>
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          <isin value="US49151E6Z18"/>
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        <balance>500000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>500790.00000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.30000000</annualizedRt>
          <isDefault>N</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>Campbell Soup Co</name>
        <lei>5493007JDSMX8Z5Z1902</lei>
        <title>Campbell Soup Co</title>
        <cusip>134429BD0</cusip>
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        <balance>2900000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2941834.53000000</valUSD>
        <pctVal>0.110087390458</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.30000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00VWI5 IRS JPY R F   .10300 SWU00VWI5 CCPVANILLA / Short: SWU00VWI5 IRS JPY P V 06MLIBOR SWUV0VWI7 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1ACW65"/>
        </identifiers>
        <balance>320000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>-52839.87000000</valUSD>
        <pctVal>-0.00197733874</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="30452.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.10300000"/>
            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2039-08-28</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>320000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-52839.87000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Charter Communications Operating LLC / Charter Communications Operating Capital</name>
        <lei>0J0XRGZE3PBRFEZ7MV65</lei>
        <title>Charter Communications Operating LLC / Charter Communications Operating Capital</title>
        <cusip>161175BB9</cusip>
        <identifiers>
          <isin value="US161175BB96"/>
        </identifiers>
        <balance>3800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4000719.57000000</valUSD>
        <pctVal>0.149712287664</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.46000000</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>Ashford Hospitality Trust Inc</name>
        <lei>N/A</lei>
        <title>Ashford Hospitality Trust 2018-ASHF</title>
        <cusip>04410CAA7</cusip>
        <identifiers>
          <isin value="US04410CAA71"/>
        </identifiers>
        <balance>7500000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7490604.00000000</valUSD>
        <pctVal>0.280308439822</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>3.03000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T Inc</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT&amp;T Inc</title>
        <cusip>00206RDU3</cusip>
        <identifiers>
          <isin value="US00206RDU32"/>
        </identifiers>
        <balance>5400000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5407962.41000000</valUSD>
        <pctVal>0.202373200580</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179QRZ6</cusip>
        <identifiers>
          <isin value="US36179QRZ62"/>
        </identifiers>
        <balance>609112.19000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>648385.56000000</valUSD>
        <pctVal>0.024263456555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED GBP / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19HTKBBM1JZ"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.81323798"/>
        <valUSD>270190.97000000</valUSD>
        <pctVal>0.010110908179</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>35453669.21000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>29052000.00000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2019-10-02</settlementDt>
            <unrealizedAppr>270190.97000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED MXN / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IRKBBWJK0"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="19.85720000"/>
        <valUSD>-41632.89000000</valUSD>
        <pctVal>-0.00155795853</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>6346147.12000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>125190000.00000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2019-11-05</settlementDt>
            <unrealizedAppr>-41632.89000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>RXZ9C192 DEC19 192 CALL FSO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="AEI633560"/>
        </identifiers>
        <balance>77.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
        <valUSD>839.26000000</valUSD>
        <pctVal>0.000031406233</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Citigroup Global Markets Inc.</counterpartyName>
              <counterpartyLei>MBNUM2BPBDO7JBLYG310</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>Euro-Bund (FGBL)</indexName>
                <indexIdentifier>RXZ9 Comdty</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <expDate>2019-11-22</expDate>
            <notionalAmt>836.22000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-72.18000000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Conagra Brands Inc</name>
        <lei>54930035UDEIH090K650</lei>
        <title>Conagra Brands Inc</title>
        <cusip>205887BZ4</cusip>
        <identifiers>
          <isin value="US205887BZ43"/>
        </identifiers>
        <balance>2761000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2849507.17000000</valUSD>
        <pctVal>0.106632376919</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.80000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RGP5</cusip>
        <identifiers>
          <isin value="US38376RGP55"/>
        </identifiers>
        <balance>5138413.98000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5133006.83000000</valUSD>
        <pctVal>0.192083994309</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.83000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RLB0</cusip>
        <identifiers>
          <isin value="US38376RLB05"/>
        </identifiers>
        <balance>43877.77000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>43920.88000000</valUSD>
        <pctVal>0.001643578187</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2062-03-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.91000000</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>Odebrecht Oil &amp; Gas Finance Ltd</name>
        <lei>549300L7LF2PIRAWID66</lei>
        <title>Odebrecht Oil &amp; Gas Finance Ltd</title>
        <cusip>67576JAB7</cusip>
        <identifiers>
          <isin value="US67576JAB70"/>
        </identifiers>
        <balance>500930.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4383.14000000</valUSD>
        <pctVal>0.000164022972</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2019-09-02</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Fannie Mae</name>
        <lei>B1V7KEBTPIMZEU4LTD58</lei>
        <title>Fannie Mae Pool</title>
        <cusip>31410UK68</cusip>
        <identifiers>
          <isin value="US31410UK688"/>
        </identifiers>
        <balance>46543.67000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48222.29000000</valUSD>
        <pctVal>0.001804542714</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</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>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED EUR / SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19IPKBBNF18"/>
        </identifiers>
        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91429886"/>
        <valUSD>-84221.74000000</valUSD>
        <pctVal>-0.00315169037</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>XX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>9363463.32000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>8484000.00000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2019-11-15</settlementDt>
            <unrealizedAppr>-84221.74000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM Student Loan Trust</name>
        <lei>5493000ZPP19J8RRD157</lei>
        <title>SLM Student Loan Trust 2005-3</title>
        <cusip>78442GPB6</cusip>
        <identifiers>
          <isin value="US78442GPB67"/>
        </identifiers>
        <balance>1391714.91000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1390990.80000000</valUSD>
        <pctVal>0.052052739799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.37000000</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>SLM Student Loan Trust</name>
        <lei>5493001M3I3E3XROS356</lei>
        <title>SLM Student Loan Trust 2003-11</title>
        <cusip>78442GJS6</cusip>
        <identifiers>
          <isin value="US78442GJS66"/>
        </identifiers>
        <balance>5137935.15000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5139497.60000000</valUSD>
        <pctVal>0.192326887621</pctVal>
        <payoffProfile>Long</payoffProfile>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MICROCHIP TECHNOLOGY INC</name>
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        <title>Microchip Technology Inc</title>
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          <isin value="US595017AN45"/>
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        <curCd>USD</curCd>
        <valUSD>4698329.83000000</valUSD>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>CHL Mortgage Pass-Through Trust 2004-12</title>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>SIMON PROPERTY GROUP LP</name>
        <lei>MR92GTD0MJTTTTQDVG45</lei>
        <title>Simon Property Group LP</title>
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          <isin value="US828807DG99"/>
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        <balance>6800000.00000000</balance>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2024-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.00000000</annualizedRt>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Inflation Indexed Bonds</title>
        <cusip>912828V49</cusip>
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          <isin value="US912828V491"/>
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        <balance>8071884.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>8155269.95000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.38000000</annualizedRt>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
        <cusip>38376RB54</cusip>
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          <isin value="US38376RB549"/>
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        <balance>1269522.17000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1269036.96000000</valUSD>
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        <issuerCat>USGA</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2066-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.60000000</annualizedRt>
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      <invstOrSec>
        <name>EVERGY INC</name>
        <lei>549300PGTHDQY6PSUI61</lei>
        <title>Evergy Inc</title>
        <cusip>30034WAA4</cusip>
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          <isin value="US30034WAA45"/>
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        <balance>1500000.00000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.45000000</annualizedRt>
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      <invstOrSec>
        <name>BAT Capital Corp</name>
        <lei>2138005GYEXN7XRHFA84</lei>
        <title>BAT Capital Corp</title>
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          <isin value="US05526DBB01"/>
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        <balance>4300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>4331301.33000000</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>2027-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.56000000</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>The Goldman Sachs Group, Inc.</name>
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        <units>NC</units>
        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                    <indexBasketInfo>
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      <invstOrSec>
        <name>Structured Asset Mortgage Investments Trust</name>
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          <isin value="US86359LPD54"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Apex Credit CLO LLC</name>
        <lei>254900PWXVUMLBQ0SA97</lei>
        <title>Apex Credit CLO 2016 Ltd</title>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Government National Mortgage Association</title>
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      <invstOrSec>
        <name>Structured Adjustable Rate Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>UniCredit SpA</name>
        <lei>549300TRUWO2CD2G5692</lei>
        <title>UniCredit SpA</title>
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        <invCountry>IT</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bank of Montreal</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <title>Bear Stearns Asset Backed Securities I Trust 2006-HE10</title>
        <cusip>07389RAQ9</cusip>
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        <balance>12935730.87000000</balance>
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        <curCd>USD</curCd>
        <valUSD>11375429.48000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>Monarch Grove CLO LTD</name>
        <lei>N/A</lei>
        <title>Monarch Grove CLO 18-1</title>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <name>Government National Mortgage Association</name>
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        <name>Venture CDO Ltd</name>
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        <name>Fannie Mae</name>
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        <name>Natwest Markets PLC</name>
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      <invstOrSec>
        <name>Goldman Sachs &amp; Co. LLC</name>
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        <name>United States Treasury</name>
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        <name>BONOS Y OBLIG DEL ESTADO</name>
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        <name>Benefit Street Partners CLO Ltd</name>
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        <name>BNP Paribas</name>
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                <issuerName>Petrobras Global Finance BV</issuerName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
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        <cusip>31288VRY7</cusip>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE</name>
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        <title>Petrobras Global Finance BV</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CVS Health Corp</name>
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        <title>CVS Health Corp</title>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2023-03-09</maturityDt>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
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          <isin value="US126694VR65"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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          <other otherDesc="Trade Identifier" value="19GMKBB7V7M"/>
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        <units>NC</units>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Countrywide Home Loans</name>
        <lei>N/A</lei>
        <title>Reperforming Loan REMIC Trust 2005-R2</title>
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        <fairValLevel>2</fairValLevel>
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        <name>AT&amp;T Inc</name>
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      <invstOrSec>
        <name>AbbVie Inc</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>AbbVie Inc</title>
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        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>Capital One Financial Corp</name>
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      <invstOrSec>
        <name>Fannie Mae</name>
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          <couponKind>Fixed</couponKind>
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        <name>GSR Mortgage Loan Trust</name>
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      <invstOrSec>
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        <name>Government National Mortgage Association</name>
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        <title>Government National Mortgage Association</title>
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        <name>Citigroup Commercial Mortgage Trust</name>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Pool</title>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>Chicago Mercantile Exchange</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MARRIOTT OWNERSHIP/ILG</name>
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      <invstOrSec>
        <name>Discovery Communications LLC</name>
        <lei>L2Z2MO2EQURH3BREWI15</lei>
        <title>Discovery Communications LLC</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179TUB9</cusip>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-03-20</maturityDt>
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          <annualizedRt>4.00000000</annualizedRt>
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      <invstOrSec>
        <name>Volkswagen Group of America Finance LLC</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>Volkswagen Group of America Finance LLC</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-13</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810QC5</cusip>
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        <balance>3100000.00000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.50000000</annualizedRt>
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      <invstOrSec>
        <name>Citigroup Inc</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>Citigroup Inc</title>
        <cusip>172967LQ2</cusip>
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        <balance>6800000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6900709.77000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
        <lei>MBNUM2BPBDO7JBLYG310</lei>
        <title>US 10YR FUT OPTN  Dec19P 115</title>
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        <units>NC</units>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
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                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
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                    <indexBasketInfo>
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            <delta>XXXX</delta>
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        <name>HSBC Bank USA, National Association</name>
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        <title>PURCHASED EUR / SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Trade Identifier" value="19IHKBB60B7"/>
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        <balance>1.00000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91429886"/>
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        <invCountry>XX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>Celgene Corp</name>
        <lei>4SIHMF0MOSTTL8CD0X64</lei>
        <title>Celgene Corp</title>
        <cusip>151020AH7</cusip>
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        <name>OCP CLO Ltd</name>
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      <invstOrSec>
        <name>Broadcom Corp / Broadcom Cayman Finance Ltd</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>Broadcom Corp / Broadcom Cayman Finance Ltd</title>
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        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae II Pool</title>
        <cusip>36179USW3</cusip>
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      <invstOrSec>
        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Gold Pool</title>
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      <invstOrSec>
        <name>Soundview Home Equity Loan Trust</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
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        <fairValLevel>1</fairValLevel>
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      <invstOrSec>
        <name>JPMorgan Chase Bank, National Association</name>
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      <invstOrSec>
        <name>WaMu Mortgage Pass-Through Certificates Series</name>
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        <name>Venture CDO Ltd</name>
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        <name>Option One Mortgage Loan Trust</name>
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        <name>Japan Bank for International Cooperation</name>
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      <invstOrSec>
        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <name>Scotia Capital (USA) Inc.</name>
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        <name>Freddie Mac</name>
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        <name>BNP Paribas</name>
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        <name>Bear Stearns Adjustable Rate Mortgage Trust</name>
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        <name>Fannie Mae</name>
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        <title>Fannie Mae Pool</title>
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        <name>Countrywide Asset-Backed Certificates</name>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED EUR / SOLD USD</title>
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        <name>Morgan Stanley ABS Capital I Inc Trust</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>Morgan Stanley ABS Capital I Inc Trust 2005-WMC6</title>
        <cusip>61744CSX5</cusip>
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        <balance>2991386.56000000</balance>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>Alexandria Real Estate Equities Inc</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>United States Treasury</name>
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        <fairValLevel>2</fairValLevel>
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        <name>Allergan Sales LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Argent Securities Inc.</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GSR Mortgage Loan Trust</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citigroup Global Markets Inc.</name>
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        <name>Citigroup Global Markets Inc.</name>
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        <name>BNP Paribas</name>
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        <name>BNP Paribas</name>
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        <name>Latam Airlines 2015-1 Pass Through Trust A</name>
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        <title>Latam Airlines 2015-1 Pass Through Trust A</title>
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        <name>ING Bank NV</name>
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        <name>SoFi Professional Loan Program LLC</name>
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        <name>SASOL Financing USA LLC</name>
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        <name>Sumitomo Mitsui Banking Corp</name>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2007-HY4</title>
        <cusip>02150QAA4</cusip>
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          <isin value="US02150QAA40"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Option One Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>Option One Mortgage Loan Trust 2007-2</title>
        <cusip>68401TAA6</cusip>
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          <isin value="US68401TAA60"/>
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        <balance>5387046.29000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>Citibank, National Association</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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      <invstOrSec>
        <name>LCH Limited</name>
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        <fairValLevel>2</fairValLevel>
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                <indexIdentifier>JPY0006M Index</indexIdentifier>
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        <name>Daimler Finance North America LLC</name>
        <lei>549300423Z16BB673J12</lei>
        <title>Daimler Finance North America LLC</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>IndyMac INDX Mortgage Loan Trust</name>
        <lei>N/A</lei>
        <title>IndyMac INDX Mortgage Loan Trust 2006-R1</title>
        <cusip>45662JAC6</cusip>
        <identifiers>
          <isin value="US45662JAC62"/>
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        <balance>2945972.83000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2760886.78000000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>Countrywide Alternative Loan Trust</name>
        <lei>N/A</lei>
        <title>Alternative Loan Trust 2006-OA21</title>
        <cusip>23245QAA7</cusip>
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          <isin value="US23245QAA76"/>
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        <balance>2053340.45000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>JACKSON NATL LIFE GLOBAL</name>
        <lei>635400PQXLYXWJI5QD78</lei>
        <title>Jackson National Life Global Funding</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <name>AmeriCredit Automobile Receivables Trust</name>
        <lei>5493003R0K8V08JVGR27</lei>
        <title>Americredit Automobile Receivables Trust 2018-1</title>
        <cusip>03066HAC1</cusip>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>Citibank, National Association</name>
        <lei>E57ODZWZ7FF32TWEFA76</lei>
        <title>PURCHASED USD / SOLD GBP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Trade Identifier" value="19ICKBBNPCC"/>
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        <balance>1.00000000</balance>
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        <name>Digital Realty Trust LP</name>
        <lei>CD4SPTZ3YBTHY0C1AH38</lei>
        <title>Digital Realty Trust LP</title>
        <cusip>25389JAR7</cusip>
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        <balance>1600000.00000000</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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        <name>Halcyon Loan Advisors Funding Ltd</name>
        <lei>549300NL4H585I318G08</lei>
        <title>Halcyon Loan Advisors Funding 2014-3 Ltd</title>
        <cusip>40538FAQ6</cusip>
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        <curCd>USD</curCd>
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        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>Freddie Mac</name>
        <lei>S6XOOCT0IEG5ABCC6L87</lei>
        <title>Freddie Mac Gold Pool</title>
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        <name>KUWAIT INTL BOND</name>
        <lei>549300FSC1YD0D9XX589</lei>
        <title>Kuwait International Government Bond</title>
        <cusip>501499AC1</cusip>
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          <isin value="US501499AC19"/>
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        <balance>1300000.00000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1316250.00000000</valUSD>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>KW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>Government National Mortgage Association</name>
        <lei>549300M8ZYFG0OCMTT87</lei>
        <title>Ginnie Mae</title>
        <cusip>21H0506B3</cusip>
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        <balance>28575000.00000000</balance>
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        <curCd>USD</curCd>
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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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      <invstOrSec>
        <name>WEA Finance LLC / Westfield UK &amp; Europe Finance PLC</name>
        <lei>N/A</lei>
        <title>WEA Finance LLC / Westfield UK &amp; Europe Finance PLC</title>
        <cusip>92890HAE2</cusip>
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        <balance>4200000.00000000</balance>
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        <curCd>USD</curCd>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25000000</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DAIMLER FINANCE NA LLC</name>
        <lei>549300423Z16BB673J12</lei>
        <title>Daimler Finance North America LLC</title>
        <cusip>233851DU5</cusip>
        <identifiers>
          <isin value="US233851DU57"/>
        </identifiers>
        <balance>8000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8030259.60000000</valUSD>
        <pctVal>0.300503075565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.55000000</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>Sumitomo Mitsui Banking Corp</name>
        <lei>5U0XI89JRFVHWIBS4F54</lei>
        <title>Sumitomo Mitsui Banking Corp</title>
        <cusip>865622CN2</cusip>
        <identifiers>
          <isin value="US865622CN21"/>
        </identifiers>
        <balance>7900000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7916795.72000000</valUSD>
        <pctVal>0.296257105123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.69000000</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>US 5YR FUTR OPTN  Dec19P 110</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="ADI1F7VN5"/>
        </identifiers>
        <balance>52.00000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>52.00000000</valUSD>
        <pctVal>0.000001945909</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs &amp; Co. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Board Of Trade</counterpartyName>
                    <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>Chicago Board Of Trade</name>
                    <lei>549300EX04Q2QBFQTQ27</lei>
                    <title>5 Year US Treasury Note Future</title>
                    <cusip>N/A</cusip>
                    <identifiers>
                      <other otherDesc="Internal Identifier" value="ADI1F7VN5E"/>
                    </identifiers>
                    <balance>52000.00000000</balance>
                    <units>NC</units>
                    <curCd>N/A</curCd>
                    <valUSD>52.00000000</valUSD>
                    <pctVal>0.00000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="derivative" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>Long</payOffProf>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>5 Year US Treasury Note</indexName>
                      <indexIdentifier>FVZ9 Comdty</indexIdentifier>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <expDate>2019-12-31</expDate>
                  <notionalAmt>52000.00000000</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>1000.00000000</shareNo>
            <exercisePrice>110.00000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2019-11-22</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-395.20000000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>General Motors Financial Co Inc</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>General Motors Financial Co Inc</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="XS1792505197"/>
        </identifiers>
        <balance>1900000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.91747300"/>
        <valUSD>2055415.25000000</valUSD>
        <pctVal>0.076916393112</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.15000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: SWU00WA22 IRS JPY R F   .09500 SWU00WA22 CCPVANILLA / Short: SWU00WA22 IRS JPY P V 06MLIBOR CCPVANILLA NEG RATE  -0.095</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1AP4O8"/>
        </identifiers>
        <balance>1640000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>28918.15000000</valUSD>
        <pctVal>0.001082155926</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="77044.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.09500000"/>
            <floatingPmntDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="0.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2026-09-13</terminationDt>
            <upfrontPmnt>0.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>1640000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>28918.15000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LETRA TESOURO NACIONAL</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>Brazil Letras do Tesouro Nacional</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="BRSTNCLTN7J0"/>
        </identifiers>
        <balance>176400000.00000000</balance>
        <units>PA</units>
        <currencyConditional curCd="BRL" exchangeRt="4.15495000"/>
        <valUSD>41458873.45000000</valUSD>
        <pctVal>1.551446603444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-04-01</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0.00000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>United States Treasury</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>United States Treasury Note/Bond</title>
        <cusip>912810QB7</cusip>
        <identifiers>
          <isin value="US912810QB70"/>
        </identifiers>
        <balance>2000000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2754687.50000000</valUSD>
        <pctVal>0.103084097800</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>Credit Suisse Group AG</name>
        <lei>549300506SI9CRFV9Z86</lei>
        <title>Credit Suisse Group AG</title>
        <cusip>225401AG3</cusip>
        <identifiers>
          <isin value="US225401AG34"/>
        </identifiers>
        <balance>6700000.00000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7055255.71000000</valUSD>
        <pctVal>0.264017123400</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-12</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.21000000</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCH Limited</name>
        <lei>F226TOH6YD6XJB17KS62</lei>
        <title>Long: BWU00RE45 IRS JPY R V 06MLIBOR SWUV0RE47 CCPVANILLA / Short: BWU00RE45 IRS JPY P F   .70500 SWU00RE45 CCPVANILLA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal Identifier" value="99S1541I7"/>
        </identifiers>
        <balance>930000000.00000000</balance>
        <units>OU</units>
        <descOthUnits>Notional Amount</descOthUnits>
        <currencyConditional curCd="JPY" exchangeRt="108.12500000"/>
        <valUSD>-890711.29000000</valUSD>
        <pctVal>-0.03333161011</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="derivative" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>LCH Limited</counterpartyName>
              <counterpartyLei>F226TOH6YD6XJB17KS62</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ICE Libor Japan 6 Months</indexName>
                <indexIdentifier>JPY0006M Index</indexIdentifier>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="ICE Libor Japan 6 Months" floatingRtSpread="0.00000000" pmntAmt="19891.00000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="-2743753.00000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.70500000"/>
            <terminationDt>2038-10-31</terminationDt>
            <upfrontPmnt>6384755.00000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>0.00000000</upfrontRcpt>
            <rcptCurCd>JPY</rcptCurCd>
            <notionalAmt>930000000.00000000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>-947357.09000000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="Monthly returns presented in Item B.5(a) have been calculated without deducting any applicable sales loads or redemption fees." noteItem="B.5.a"/>
    </explntrNotes>
    <signature>
      <ncom:dateSigned>2019-10-30</ncom:dateSigned>
      <ncom:nameOfApplicant>TRANSAMERICA SERIES TRUST</ncom:nameOfApplicant>
      <ncom:signature>Vincent Toner</ncom:signature>
      <ncom:signerName>Vincent Toner</ncom:signerName>
      <ncom:title>Treasurer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
