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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>65203.500000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>51000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2021-06-28</settlementDt>
            <unrealizedAppr>-7418.060000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNMV0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>-99129.170000</valUSD>
        <pctVal>-0.0111811</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>10650221.200000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>1139254162.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-99129.170000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBXCMW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.314400"/>
        <valUSD>4921.910000</valUSD>
        <pctVal>0.0005552</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>3349547.310000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>31245000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>4921.910000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FPKBBR46T"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>-9163.090000</valUSD>
        <pctVal>-0.0010335</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>30117259.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>4540719.460000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>-9163.090000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FRKBBMW48"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>23144.850000</valUSD>
        <pctVal>0.0026106</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>34484676.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>5232822.980000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>23144.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNP54"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>-1318.770000</valUSD>
        <pctVal>-0.0001487</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>41444080.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>6259732.290000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>-1318.770000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBS919"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>10364.380000</valUSD>
        <pctVal>0.0011690</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>36336212.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>5499758.250000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>10364.380000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNL68"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.930800"/>
        <valUSD>99336.710000</valUSD>
        <pctVal>0.0112045</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>1139254162.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>10654753.230000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>99336.710000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SEK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBW4W4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.318200"/>
        <valUSD>-4892.660000</valUSD>
        <pctVal>-0.0005519</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>31245000.000000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>3348222.750000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-4892.660000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REYNOLDS AMERICAN INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ1VY4CSF427"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7773.920000</valUSD>
        <pctVal>-0.0008768</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>REYNOLDS AMERICAN INC</issuerName>
                <issueTitle>REYNOLDS AMERICAN INC SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US761713AY21"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2020-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-43917.510000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>36143.590000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ROLLS-ROYCE PLC SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ3TZXPR2J18"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-121666.470000</valUSD>
        <pctVal>-0.0137232</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>ROLLS-ROYCE PLC</issuerName>
                <issueTitle>ROLLS-ROYCE PLC</issueTitle>
                <identifiers>
                  <isin value="XS0944838241"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-06-21</terminationDt>
            <upfrontPmnt>2495.340000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1000000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-124161.810000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SHELL INTERNATIONAL FINANCE B SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ9M1L79B5B1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1458.120000</valUSD>
        <pctVal>0.0001645</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SHELL INTERNATIONAL FINANCE BV</issuerName>
                <issueTitle>SHELL INTERNATIONAL FIN</issueTitle>
                <identifiers>
                  <isin value="XS1292468987"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>2956.910000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>100000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-1498.790000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBN8LQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>4629.380000</valUSD>
        <pctVal>0.0005222</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>5759698.700000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>38231906.000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>4629.380000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DBKBBXJ8Z"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>6492.340000</valUSD>
        <pctVal>0.0007323</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>94653.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>1756303.560000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>6492.340000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBN8JW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>-4197.920000</valUSD>
        <pctVal>-0.0004735</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>38231906.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>5771582.740000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>-4197.920000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH AFRICA EM SP CBK</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ40VWBSYF24"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4315.150000</valUSD>
        <pctVal>-0.0004867</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Citibank International Limited</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH AFRICA GOVT</issuerName>
                <issueTitle>REPUBLIC OF SOUTH AFRICA SR UNSECURED</issueTitle>
                <identifiers>
                  <isin value="US836205AN45"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-5081.800000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>766.650000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH AFRICA EM SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZVWY07Y7L71"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-53538.050000</valUSD>
        <pctVal>-0.0060387</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH AFRICA GOVT</issuerName>
                <issueTitle>REPUBLIC OF SOUTH AFRICA SR UNSECURED</issueTitle>
                <identifiers>
                  <isin value="US836205AN45"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-35406.020000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-18132.030000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH AFRICA EM SP JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ40VWBSYF24"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-21575.770000</valUSD>
        <pctVal>-0.0024336</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH AFRICA GOVT</issuerName>
                <issueTitle>REPUBLIC OF SOUTH AFRICA SR UNSECURED</issueTitle>
                <identifiers>
                  <isin value="US836205AN45"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-25788.230000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4212.460000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH KOREA GOVT AS BP BPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ45M4R7YXT5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-68359.460000</valUSD>
        <pctVal>-0.0077105</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH KOREA GOVT</issuerName>
                <issueTitle>REPUBLIC OF KOREA</issueTitle>
                <identifiers>
                  <isin value="US50064FAJ30"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-66626.250000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1733.210000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH KOREA GOVT AS BP BRC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ45M4R7YXT5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-81018.620000</valUSD>
        <pctVal>-0.0091384</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH KOREA GOVT</issuerName>
                <issueTitle>REPUBLIC OF KOREA</issueTitle>
                <identifiers>
                  <isin value="US50064FAJ30"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-80216.430000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-802.190000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH KOREA GOVT AS BP HUS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ45M4R7YXT5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-37977.480000</valUSD>
        <pctVal>-0.0042836</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>HSBC BANK USA, NATIONAL ASSOCIATION</counterpartyName>
              <counterpartyLei>1IE8VN30JCEQV1H4R804</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH KOREA GOVT</issuerName>
                <issueTitle>REPUBLIC OF KOREA</issueTitle>
                <identifiers>
                  <isin value="US50064FAJ30"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-37417.250000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-560.230000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOUTH KOREA GOVT AS BP JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ45M4R7YXT5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-50636.630000</valUSD>
        <pctVal>-0.0057115</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>SOUTH KOREA GOVT</issuerName>
                <issueTitle>REPUBLIC OF KOREA</issueTitle>
                <identifiers>
                  <isin value="US50064FAJ30"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-47901.020000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2735.610000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT AUD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBN1X2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.448800"/>
        <valUSD>10688.750000</valUSD>
        <pctVal>0.0012056</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>3835373.650000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>5572000.000000</amtCurPur>
            <curPur>AUD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>10688.750000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CHF/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBR7S0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>-7337.450000</valUSD>
        <pctVal>-0.0008276</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>5389019.020000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>5092000.000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-7337.450000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NOK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBWTL1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="9.624100"/>
        <valUSD>10880.790000</valUSD>
        <pctVal>0.0012273</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>1472901.250000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>14280000.000000</amtCurPur>
            <curPur>NOK</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>10880.790000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ETKBB73HS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-982770.420000</valUSD>
        <pctVal>-0.1108499</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>93808419.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>104410947.640000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-982770.420000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
        <title>REPUBLIC OF ARGENTINA BILLS 08/20 VAR</title>
        <cusip>ACI1JDTT0</cusip>
        <identifiers>
          <isin value="ARARGE5208H9"/>
        </identifiers>
        <balance>1601000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="104.590000"/>
        <valUSD>17415.250000</valUSD>
        <pctVal>0.0019643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>30.3128</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HUKBB4WBV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.753100"/>
        <valUSD>-135977.790000</valUSD>
        <pctVal>-0.0153374</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>78259922.000000</amtCurSold>
            <curSold>HKD</curSold>
            <amtCurPur>9958000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-03</settlementDt>
            <unrealizedAppr>-135977.790000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBWTKX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="9.625200"/>
        <valUSD>-10878.870000</valUSD>
        <pctVal>-0.0012271</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>14280000.000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>1472718.960000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-10878.870000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NZD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNR59"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.549600"/>
        <valUSD>-6655.980000</valUSD>
        <pctVal>-0.0007507</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>5933000.000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>3822011.310000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-6655.980000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD IDR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBB8LXD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14736.660000"/>
        <valUSD>1311.880000</valUSD>
        <pctVal>0.0001480</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>1159600000.000000</amtCurSold>
            <curSold>IDR</curSold>
            <amtCurPur>80000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>1311.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FLKBBZM83"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.096700"/>
        <valUSD>-874.310000</valUSD>
        <pctVal>-0.0000986</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Company</counterpartyName>
              <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
            </counterparties>
            <amtCurSold>3613999.980000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>508373.560000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-874.310000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SGD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EMKBBVSTV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.393300"/>
        <valUSD>-3840.750000</valUSD>
        <pctVal>-0.0004332</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>State Street Bank and Trust Company</counterpartyName>
              <counterpartyLei>571474TGEMMWANRLN572</counterpartyLei>
            </counterparties>
            <amtCurSold>344744.220000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>243589.010000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-3840.750000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U059U6 IRO USD 30Y P 2.175 SEP21 2.175 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ7X8WL4F6T8"/>
        </identifiers>
        <balance>5300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>53438.310000</valUSD>
        <pctVal>0.0060275</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 2.17500 09/17/21-30Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU00WQR0"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 2.17500 09/17/21-30Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.175000"/>
                  <terminationDt>2051-09-17</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>2.170000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-171811.690000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U060U3 IRO USD 3Y P 1.88 SEP21 1.88 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZKVS9SMJFP1"/>
        </identifiers>
        <balance>-44000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3022.800000</valUSD>
        <pctVal>-0.0003410</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.88000 09/17/21-3Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU00WQU3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.88000 09/17/21-3Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.880000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  </floatingPmntDesc>
                  <terminationDt>2024-09-17</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.880000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>222278.400000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U066V5 IRO USD 3Y P 2.02 DEC21 2.02 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZWRM1327QV3"/>
        </identifiers>
        <balance>-31500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3487.050000</valUSD>
        <pctVal>-0.0003933</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 2.02000 12/23/21-3Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU00Z3I8"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 2.02000 12/23/21-3Y LCH</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.020000"/>
                  <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
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                  <terminationDt>2024-12-23</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <unrealizedAppr>-1208.770000</unrealizedAppr>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="EZQCKGMFHH55"/>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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                  <derivAddlInfo>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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                  <derivAddlInfo>
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            <shareNo>N/A</shareNo>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZ5WG07N3501"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          </optionSwaptionWarrantDeriv>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <pctVal>-0.0772108</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00XQ49-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.300000"/>
            <terminationDt>2022-12-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-402305.300000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>252900000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-282228.030000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR -0.33900 12/11/20-1Y (WHT) LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZZ8RVVY63H9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>4567.160000</valUSD>
        <pctVal>0.0005151</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU012P47-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="-0.339000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2021-12-13</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>5400000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>4567.160000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.25000 12/15/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ91WX7CQ134"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>4127463.820000</valUSD>
        <pctVal>0.4655502</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00XHC1-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.250000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-12-16</terminationDt>
            <upfrontPmnt>3553819.240000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>84800000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>573644.580000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 0.60000 12/15/20-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZN71NKFR4P0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-4344471.340000</valUSD>
        <pctVal>-0.4900272</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00XH56-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="0.600000"/>
            <terminationDt>2050-12-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-4053650.310000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>21200000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-290821.030000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS EUR 1.31000 06/19/24-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZQV5G245N90"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>570825.470000</valUSD>
        <pctVal>0.0643853</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Euribor 6 Month ACT/360</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00SI72-Euribor 6 Month ACT/360"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.310000"/>
            <floatingPmntDesc curCd="EUR" fixedOrFloating="Floating" floatingRtIndex="Euribor 6 Month ACT/360" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2029-06-19</terminationDt>
            <upfrontPmnt>228817.760000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>6900000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>342007.710000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.25000 12/16/20-2Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZYWDBBMSKF7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>99584.280000</valUSD>
        <pctVal>0.0112324</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.250000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-12-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-7852.550000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>40500000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>107436.830000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.50000 06/17/20-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZMDWR700P95"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-151902.860000</valUSD>
        <pctVal>-0.0171336</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <terminationDt>2050-06-17</terminationDt>
            <upfrontPmnt>79027.260000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>4400000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-230930.120000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.50000 12/16/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ6WKBP8MKH6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>102877.540000</valUSD>
        <pctVal>0.0116039</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2030-12-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-3354.630000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>5900000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>106232.170000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.50000 12/16/20-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZXRLLF80ZG5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-20787.590000</valUSD>
        <pctVal>-0.0023447</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="GBP-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <terminationDt>2050-12-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>-2582.670000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>600000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-18204.920000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS GBP 0.50000 12/16/20-5Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZLXFKCP5GR3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>295517.180000</valUSD>
        <pctVal>0.0333324</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>GBP-LIBOR-BBA-Bloomberg 6M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <balance>1.000000</balance>
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        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>TELBOR ILS 3M</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="ILS" fixedOrFloating="Fixed" fixedRt="0.455000"/>
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            <terminationDt>2027-05-18</terminationDt>
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            <unrealizedAppr>86914.440000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS ILS R 0.52000 05/14/20-7Y BOA</title>
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          <isin value="EZHPZTM7NZ51"/>
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        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>BANK OF AMERICA CORPORATION</counterpartyName>
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              <indexBasketInfo>
                <indexName>TELBOR ILS 3M</indexName>
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            <swapFlag>Y</swapFlag>
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            <terminationDt>2027-05-14</terminationDt>
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            <unrealizedAppr>6173.140000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS ILS R 1.78000 04/22/19-10Y GLM</title>
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          <isin value="EZLP0YK9ZB52"/>
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        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>TELBOR ILS 3M</indexName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="ILS" fixedOrFloating="Fixed" fixedRt="1.780000"/>
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            <terminationDt>2029-04-22</terminationDt>
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            <unrealizedAppr>104816.680000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS JPY 0.20000 06/19/19-10Y LCH</title>
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        <identifiers>
          <isin value="EZ6S7V2SGTG5"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
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        <pctVal>-0.1051794</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>JPY-LIBOR-BBA-Bloomberg 6M</indexName>
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                <narrativeDesc>N/A</narrativeDesc>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="JPY-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="-0.020000" pmntAmt="0.000000">
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.200000"/>
            <terminationDt>2029-06-19</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>JPY</pmntCurCd>
            <upfrontRcpt>-637973.980000</upfrontRcpt>
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            <curCd>JPY</curCd>
            <unrealizedAppr>-294523.200000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS JPY 0.40000 06/19/19-20Y LCH</title>
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          <isin value="EZ9CJNSGCYD5"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>JPY-LIBOR-BBA-Bloomberg 6M</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="JPY-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <fixedPmntDesc amount="0.000000" curCd="JPY" fixedOrFloating="Fixed" fixedRt="0.400000"/>
            <terminationDt>2039-06-20</terminationDt>
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            <pmntCurCd>JPY</pmntCurCd>
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            <rcptCurCd>JPY</rcptCurCd>
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            <curCd>JPY</curCd>
            <unrealizedAppr>-625226.860000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS JPY 0.50000 06/19/19-30Y LCH</title>
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          <isin value="EZ9RPTLXXCL2"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
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        <pctVal>-0.0236342</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>JPY-LIBOR-BBA-Bloomberg 6M</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="JPY" fixedOrFloating="Floating" floatingRtIndex="JPY-LIBOR-BBA-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <upfrontRcpt>-27589.490000</upfrontRcpt>
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            <unrealizedAppr>-181945.710000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS NOK 1.63500 03/18/20-5Y LCH</title>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="NOK" exchangeRt="9.625200"/>
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        <assetCat>DIR</assetCat>
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        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
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              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="SWU00ZE21-NOK-NIBOR-NIBR-Bloomberg 6M"/>
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            <swapFlag>Y</swapFlag>
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            <fixedPmntDesc amount="0.000000" curCd="NOK" fixedOrFloating="Fixed" fixedRt="1.635000"/>
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            <unrealizedAppr>-63288.480000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS NOK 1.99300 11/12/19-5Y CME</title>
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        <identifiers>
          <isin value="EZ2TW832HDP4"/>
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        <balance>1.000000</balance>
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        <pctVal>-0.0074759</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="SWU00XO33-NOK-NIBOR-NIBR-Bloomberg 6M"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="NOK" fixedOrFloating="Floating" floatingRtIndex="NOK-NIBOR-NIBR-Bloomberg 6M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="6" resetDt="Month" resetDtUnit="6"/>
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            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="NOK" fixedOrFloating="Fixed" fixedRt="1.993000"/>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZWFBCKW5586"/>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
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        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        </securityLending>
      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZ94XWH2PR89"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZ5M8XH022F2"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
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          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="8.375000" pmntAmt="0.000000">
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            <terminationDt>2022-06-12</terminationDt>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD R 3ML-1ML+8.8 09-06-22-24 CME</title>
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        <identifiers>
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        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD R 3ML-1ML+8.80 05-23-24-29 CME</title>
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        <identifiers>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD R 3ML/1ML+9.125 03/18/21-22 CME</title>
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              <indexBasketInfo>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SONIA O/N Deposit Rates Swap</indexName>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="SONIA O/N Deposit Rates Swap" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            </floatingPmntDesc>
            <terminationDt>2025-12-16</terminationDt>
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            <pmntCurCd>GBP</pmntCurCd>
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            <rcptCurCd>GBP</rcptCurCd>
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            <curCd>GBP</curCd>
            <unrealizedAppr>148008.620000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>OIS GBP SONIO/0.905 12/03/29 LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-182106.150000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>SONIA O/N Deposit Rates Swap</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="SONIA O/N Deposit Rates Swap" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <fixedPmntDesc amount="0.000000" curCd="GBP" fixedOrFloating="Fixed" fixedRt="0.905000"/>
            <terminationDt>2039-12-05</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>GBP</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>GBP</rcptCurCd>
            <notionalAmt>2400000.000000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>-182106.150000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ZCS BRL 6.295 01/07/20-01/02/25 CME</title>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>Brazil Cetip DI Interbank Deposit Rate</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU00YNE8-Brazil Cetip DI Interbank Deposit Rate"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="BRL" fixedOrFloating="Floating" floatingRtIndex="Brazil Cetip DI Interbank Deposit Rate" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Day" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="BRL" fixedOrFloating="Fixed" fixedRt="6.295000"/>
            <terminationDt>2025-01-02</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>BRL</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>BRL</rcptCurCd>
            <notionalAmt>2400000.000000</notionalAmt>
            <curCd>BRL</curCd>
            <unrealizedAppr>-15647.270000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>TESCO PLC SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ79VXLY2KH6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>3219.600000</valUSD>
        <pctVal>0.0003631</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>TESCO PLC</issuerName>
                <issueTitle>TESCO PLC UNSUB EMTN</issueTitle>
                <identifiers>
                  <isin value="XS0105244585"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-1024.810000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>200000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>4244.410000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>TESCO PLC SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ52PBSDV4S7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>9623.590000</valUSD>
        <pctVal>0.0010855</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>TESCO PLC</issuerName>
                <issueTitle>TESCO PLC UNSUB EMTN</issueTitle>
                <identifiers>
                  <isin value="XS0105244585"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2025-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-33038.190000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>1000000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>42661.780000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBVS0D"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>7324.430000</valUSD>
        <pctVal>0.0008261</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
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            <amtCurSold>1381061.690000</amtCurSold>
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            <curPur>CAD</curPur>
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            <unrealizedAppr>7324.430000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBR973"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>-64819.990000</valUSD>
        <pctVal>-0.0073113</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>6895505.920000</amtCurSold>
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            <amtCurPur>737543313.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-64819.990000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBVDQ7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>1884873.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1381188.190000</amtCurPur>
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            <unrealizedAppr>-7320.660000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ERKBBWQNQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
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        <pctVal>0.0111876</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>3579400000.000000</amtCurSold>
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            <amtCurPur>33249452.640000</amtCurPur>
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            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>99186.370000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBR8B4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.930800"/>
        <valUSD>64903.290000</valUSD>
        <pctVal>0.0073207</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>THE TORONTO-DOMINION BANK</counterpartyName>
              <counterpartyLei>PT3QB789TSUIDF371261</counterpartyLei>
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            <amtCurSold>737543313.000000</amtCurSold>
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            <amtCurPur>6898388.850000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>64903.290000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBQ3K9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
        <valUSD>-6548.070000</valUSD>
        <pctVal>-0.0007386</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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            <amtCurSold>911183.370000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1228000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-6548.070000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CHF/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBQR4H"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>2954.670000</valUSD>
        <pctVal>0.0003333</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
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            <amtCurSold>502238.530000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>478000.000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>2954.670000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FNKBBPB3R"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
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        <name>N/A</name>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.460000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>19199.740000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ZZ663 OTC EPUT FN 2.0 100.4375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI975490"/>
        </identifiers>
        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-9884.800000</valUSD>
        <pctVal>-0.0011149</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.440000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-06</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6990.200000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>LONG GILT FUTURE  SEP20 IFLL 20200928</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="GB00HF8SC317"/>
        </identifiers>
        <balance>-510.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>65829.570000</valUSD>
        <pctVal>0.0074251</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED KINGDOM GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1J2188-UNITED KINGDOM GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-28</expDate>
            <notionalAmt>-86980398.670000</notionalAmt>
            <curCd>GBP</curCd>
            <unrealizedAppr>65829.570000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)SEP20 XCBT 20200921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYU0"/>
        </identifiers>
        <balance>12.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4577.580000</valUSD>
        <pctVal>0.0005163</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1JZD82-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>1670062.500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4577.580000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 5YR FUTR OPTN  SEP20P 111.7 EXP 08/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVU0P"/>
        </identifiers>
        <balance>93.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>93.000000</valUSD>
        <pctVal>0.0000105</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</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>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 5YR CBT 09/30/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="FVU000029"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 5YR CBT 09/30/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="FVU000029"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-10-01</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>111.750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-750.510000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 5YR FUTR OPTN  SEP20P 112.7 EXP 08/21/2020</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVU0P"/>
        </identifiers>
        <balance>7.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>54.680000</valUSD>
        <pctVal>0.0000062</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</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>N/A</name>
                    <lei>254900HROIFWPRGM1V77</lei>
                    <title>FIN FUT US 5YR CBT 09/30/20</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="FVU000029"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT US 5YR CBT 09/30/20</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="FVU000029"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-10-01</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>112.750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8.810000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 5YR NOTE (CBT) SEP20 XCBT 20200930</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVU0"/>
        </identifiers>
        <balance>741.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>246053.070000</valUSD>
        <pctVal>0.0277531</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1HVCQ4-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-30</expDate>
            <notionalAmt>93174961.310000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>246053.070000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT+T INC JR SUBORDINA 12/99 VAR</title>
        <cusip>ACI1K11M9</cusip>
        <identifiers>
          <isin value="XS2114413565"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1283045.040000</valUSD>
        <pctVal>0.1447189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-02</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</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>N/A</name>
        <lei>N/A</lei>
        <title>US ULTRA BOND CBT SEP20 XCBT 20200921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNU0"/>
        </identifiers>
        <balance>-7.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>12732.030000</valUSD>
        <pctVal>0.0014361</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1JZCF7-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>-1527093.750000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>12732.030000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>UNITED UTILITIES PLC SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZDW4S58K579"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-1576.700000</valUSD>
        <pctVal>-0.0001778</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UNITED UTILITIES PLC</issuerName>
                <issueTitle>UNITED UTILITIES PLC SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US91311QAC96"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2020-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-7575.150000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>300000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>5998.450000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT+T INC SR UNSECURED 06/21 VAR</title>
        <cusip>00206RFZ0</cusip>
        <identifiers>
          <isin value="US00206RFZ01"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>603094.190000</valUSD>
        <pctVal>0.0680250</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>1.1</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+T INC SR UNSECURED 06/24 VAR</title>
        <cusip>00206RGD8</cusip>
        <identifiers>
          <isin value="US00206RGD89"/>
        </identifiers>
        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1102599.750000</valUSD>
        <pctVal>0.1243658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.49838</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+T INC SR UNSECURED 07/21 VAR</title>
        <cusip>00206RDV1</cusip>
        <identifiers>
          <isin value="US00206RDV15"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1411628.060000</valUSD>
        <pctVal>0.1592222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.16888</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+T INC SR UNSECURED 08/20 VAR</title>
        <cusip>00206RGA4</cusip>
        <identifiers>
          <isin value="XS1862437909"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>898934.890000</valUSD>
        <pctVal>0.1013938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.139</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+T INC SR UNSECURED 09/26 1.8</title>
        <cusip>ACI1674M9</cusip>
        <identifiers>
          <isin value="XS1907120528"/>
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        <balance>1700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1998947.170000</valUSD>
        <pctVal>0.2254678</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.8</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>AUSNET SERVICES HOLDINGS PTY LTD</name>
        <lei>TTMIG9TE1S0X3ZPDHD61</lei>
        <title>AUSNET SERVICES HOLDINGS COMPANY GUAR REGS 07/20 2.375</title>
        <cusip>BCBJ7GII9</cusip>
        <identifiers>
          <isin value="XS0953783239"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1012594.540000</valUSD>
        <pctVal>0.1142139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.375</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>AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)</name>
        <lei>95980020140005848404</lei>
        <title>GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22</title>
        <cusip>B081RMII3</cusip>
        <identifiers>
          <isin value="ES0000095879"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>422863.220000</valUSD>
        <pctVal>0.0476961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.22</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>AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)</name>
        <lei>95980020140005848404</lei>
        <title>GENERALITAT DE CATALUNYA SR UNSECURED 09/21 4.9</title>
        <cusip>B5BMDRII6</cusip>
        <identifiers>
          <isin value="XS0449850980"/>
        </identifiers>
        <balance>1800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2134122.300000</valUSD>
        <pctVal>0.2407147</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.9</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>AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5</title>
        <cusip>70014LAC4</cusip>
        <identifiers>
          <isin value="US70014LAC46"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>456439.220000</valUSD>
        <pctVal>0.0514833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</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>AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)</name>
        <lei>635400CPI3EOIFF6OC33</lei>
        <title>PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 08/22 5.25</title>
        <cusip>70014LAA8</cusip>
        <identifiers>
          <isin value="US70014LAA89"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1408749.660000</valUSD>
        <pctVal>0.1588975</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</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>AVOLON HOLDINGS FUNDING LIMITED</name>
        <lei>635400ZRKEX9L1BKCH30</lei>
        <title>AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 10/23 5.125</title>
        <cusip>05401AAB7</cusip>
        <identifiers>
          <isin value="US05401AAB70"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>370481.850000</valUSD>
        <pctVal>0.0417879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</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>BAKER HUGHES A GE CO LLC / BAKER HUGHES CO-OBLIGOR INC</name>
        <lei>N/A</lei>
        <title>BAKER HUGHES LLC/CO OBL SR UNSECURED 12/22 2.773</title>
        <cusip>05723KAD2</cusip>
        <identifiers>
          <isin value="US05723KAD28"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>522183.840000</valUSD>
        <pctVal>0.0588988</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.773</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>BANCA CARIGE SPA</name>
        <lei>F1T87K3OQ2OV1UORLH26</lei>
        <title>BANCA CARIGE SPA COVERED REGS 05/22 VAR</title>
        <cusip>ACI1FC9D3</cusip>
        <identifiers>
          <isin value="IT0005225351"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>3390772.250000</valUSD>
        <pctVal>0.3824563</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.218</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>BANCA CARIGE SPA</name>
        <lei>F1T87K3OQ2OV1UORLH26</lei>
        <title>BANCA CARIGE SPA COVERED REGS 10/21 VAR</title>
        <cusip>ACI1BW9L5</cusip>
        <identifiers>
          <isin value="IT0005346504"/>
        </identifiers>
        <balance>3100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>3506688.750000</valUSD>
        <pctVal>0.3955309</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.539</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
        <lei>K8MS7FD7N5Z2WQ51AZ71</lei>
        <title>BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>BF2PHRII3</cusip>
        <identifiers>
          <isin value="ES0813211002"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2410000.490000</valUSD>
        <pctVal>0.2718319</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
              <title>BANCO BILBAO VIZCAYA ARGENTA</title>
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              <identifiers>
                <isin value="ES0113211835"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="266.667" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO SANTANDER SA</name>
        <lei>5493006QMFDDMYWIAM13</lei>
        <title>BANCO SANTANDER SA JR SUBORDINA REGS 09/49 VAR</title>
        <cusip>BQQ3S0II9</cusip>
        <identifiers>
          <isin value="XS1107291541"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>647258.440000</valUSD>
        <pctVal>0.0730064</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BANCO SANTANDER SA</name>
              <title>BANCO SANTANDER SA</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0113900J37"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="199.601" curCd="EUR"/>
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          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTG SEC 2005-3</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1</title>
        <cusip>05949A6C9</cusip>
        <identifiers>
          <isin value="US05949A6C95"/>
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        <balance>64686.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57258.830000</valUSD>
        <pctVal>0.0064584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.23391</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>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>BARCLAYS BANK PLC SUBORDINATED 11/22 7.625</title>
        <cusip>06740L8C2</cusip>
        <identifiers>
          <isin value="US06740L8C27"/>
        </identifiers>
        <balance>6100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6644708.470000</valUSD>
        <pctVal>0.7494785</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>BARCLAYS BANK PLC SUBORDINATED REGS 05/21 10</title>
        <cusip>B4XDHNII0</cusip>
        <identifiers>
          <isin value="XS0429325748"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>928646.640000</valUSD>
        <pctVal>0.1047451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>ACI07CRC6</cusip>
        <identifiers>
          <isin value="XS1002801758"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>564825.360000</valUSD>
        <pctVal>0.0637085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="502.513" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>06738EBG9</cusip>
        <identifiers>
          <isin value="US06738EBG98"/>
        </identifiers>
        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1762518.550000</valUSD>
        <pctVal>0.1988003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="460.829" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI0SSSH6</cusip>
        <identifiers>
          <isin value="XS1571333811"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>740631.470000</valUSD>
        <pctVal>0.0835383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS VAR</title>
        <cusip>ACI1FNQ32</cusip>
        <identifiers>
          <isin value="XS2049810356"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>233880.230000</valUSD>
        <pctVal>0.0263801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SR UNSECURED 01/26 4.375</title>
        <cusip>06738EAN5</cusip>
        <identifiers>
          <isin value="US06738EAN58"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1130270.000000</valUSD>
        <pctVal>0.1274869</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SR UNSECURED 03/25 3.65</title>
        <cusip>06738EAE5</cusip>
        <identifiers>
          <isin value="US06738EAE59"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2064369.000000</valUSD>
        <pctVal>0.2328470</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SR UNSECURED 05/24 VAR</title>
        <cusip>06738EBB0</cusip>
        <identifiers>
          <isin value="US06738EBB02"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1616131.190000</valUSD>
        <pctVal>0.1822887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SUBORDINATED 05/28 4.836</title>
        <cusip>06738EAW5</cusip>
        <identifiers>
          <isin value="US06738EAW57"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>549061.390000</valUSD>
        <pctVal>0.0619304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.836</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>BAYER US FINANCE II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>BAYER US FINANCE II LLC COMPANY GUAR 144A 06/21 VAR</title>
        <cusip>07274NAC7</cusip>
        <identifiers>
          <isin value="US07274NAC74"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1398488.570000</valUSD>
        <pctVal>0.1577401</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.92688</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>BAYER US FINANCE II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR</title>
        <cusip>07274NAG8</cusip>
        <identifiers>
          <isin value="US07274NAG88"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>799819.950000</valUSD>
        <pctVal>0.0902143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.32338</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>BAYER US FINANCE II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25</title>
        <cusip>07274NAJ2</cusip>
        <identifiers>
          <isin value="US07274NAJ28"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>459905.200000</valUSD>
        <pctVal>0.0518742</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</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>BAYER US FINANCE II LLC</name>
        <lei>529900XWNEXYNJ3X6T40</lei>
        <title>BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375</title>
        <cusip>07274NAL7</cusip>
        <identifiers>
          <isin value="US07274NAL73"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>467698.520000</valUSD>
        <pctVal>0.0527533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</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>BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1</name>
        <lei>N/A</lei>
        <title>BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 SBR1 A1 144A</title>
        <cusip>07333YAA6</cusip>
        <identifiers>
          <isin value="US07333YAA64"/>
        </identifiers>
        <balance>962471.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>960826.410000</valUSD>
        <pctVal>0.1083748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.4748</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>BCAP LLC TRUST 2011-RR5</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2011 RR5 7A1 144A</title>
        <cusip>05534AAJ0</cusip>
        <identifiers>
          <isin value="US05534AAJ07"/>
        </identifiers>
        <balance>22588.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20325.670000</valUSD>
        <pctVal>0.0022926</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.61074</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS  STRUC PROD INC 2007-R6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1</title>
        <cusip>07402FAA3</cusip>
        <identifiers>
          <isin value="US07402FAA30"/>
        </identifiers>
        <balance>55354.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45754.850000</valUSD>
        <pctVal>0.0051608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.6349</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2003-5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2</title>
        <cusip>07384MWG3</cusip>
        <identifiers>
          <isin value="US07384MWG31"/>
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        <balance>3482.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3411.590000</valUSD>
        <pctVal>0.0003848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.17076</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2004-2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A</title>
        <cusip>07384MN32</cusip>
        <identifiers>
          <isin value="US07384MN322"/>
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        <balance>9070.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8479.020000</valUSD>
        <pctVal>0.0009564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.80057</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 ADJ RATE MTGE TR 2004-2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A</title>
        <cusip>07384MN57</cusip>
        <identifiers>
          <isin value="US07384MN579"/>
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        <balance>5528.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4759.600000</valUSD>
        <pctVal>0.0005369</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.11816</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 ADJ RATE MTGE TR 2004-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 2A1</title>
        <cusip>07384MW65</cusip>
        <identifiers>
          <isin value="US07384MW653"/>
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        <balance>47157.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45481.750000</valUSD>
        <pctVal>0.0051300</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.88716</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 ADJ RATE MTGE TR 2004-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1</title>
        <cusip>07384M3D2</cusip>
        <identifiers>
          <isin value="US07384M3D25"/>
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        <balance>2627.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2510.950000</valUSD>
        <pctVal>0.0002832</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.3321</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>BEAR STEARNS ADJ RATE MTGE TR 2007-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1</title>
        <cusip>073881AA2</cusip>
        <identifiers>
          <isin value="US073881AA25"/>
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        <balance>115774.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108972.800000</valUSD>
        <pctVal>0.0122914</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.84718</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>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A</title>
        <cusip>07384MYW6</cusip>
        <identifiers>
          <isin value="US07384MYW62"/>
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        <balance>3508.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3446.300000</valUSD>
        <pctVal>0.0003887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <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>BEAR STEARNS ALT-A TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2</title>
        <cusip>07386HSZ5</cusip>
        <identifiers>
          <isin value="US07386HSZ54"/>
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        <balance>7345.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7174.870000</valUSD>
        <pctVal>0.0008093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.76861</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>BEAR STEARNS ALT-A TRUST 2005-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1</title>
        <cusip>07386HYE5</cusip>
        <identifiers>
          <isin value="US07386HYE51"/>
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        <balance>266503.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>238449.650000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.85314</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2</title>
        <cusip>073873AK7</cusip>
        <identifiers>
          <isin value="US073873AK72"/>
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        <balance>116824.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75810.370000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.69728</annualizedRt>
          <isDefault>Y</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2006-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1</title>
        <cusip>07387QAX8</cusip>
        <identifiers>
          <isin value="US07387QAX88"/>
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        <balance>30531.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27872.850000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.32825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSETBK SECU INC 2002-</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A1</title>
        <cusip>07384YEM4</cusip>
        <identifiers>
          <isin value="US07384YEM49"/>
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        <balance>735.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>724.260000</valUSD>
        <pctVal>0.0000817</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.82825</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)</name>
        <lei>254900H06V5RMEB3KE72</lei>
        <title>BOC AVIATION LTD SR UNSECURED 144A 09/22 2.75</title>
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          <isin value="US09681LAD29"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>402926.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</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>BOC AVIATION LIMITED (AKA: BOC AVIATION PTE LTD)</name>
        <lei>254900H06V5RMEB3KE72</lei>
        <title>BOC AVIATION LTD SR UNSECURED 144A 09/27 3.5</title>
        <cusip>09681LAE0</cusip>
        <identifiers>
          <isin value="US09681LAE02"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>412990.300000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>BORAL FINANCE PTY LIMITED</name>
        <lei>549300X2TYFVNPM0UT91</lei>
        <title>BORAL FINANCE PTY LTD COMPANY GUAR 144A 11/22 3</title>
        <cusip>09952AAA4</cusip>
        <identifiers>
          <isin value="US09952AAA43"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>403478.120000</valUSD>
        <pctVal>0.0455096</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>BP CAPITAL MARKETS AMERICA INC</name>
        <lei>5493009NTB34VXE1T760</lei>
        <title>BP CAP MARKETS AMERICA COMPANY GUAR 02/24 3.79</title>
        <cusip>10373QAD2</cusip>
        <identifiers>
          <isin value="US10373QAD25"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1423679.890000</valUSD>
        <pctVal>0.1605815</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.79</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>BRISTOL-MYERS SQUIBB COMPANY</name>
        <lei>HLYYNH7UQUORYSJQCN42</lei>
        <title>BRISTOL MYERS SQUIBB CO SR UNSECURED 144A 08/22 3.25</title>
        <cusip>110122BG2</cusip>
        <identifiers>
          <isin value="US110122BG27"/>
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        <balance>2600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2747134.940000</valUSD>
        <pctVal>0.3098584</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>CAMPBELL SOUP COMPANY</name>
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        <name>CANADA MORTGAGE &amp; HOUSING POOL</name>
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        <name>CANADA MORTGAGE &amp; HOUSING POOL</name>
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        <name>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.384</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>CHASE MORTGAGE FINANCE CORP 2007-A2</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1</title>
        <cusip>16163LAQ5</cusip>
        <identifiers>
          <isin value="US16163LAQ59"/>
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        <balance>67779.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59091.230000</valUSD>
        <pctVal>0.0066651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.38606</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHEVY CHASE MORTGAGE FUND CORP 2005-1A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 1A A1 144A</title>
        <cusip>16678RCT2</cusip>
        <identifiers>
          <isin value="US16678RCT23"/>
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        <balance>1322085.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1196420.970000</valUSD>
        <pctVal>0.1349483</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3345</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>CHINA DEVELOPMENT BANK</name>
        <lei>300300C1020111000029</lei>
        <title>CHINA DEVELOPMENT BANK UNSECURED 01/29 3.48</title>
        <cusip>ACI18DPJ8</cusip>
        <identifiers>
          <isin value="CND10001WKZ7"/>
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        <balance>11000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
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        <pctVal>0.1766093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.48</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHINA DEVELOPMENT BANK</name>
        <lei>300300C1020111000029</lei>
        <title>CHINA DEVELOPMENT BANK UNSECURED 01/36 3.8</title>
        <cusip>BZ82X0II5</cusip>
        <identifiers>
          <isin value="CND100009CN7"/>
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        <balance>6000000.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHINA DEVELOPMENT BANK</name>
        <lei>300300C1020111000029</lei>
        <title>CHINA DEVELOPMENT BANK UNSECURED 02/26 3.68</title>
        <cusip>ACI19HN43</cusip>
        <identifiers>
          <isin value="CND10001ZC52"/>
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        <balance>84900000.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.68</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>CHINA DEVELOPMENT BANK</name>
        <lei>300300C1020111000029</lei>
        <title>CHINA DEVELOPMENT BANK UNSECURED 04/27 4.04</title>
        <cusip>BDG28WII3</cusip>
        <identifiers>
          <isin value="CND10000H4F0"/>
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        <balance>93400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
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        <pctVal>1.5517547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.04</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>CHINA DEVELOPMENT BANK</name>
        <lei>300300C1020111000029</lei>
        <title>CHINA DEVELOPMENT BANK UNSECURED 08/26 3.05</title>
        <cusip>BD0F7YII8</cusip>
        <identifiers>
          <isin value="CND10000BV90"/>
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        <balance>27300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
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        <pctVal>0.4298141</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.05</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>CHINA DEVELOPMENT BANK</name>
        <lei>300300C1020111000029</lei>
        <title>CHINA DEVELOPMENT BANK UNSECURED 08/27 4.24</title>
        <cusip>ACI0XJLS3</cusip>
        <identifiers>
          <isin value="CND10000J275"/>
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        <balance>127000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
        <valUSD>18928945.070000</valUSD>
        <pctVal>2.1350579</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.24</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHINA GOVT</name>
        <lei>N/A</lei>
        <title>CHINA GOVERNMENT BOND BONDS 08/26 2.74</title>
        <cusip>BD1F1VII9</cusip>
        <identifiers>
          <isin value="CND10000BLC0"/>
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        <balance>26200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CNY" exchangeRt="7.074100"/>
        <valUSD>3703786.090000</valUSD>
        <pctVal>0.4177622</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.74</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>CHL MORTGAGE PASS-THROUGH TRUST 2006-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 12 A1</title>
        <cusip>125432AE4</cusip>
        <identifiers>
          <isin value="US125432AE49"/>
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        <balance>1202708.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>972206.670000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>CIFI HOLDINGS (GROUP) CO LTD</name>
        <lei>549300WGKSV867C0JF48</lei>
        <title>CIFI HOLDINGS GROUP COMPANY GUAR REGS 02/23 7.625</title>
        <cusip>ACI18JR53</cusip>
        <identifiers>
          <isin value="XS1952116983"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>630730.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2014-11</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2014 11 2A2 144A</title>
        <cusip>17323JAE2</cusip>
        <identifiers>
          <isin value="US17323JAE29"/>
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        <balance>5395248.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2444036.960000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.30825</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>CITIGROUP MTGE LOAN TR INC 2007-10</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA</title>
        <cusip>17313QAL2</cusip>
        <identifiers>
          <isin value="US17313QAL23"/>
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        <balance>126336.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118949.440000</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>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.93407</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A</title>
        <cusip>17311BAS2</cusip>
        <identifiers>
          <isin value="US17311BAS25"/>
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        <balance>555334.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>370727.500000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3445</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B</title>
        <cusip>17311XAB1</cusip>
        <identifiers>
          <isin value="US17311XAB10"/>
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        <balance>2378748.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1906329.720000</valUSD>
        <pctVal>0.2150212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.34825</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>CITIGROUP MTGE LOAN TRUST INC 2005-5</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 5 1A4</title>
        <cusip>17307GXW3</cusip>
        <identifiers>
          <isin value="US17307GXW31"/>
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        <balance>1067953.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>955667.480000</valUSD>
        <pctVal>0.1077929</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.0304</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>CITIGROUP MTGE LOAN TRUST INC 2005-OPT4</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6</title>
        <cusip>17307GUW6</cusip>
        <identifiers>
          <isin value="US17307GUW67"/>
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        <balance>2400000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2253720.720000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.15825</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CNH INDUSTRIAL CAPITAL LLC</name>
        <lei>549300PNSJ5B81UMVO28</lei>
        <title>CNH INDUSTRIAL CAP LLC COMPANY GUAR 11/20 4.375</title>
        <cusip>12592BAE4</cusip>
        <identifiers>
          <isin value="US12592BAE48"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>908424.420000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</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>CO-OPERATIVE GROUP HOLDINGS (2011) LIMITED</name>
        <lei>213800TAO69X5H284Q39</lei>
        <title>CO OP GRP HLDS COMPANY GUAR REGS 07/20 VAR</title>
        <cusip>B4YD7NII0</cusip>
        <identifiers>
          <isin value="XS0629969352"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>863906.620000</valUSD>
        <pctVal>0.0974429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-07-08</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2013-LC6</name>
        <lei>N/A</lei>
        <title>COMM MORTGAGE TRUST COMM 2013 LC6 XA</title>
        <cusip>20048EAZ4</cusip>
        <identifiers>
          <isin value="US20048EAZ43"/>
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        <balance>2201027.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56643.450000</valUSD>
        <pctVal>0.0063890</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.48796</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>CONAGRA BRANDS INC</name>
        <lei>54930035UDEIH090K650</lei>
        <title>CONAGRA BRANDS INC SR UNSECURED 10/20 VAR</title>
        <cusip>205887BW1</cusip>
        <identifiers>
          <isin value="US205887BW12"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>800480.810000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.76838</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CONAGRA BRANDS INC</name>
        <lei>54930035UDEIH090K650</lei>
        <title>CONAGRA BRANDS INC SR UNSECURED 10/21 3.8</title>
        <cusip>205887BZ4</cusip>
        <identifiers>
          <isin value="US205887BZ43"/>
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        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1143701.460000</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>Fixed</couponKind>
          <annualizedRt>3.8</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>COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>BD2YKYII0</cusip>
        <identifiers>
          <isin value="XS1400626690"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>926397.300000</valUSD>
        <pctVal>0.1044914</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.625</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>COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>COOPERATIEVE RABOBANK UA SR UNSECURED 144A 09/23 3.875</title>
        <cusip>74977RDE1</cusip>
        <identifiers>
          <isin value="US74977RDE18"/>
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        <balance>2400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2624007.790000</valUSD>
        <pctVal>0.2959705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</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>COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
        <title>COOPERATIEVE RABOBANK UA SR UNSECURED 144A 09/23 VAR</title>
        <cusip>74977RDD3</cusip>
        <identifiers>
          <isin value="US74977RDD35"/>
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        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1896216.130000</valUSD>
        <pctVal>0.2138804</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRY GARDEN HOLDINGS COMPANY LIMITED</name>
        <lei>549300MGHLPT1EFHGF84</lei>
        <title>COUNTRY GARDEN HLDGS SR SECURED REGS 01/23 4.75</title>
        <cusip>G24524AS2</cusip>
        <identifiers>
          <isin value="XS1751178499"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203750.000000</valUSD>
        <pctVal>0.0229816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRY GARDEN HOLDINGS COMPANY LIMITED</name>
        <lei>549300MGHLPT1EFHGF84</lei>
        <title>COUNTRY GARDEN HLDGS SR SECURED REGS 04/22 7.125</title>
        <cusip>ACI17Q545</cusip>
        <identifiers>
          <isin value="XS1940128371"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>316865.450000</valUSD>
        <pctVal>0.0357403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALT LOAN TRUST 2006-36T2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A1</title>
        <cusip>02146XAS7</cusip>
        <identifiers>
          <isin value="US02146XAS71"/>
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        <balance>2677980.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1754621.920000</valUSD>
        <pctVal>0.1979096</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2</title>
        <cusip>12668AGT6</cusip>
        <identifiers>
          <isin value="US12668AGT60"/>
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        <balance>8699.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3</title>
        <cusip>12668ALV5</cusip>
        <identifiers>
          <isin value="US12668ALV51"/>
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        <balance>26079.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22963.000000</valUSD>
        <pctVal>0.0025901</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.00382</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-81</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1</title>
        <cusip>12668BBN2</cusip>
        <identifiers>
          <isin value="US12668BBN29"/>
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        <balance>192674.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167181.470000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1</title>
        <cusip>021467AA3</cusip>
        <identifiers>
          <isin value="US021467AA34"/>
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        <balance>49500.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36485.530000</valUSD>
        <pctVal>0.0041153</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12</title>
        <cusip>02150GAN8</cusip>
        <identifiers>
          <isin value="US02150GAN88"/>
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        <balance>104108.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36207.340000</valUSD>
        <pctVal>0.0040839</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5345</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>COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1</title>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
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        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A</title>
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        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11</name>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA6</name>
        <lei>N/A</lei>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB</name>
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        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERT 2007-BC2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A</title>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-24</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-26</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A</title>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2A3</title>
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          <isin value="US23247LAC28"/>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-12</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-AB3</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1</title>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 12 12A1</title>
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          <isin value="US12669FN828"/>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-HYB5</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-R2</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2006-OA4</name>
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          <isin value="US126694F294"/>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2006-OA5</name>
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        <title>COUNTRYWIDE HOME LOANS CWHL 2006 OA5 3A1</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CREDIT BASED ASSET SRVC &amp; SEC 2006-CB3</name>
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          <isin value="US12489WQX55"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4445</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>CREDIT SUISSE AG/ ZURICH BRANCH</name>
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          <isin value="XS0957135212"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>CREDIT SUISSE AG/ ZURICH BRANCH</name>
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          <isin value="XS0972523947"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2007-3</name>
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        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A</title>
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        <identifiers>
          <isin value="US12638PAJ84"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>CROWN CASTLE INTERNATIONAL CORP (CCI)</name>
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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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        <curCd>USD</curCd>
        <valUSD>3124.520000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>CS FIRST BOSTON MTGE SEC CORP 2003-8</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <name>CVC CORDATUS LOAN FUND IV LTD 4A</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CVS HEALTH CORPORATION</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS HEALTH CORP SR UNSECURED 03/21 3.35</title>
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          <isin value="US126650DC17"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>CVS HEALTH CORPORATION</name>
        <lei>549300EJG376EN5NQE29</lei>
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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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        <name>CYPRUS GOVT</name>
        <lei>213800IOEYYAHPDLUL60</lei>
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        <balance>900000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>CY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>D.R. HORTON INC</name>
        <lei>529900ZIUEYVSB8QDD25</lei>
        <title>D.R. HORTON INC COMPANY GUAR 09/22 4.375</title>
        <cusip>23331ABE8</cusip>
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          <isin value="US23331ABE82"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>425208.340000</valUSD>
        <pctVal>0.0479606</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</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>DBUBS MORTGAGE TRUST 2011-LC1A</name>
        <lei>N/A</lei>
        <title>DBUBS MORTGAGE TRUST DBUBS 2011 LC1A XA 144A</title>
        <cusip>233050AD5</cusip>
        <identifiers>
          <isin value="US233050AD50"/>
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        <balance>420995.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52.960000</valUSD>
        <pctVal>0.0000060</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.874138</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>DBUBS MORTGAGE TRUST 2011-LC1A</name>
        <lei>N/A</lei>
        <title>DBUBS MORTGAGE TRUST DBUBS 2011 LC1A XB 144A</title>
        <cusip>233050AE3</cusip>
        <identifiers>
          <isin value="US233050AE34"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>799.740000</valUSD>
        <pctVal>0.0000902</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.381404</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>DELL INTERNATIONAL LLC / EMC CORP</name>
        <lei>N/A</lei>
        <title>DELL INT LLC / EMC CORP SR SECURED 144A 06/21 4.42</title>
        <cusip>25272KAD5</cusip>
        <identifiers>
          <isin value="US25272KAD54"/>
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        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1541926.050000</valUSD>
        <pctVal>0.1739189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.42</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>DEUTSCHE ALT-A SEC INC MTGE LO 2007-OA3</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA3 A1</title>
        <cusip>25150WAA2</cusip>
        <identifiers>
          <isin value="US25150WAA27"/>
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        <balance>474567.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>416120.860000</valUSD>
        <pctVal>0.0469356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3245</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>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 02/26 2.625</title>
        <cusip>ACI183TV9</cusip>
        <identifiers>
          <isin value="DE000DL19US6"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>944580.910000</valUSD>
        <pctVal>0.1065424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.625</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>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 12/20 VAR</title>
        <cusip>ACI0Z7P46</cusip>
        <identifiers>
          <isin value="DE000DL19TX8"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1008896.770000</valUSD>
        <pctVal>0.1137968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.148</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 02/21 4.25</title>
        <cusip>25160PAC1</cusip>
        <identifiers>
          <isin value="US25160PAC14"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>505686.060000</valUSD>
        <pctVal>0.0570380</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-02-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 11/25 VAR</title>
        <cusip>251526CB3</cusip>
        <identifiers>
          <isin value="US251526CB33"/>
        </identifiers>
        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2835367.550000</valUSD>
        <pctVal>0.3198104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.961</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>DISCOVER BANK/GREENWOOD BRANCH</name>
        <lei>X05BVSK68TQ7YTOSNR22</lei>
        <title>DISCOVER BANK SR UNSECURED 09/28 4.65</title>
        <cusip>25466AAP6</cusip>
        <identifiers>
          <isin value="US25466AAP66"/>
        </identifiers>
        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2414617.590000</valUSD>
        <pctVal>0.2723527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.65</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>DOMINION ENERGY GAS HOLDINGS LLC</name>
        <lei>549300BFOD6TDMVV4O24</lei>
        <title>DOMINION ENERGY GAS HLDG SR UNSECURED 06/21 VAR</title>
        <cusip>257375AM7</cusip>
        <identifiers>
          <isin value="US257375AM72"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>599196.880000</valUSD>
        <pctVal>0.0675854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.91338</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>DORCHESTER PARK CLO LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>DORCHESTER PARK CLO LTD DORPK 2015 1A AR 144A</title>
        <cusip>25820NAA2</cusip>
        <identifiers>
          <isin value="US25820NAA28"/>
        </identifiers>
        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2074256.000000</valUSD>
        <pctVal>0.2339622</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.03525</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>DRIVER AUSTRALIA-5</name>
        <lei>N/A</lei>
        <title>DRIVER AUSTRALIA DAOT 5 A REGS</title>
        <cusip>BD6SPWII8</cusip>
        <identifiers>
          <isin value="AU3FN0041935"/>
        </identifiers>
        <balance>473608.950000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>326263.540000</valUSD>
        <pctVal>0.0368003</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.02</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>DRYDEN EURO CLO 16-46A</name>
        <lei>N/A</lei>
        <title>DRYDEN LEVERAGED LOAN CDO DRYD 2016 46A A1R 144A</title>
        <cusip>ACI1C3DT6</cusip>
        <identifiers>
          <isin value="XS1999706150"/>
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        <balance>2100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2349366.960000</valUSD>
        <pctVal>0.2649928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.88</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>DT AUTO OWNER TRUST 2020-2A</name>
        <lei>N/A</lei>
        <title>DT AUTO OWNER TRUST DTAOT 2020 2A A 144A</title>
        <cusip>23343RAA6</cusip>
        <identifiers>
          <isin value="US23343RAA68"/>
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        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2204392.960000</valUSD>
        <pctVal>0.2486407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.14</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>DUKE ENERGY CORPORATION</name>
        <lei>I1BZKREC126H0VB1BL91</lei>
        <title>DUKE ENERGY CORP SR UNSECURED 08/22 2.4</title>
        <cusip>26441CAW5</cusip>
        <identifiers>
          <isin value="US26441CAW55"/>
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        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1556921.810000</valUSD>
        <pctVal>0.1756103</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>2.4</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>DUKE ENERGY CORPORATION</name>
        <lei>I1BZKREC126H0VB1BL91</lei>
        <title>DUKE ENERGY CORP SR UNSECURED 144A 05/21 VAR</title>
        <cusip>26441CBA2</cusip>
        <identifiers>
          <isin value="US26441CBA27"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>801760.160000</valUSD>
        <pctVal>0.0904332</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.924</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>DURHAM MORTGAGES B PLC 18-BX</name>
        <lei>N/A</lei>
        <title>DURHAM MORTGAGES DRHM 2018 BX A REGS</title>
        <cusip>ACI192FB9</cusip>
        <identifiers>
          <isin value="XS1815418816"/>
        </identifiers>
        <balance>1522634.030000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1874186.750000</valUSD>
        <pctVal>0.2113957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-03-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.85613</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>EGCLO 2018-1A</name>
        <lei>N/A</lei>
        <title>EVANS GROVE CLO LTD EGCLO 2018 1A A1 144A</title>
        <cusip>29915RAA1</cusip>
        <identifiers>
          <isin value="US29915RAA14"/>
        </identifiers>
        <balance>594915.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>587138.550000</valUSD>
        <pctVal>0.0662253</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.29125</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>EMC MORTGAGE LOAN TRUST 2005-A</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2005 A A1 144A</title>
        <cusip>268668EK2</cusip>
        <identifiers>
          <isin value="US268668EK24"/>
        </identifiers>
        <balance>20522.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20543.100000</valUSD>
        <pctVal>0.0023171</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0845</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>EMERALD BAY SA</name>
        <lei>2221008SU8XG8LZVS860</lei>
        <title>EMERALD BAY SA PASS THRU CE 144A 10/20 0.0000</title>
        <cusip>ACI0YB9V6</cusip>
        <identifiers>
          <isin value="XS1685617760"/>
        </identifiers>
        <balance>572000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>629467.600000</valUSD>
        <pctVal>0.0709997</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-08</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</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 COMPANY GUAR 02/22 VAR</title>
        <cusip>29250NBB0</cusip>
        <identifiers>
          <isin value="US29250NBB01"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2486847.850000</valUSD>
        <pctVal>0.2804997</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-02-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8805</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENEL FINANCE INTERNATIONAL NV</name>
        <lei>0YQH6LCEF474UTUV4B96</lei>
        <title>ENEL FINANCE INTL NV COMPANY GUAR 144A 09/24 2.65</title>
        <cusip>29278GAL2</cusip>
        <identifiers>
          <isin value="US29278GAL23"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1359552.620000</valUSD>
        <pctVal>0.1533484</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65</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>EQUIFAX INC</name>
        <lei>5493004MCF8JDC86VS77</lei>
        <title>EQUIFAX INC SR UNSECURED 08/21 VAR</title>
        <cusip>294429AP0</cusip>
        <identifiers>
          <isin value="US294429AP03"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>399505.340000</valUSD>
        <pctVal>0.0450615</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.26238</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>ERSTE GROUP BANK AG</name>
        <lei>PQOH26KWDF7CG10L6792</lei>
        <title>ERSTE GROUP BANK AG JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>BDB50MII1</cusip>
        <identifiers>
          <isin value="XS1425367494"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>470614.190000</valUSD>
        <pctVal>0.0530821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.875</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>EUROHOME UK MORTGAGES 2007-1 A</name>
        <lei>N/A</lei>
        <title>EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS</title>
        <cusip>B1VBS4II2</cusip>
        <identifiers>
          <isin value="XS0290416527"/>
        </identifiers>
        <balance>1143514.780000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1364989.260000</valUSD>
        <pctVal>0.1539616</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.34325</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>EUROSAIL PLC 2006-1X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2006 1X A2C REGS</title>
        <cusip>B15CVSII2</cusip>
        <identifiers>
          <isin value="XS0253567720"/>
        </identifiers>
        <balance>17857.290000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>22075.300000</valUSD>
        <pctVal>0.0024899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.362</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>EUROSAIL PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>EUROSAIL PLC ESAIL 2007 3X A3A REGS</title>
        <cusip>ACI01JMT5</cusip>
        <identifiers>
          <isin value="XS0308666493"/>
        </identifiers>
        <balance>923481.810000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1133473.320000</valUSD>
        <pctVal>0.1278482</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14325</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>EXPORT-IMPORT BANK OF INDIA</name>
        <lei>335800OFZ8YEIVN1QI11</lei>
        <title>EXPORT IMPORT BK INDIA SR UNSECURED 03/22 VAR</title>
        <cusip>ACI1HMTB1</cusip>
        <identifiers>
          <isin value="HK0000493772"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>692030.500000</valUSD>
        <pctVal>0.0780564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IN</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.326</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>FAIRFAX FINANCIAL HOLDINGS LIMITED</name>
        <lei>GLS7OQD0WOEDI8YAP031</lei>
        <title>FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75</title>
        <cusip>BD9MMZII4</cusip>
        <identifiers>
          <isin value="XS1794676400"/>
        </identifiers>
        <balance>1100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1284100.800000</valUSD>
        <pctVal>0.1448379</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</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 2002-90</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 90 A2</title>
        <cusip>31392GEN1</cusip>
        <identifiers>
          <isin value="US31392GEN16"/>
        </identifiers>
        <balance>89443.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104870.250000</valUSD>
        <pctVal>0.0118287</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 2003-34</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 34 A1</title>
        <cusip>31393CEY5</cusip>
        <identifiers>
          <isin value="US31393CEY57"/>
        </identifiers>
        <balance>11731.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13663.390000</valUSD>
        <pctVal>0.0015411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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 2006-48</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 48 TF</title>
        <cusip>31395NLE5</cusip>
        <identifiers>
          <isin value="US31395NLE57"/>
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        <balance>34908.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34942.160000</valUSD>
        <pctVal>0.0039412</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5845</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>FANNIEMAE GRANTOR TRUST 2004-T3</name>
        <lei>N/A</lei>
        <title>FANNIEMAE GRANTOR TRUST FNGT 2004 T3 1A1</title>
        <cusip>31393YU52</cusip>
        <identifiers>
          <isin value="US31393YU521"/>
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        <balance>11865.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14014.580000</valUSD>
        <pctVal>0.0015808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>FANNIEMAE WHOLE LOAN 2004-W12</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1</title>
        <cusip>31394A6Y7</cusip>
        <identifiers>
          <isin value="US31394A6Y70"/>
        </identifiers>
        <balance>62823.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73005.060000</valUSD>
        <pctVal>0.0082345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>FCE BANK PLC</name>
        <lei>TU5V87TL5Q0UV1EW4H93</lei>
        <title>FCE BANK PLC SR UNSECURED REGS 02/21 1.66</title>
        <cusip>ACI0KHKC7</cusip>
        <identifiers>
          <isin value="XS1362349943"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>333172.790000</valUSD>
        <pctVal>0.0375797</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-02-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.66</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>FCE BANK PLC</name>
        <lei>TU5V87TL5Q0UV1EW4H93</lei>
        <title>FCE BANK PLC SR UNSECURED REGS 08/20 VAR</title>
        <cusip>ACI0TCRM0</cusip>
        <identifiers>
          <isin value="XS1590503279"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>223721.350000</valUSD>
        <pctVal>0.0252343</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.221</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>FCE BANK PLC</name>
        <lei>TU5V87TL5Q0UV1EW4H93</lei>
        <title>FCE BANK PLC SR UNSECURED REGS 09/21 0.869</title>
        <cusip>ACI0RTLT6</cusip>
        <identifiers>
          <isin value="XS1548776498"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>543124.410000</valUSD>
        <pctVal>0.0612608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.869</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>FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K026</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS K026 X1</title>
        <cusip>3137B1BT8</cusip>
        <identifiers>
          <isin value="US3137B1BT88"/>
        </identifiers>
        <balance>3027562.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56070.750000</valUSD>
        <pctVal>0.0063244</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.09143</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08823 FG 07/48 FIXED 3.5</title>
        <cusip>3128MJ4H0</cusip>
        <identifiers>
          <isin value="US3128MJ4H05"/>
        </identifiers>
        <balance>4786088.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5034637.720000</valUSD>
        <pctVal>0.5678733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FHLMC STRUCTURED PASS THRU SEC T-62</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1</title>
        <cusip>31395HHV5</cusip>
        <identifiers>
          <isin value="US31395HHV50"/>
        </identifiers>
        <balance>70450.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71205.460000</valUSD>
        <pctVal>0.0080315</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.70382</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>FIDELITY NATIONAL INFORMATION SERVICES INC</name>
        <lei>6WQI0GK1PRFVBA061U48</lei>
        <title>FIDELITY NATL INFO SERV COMPANY GUAR 05/23 0.75</title>
        <cusip>ACI1C01S7</cusip>
        <identifiers>
          <isin value="XS1843436574"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>679261.620000</valUSD>
        <pctVal>0.0766162</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75</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>FIGUEROA CLO LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>FIGUEROA CLO LTD FIG 2014 1A AR 144A</title>
        <cusip>31683YAJ3</cusip>
        <identifiers>
          <isin value="US31683YAJ38"/>
        </identifiers>
        <balance>601784.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>601442.860000</valUSD>
        <pctVal>0.0678387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.11888</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>FINLAND GOVT</name>
        <lei>743700M6Y2OQRVSBRD14</lei>
        <title>FINNISH GOVERNMENT SR UNSECURED 144A REGS 04/26 0</title>
        <cusip>ACI0L17T9</cusip>
        <identifiers>
          <isin value="FI4000197959"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1069910.210000</valUSD>
        <pctVal>0.1206787</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>FI</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.5</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>FINLAND GOVT</name>
        <lei>743700M6Y2OQRVSBRD14</lei>
        <title>FINNISH GOVERNMENT SR UNSECURED 144A REGS 09/25 0</title>
        <cusip>ACI0GM7B8</cusip>
        <identifiers>
          <isin value="FI4000167317"/>
        </identifiers>
        <balance>4600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>5553262.500000</valUSD>
        <pctVal>0.6263707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>FI</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.875</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>FINSBURY SQUARE 2018-2 PLC 18-2</name>
        <lei>N/A</lei>
        <title>FINSBURY SQUARE FSQ 2018 2 A REGS</title>
        <cusip>ACI163WL9</cusip>
        <identifiers>
          <isin value="XS1898246530"/>
        </identifiers>
        <balance>1741537.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>2157553.630000</valUSD>
        <pctVal>0.2433576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2068-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14763</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>FIRST FRANKLIN MTG LN ASST BKD 2005-FF2</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M5</title>
        <cusip>36242DN66</cusip>
        <identifiers>
          <isin value="US36242DN664"/>
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        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1448386.950000</valUSD>
        <pctVal>0.1633683</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1295</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>FIRST FRANKLIN MTG LOAN ABS 2006-FF10</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1</title>
        <cusip>32028HAA1</cusip>
        <identifiers>
          <isin value="US32028HAA14"/>
        </identifiers>
        <balance>1746472.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1607320.480000</valUSD>
        <pctVal>0.1812950</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2995</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>FISERV INC</name>
        <lei>GI7UBEJLXYLGR2C7GV83</lei>
        <title>FISERV INC SR UNSECURED 07/26 3.2</title>
        <cusip>337738AT5</cusip>
        <identifiers>
          <isin value="US337738AT51"/>
        </identifiers>
        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2547709.610000</valUSD>
        <pctVal>0.2873645</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.2</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 468066 FN 06/21 FIXED 4.295</title>
        <cusip>31381Q6B7</cusip>
        <identifiers>
          <isin value="US31381Q6B70"/>
        </identifiers>
        <balance>2854487.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2927084.920000</valUSD>
        <pctVal>0.3301555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.295</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 800171 FN 12/34 FLOATING VAR</title>
        <cusip>31405U6G9</cusip>
        <identifiers>
          <isin value="US31405U6G90"/>
        </identifiers>
        <balance>13449.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14003.380000</valUSD>
        <pctVal>0.0015795</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>3.519</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 841068 FN 11/34 FLOATING VAR</title>
        <cusip>31407UMR5</cusip>
        <identifiers>
          <isin value="US31407UMR58"/>
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        <balance>29540.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31096.180000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.773</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>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY JR SUBORDINA REGS 06/49 VAR</title>
        <cusip>ACI07BWB4</cusip>
        <identifiers>
          <isin value="GB00BBQ33664"/>
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        <balance>2750.000000</balance>
        <units>NS</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
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        <pctVal>0.0601502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BF0334 FN 01/59 FIXED 3.5</title>
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          <isin value="US3140FXLQ30"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3906171.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH4169 FN 12/47 FIXED 3.5</title>
        <cusip>3140GST36</cusip>
        <identifiers>
          <isin value="US3140GST369"/>
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        <balance>1206897.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1296908.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3919 FN 12/47 FIXED 3.5</title>
        <cusip>3140H5K91</cusip>
        <identifiers>
          <isin value="US3140H5K914"/>
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        <balance>575750.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>608240.150000</valUSD>
        <pctVal>0.0686054</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>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3954 FN 01/48 FIXED 3.5</title>
        <cusip>3140H5MC2</cusip>
        <identifiers>
          <isin value="US3140H5MC24"/>
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        <balance>1605067.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1694967.950000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ8703 FN 05/49 FIXED 3.5</title>
        <cusip>3140HAU57</cusip>
        <identifiers>
          <isin value="US3140HAU579"/>
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        <balance>672525.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>734864.540000</valUSD>
        <pctVal>0.0828878</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM2007 FN 09/48 FIXED VAR</title>
        <cusip>3140J6GR2</cusip>
        <identifiers>
          <isin value="US3140J6GR20"/>
        </identifiers>
        <balance>1349301.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1431403.640000</valUSD>
        <pctVal>0.1614527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BN0660 FN 09/48 FIXED 4</title>
        <cusip>3140JGWW1</cusip>
        <identifiers>
          <isin value="US3140JGWW10"/>
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        <balance>385291.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>408618.130000</valUSD>
        <pctVal>0.0460894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA4346 FN 10/49 FIXED 3</title>
        <cusip>3140QBZL5</cusip>
        <identifiers>
          <isin value="US3140QBZL57"/>
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        <balance>2547901.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2745559.370000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM1796 FN 10/34 FIXED VAR</title>
        <cusip>3140X47J9</cusip>
        <identifiers>
          <isin value="US3140X47J93"/>
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        <balance>725086.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>781468.040000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM3241 FN 03/50 FIXED VAR</title>
        <cusip>3140X6S77</cusip>
        <identifiers>
          <isin value="US3140X6S774"/>
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        <balance>4743121.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5019491.040000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM3243 FN 02/50 FIXED VAR</title>
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          <isin value="US3140X6S931"/>
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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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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3305 FN 03/48 FIXED 3.5</title>
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          <isin value="US31418CU779"/>
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        <balance>354365.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3383 FN 06/48 FIXED 3.5</title>
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          <isin value="US31418CXM18"/>
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        <balance>614965.330000</balance>
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        <curCd>USD</curCd>
        <valUSD>647034.010000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3384 FN 06/48 FIXED 4</title>
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          <isin value="US31418CXN90"/>
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        <balance>162259.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>171829.750000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FORD CREDIT AUTO LEASE TRUST 2018-A</name>
        <lei>N/A</lei>
        <title>FORD CREDIT AUTO LEASE TRUST FORDL 2018 A A4</title>
        <cusip>34531JAE5</cusip>
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          <isin value="US34531JAE55"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1305029.570000</valUSD>
        <pctVal>0.1471986</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <name>FREDDIE MAC 2395</name>
        <lei>N/A</lei>
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          <couponKind>Floating</couponKind>
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        <name>FREDDIE MAC REMICS 4579</name>
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        <name>FREDDIE MAC REMICS 4579</name>
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        <name>GALLATIN CLO IX LTD 2018-1A</name>
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      <invstOrSec>
        <name>GATX CORPORATION</name>
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        <lei>2TGYMUGI08PO8X8L6150</lei>
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        <name>GENERAL MILLS INC</name>
        <lei>2TGYMUGI08PO8X8L6150</lei>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.71613</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 MOTORS FINANCIAL COMPANY INC</name>
        <lei>5493008B6JBRUJ90QL97</lei>
        <title>GENERAL MOTORS FINL CO COMPANY GUAR 04/21 VAR</title>
        <cusip>37045XCH7</cusip>
        <identifiers>
          <isin value="US37045XCH70"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99411.750000</valUSD>
        <pctVal>0.0112130</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>1.11838</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>GERMAN POSTAL PENSIONS SECURITISATION 2</name>
        <lei>635400BTVST2KHRART23</lei>
        <title>GERMAN POSTAL PENSION 2 GOVT GUARANT REGS 01/22 4.375</title>
        <cusip>B169JSII2</cusip>
        <identifiers>
          <isin value="XS0256171777"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2410821.100000</valUSD>
        <pctVal>0.2719244</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</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>GLP CAPITAL LP / GLP FINANCING II INC</name>
        <lei>N/A</lei>
        <title>GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3</title>
        <cusip>361841AL3</cusip>
        <identifiers>
          <isin value="US361841AL38"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1518979.000000</valUSD>
        <pctVal>0.1713306</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.3</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008008 G2 07/22 FLOATING VAR</title>
        <cusip>36202J3R7</cusip>
        <identifiers>
          <isin value="US36202J3R73"/>
        </identifiers>
        <balance>3345.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3372.050000</valUSD>
        <pctVal>0.0003803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008280 G2 09/23 FLOATING VAR</title>
        <cusip>36202KFV2</cusip>
        <identifiers>
          <isin value="US36202KFV26"/>
        </identifiers>
        <balance>2159.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2213.830000</valUSD>
        <pctVal>0.0002497</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008651 G2 07/25 FLOATING VAR</title>
        <cusip>36202KTG0</cusip>
        <identifiers>
          <isin value="US36202KTG03"/>
        </identifiers>
        <balance>2341.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2419.970000</valUSD>
        <pctVal>0.0002730</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008699 G2 09/25 FLOATING VAR</title>
        <cusip>36202KUY9</cusip>
        <identifiers>
          <isin value="US36202KUY99"/>
        </identifiers>
        <balance>386.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400.140000</valUSD>
        <pctVal>0.0000451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008770 G2 12/25 FLOATING VAR</title>
        <cusip>36202KW76</cusip>
        <identifiers>
          <isin value="US36202KW763"/>
        </identifiers>
        <balance>139.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140.610000</valUSD>
        <pctVal>0.0000159</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.125</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008869 G2 11/21 FLOATING VAR</title>
        <cusip>36202K2A2</cusip>
        <identifiers>
          <isin value="US36202K2A22"/>
        </identifiers>
        <balance>175.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176.430000</valUSD>
        <pctVal>0.0000199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.125</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008971 G2 09/26 FLOATING VAR</title>
        <cusip>36202K6G5</cusip>
        <identifiers>
          <isin value="US36202K6G55"/>
        </identifiers>
        <balance>138.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139.940000</valUSD>
        <pctVal>0.0000158</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.25</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080010 G2 11/26 FLOATING VAR</title>
        <cusip>36225CAL0</cusip>
        <identifiers>
          <isin value="US36225CAL00"/>
        </identifiers>
        <balance>2601.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2623.140000</valUSD>
        <pctVal>0.0002959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.125</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080011 G2 11/26 FLOATING VAR</title>
        <cusip>36225CAM8</cusip>
        <identifiers>
          <isin value="US36225CAM82"/>
        </identifiers>
        <balance>1989.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2067.400000</valUSD>
        <pctVal>0.0002332</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.125</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080022 G2 12/26 FLOATING VAR</title>
        <cusip>36225CAY2</cusip>
        <identifiers>
          <isin value="US36225CAY21"/>
        </identifiers>
        <balance>386.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>401.660000</valUSD>
        <pctVal>0.0000453</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.125</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>PIMCO FUNDS</name>
        <lei>LWVQWTQCFH3YG7CVH718</lei>
        <title>PIMCO PRV SHORT TERM FLT III MUTUAL FUND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US72201W1541"/>
        </identifiers>
        <balance>2470211.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24353817.410000</valUSD>
        <pctVal>2.7469471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080199 G2 05/28 FLOATING VAR</title>
        <cusip>36225CGH3</cusip>
        <identifiers>
          <isin value="US36225CGH34"/>
        </identifiers>
        <balance>915.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>915.280000</valUSD>
        <pctVal>0.0001032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080364 G2 01/30 FLOATING VAR</title>
        <cusip>36225CMN3</cusip>
        <identifiers>
          <isin value="US36225CMN38"/>
        </identifiers>
        <balance>3967.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4152.220000</valUSD>
        <pctVal>0.0004683</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080397 G2 04/30 FLOATING VAR</title>
        <cusip>36225CNP7</cusip>
        <identifiers>
          <isin value="US36225CNP76"/>
        </identifiers>
        <balance>1969.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2070.960000</valUSD>
        <pctVal>0.0002336</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080409 G2 05/30 FLOATING VAR</title>
        <cusip>36225CN36</cusip>
        <identifiers>
          <isin value="US36225CN364"/>
        </identifiers>
        <balance>7215.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7591.110000</valUSD>
        <pctVal>0.0008562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080414 G2 06/30 FLOATING VAR</title>
        <cusip>36225CN85</cusip>
        <identifiers>
          <isin value="US36225CN851"/>
        </identifiers>
        <balance>5452.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5508.200000</valUSD>
        <pctVal>0.0006213</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</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 2016-H17</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H17 FK</title>
        <cusip>38376RXQ4</cusip>
        <identifiers>
          <isin value="US38376RXQ46"/>
        </identifiers>
        <balance>1819446.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1840763.100000</valUSD>
        <pctVal>0.2076257</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.15338</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 2016-H24</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F</title>
        <cusip>38376RJ72</cusip>
        <identifiers>
          <isin value="US38376RJ724"/>
        </identifiers>
        <balance>2847192.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2882027.440000</valUSD>
        <pctVal>0.3250733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.15338</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 2017-121</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE</title>
        <cusip>38380TV37</cusip>
        <identifiers>
          <isin value="US38380TV370"/>
        </identifiers>
        <balance>171536.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176223.740000</valUSD>
        <pctVal>0.0198769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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 2017-133</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC</title>
        <cusip>38380HCH3</cusip>
        <identifiers>
          <isin value="US38380HCH30"/>
        </identifiers>
        <balance>105913.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108881.780000</valUSD>
        <pctVal>0.0122811</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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 MTGE ASSOC 2004-68</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2004 68 ZC</title>
        <cusip>38374HVU1</cusip>
        <identifiers>
          <isin value="US38374HVU12"/>
        </identifiers>
        <balance>341394.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>394968.830000</valUSD>
        <pctVal>0.0445498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</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>GREENPOINT MTGE FUNDING TR 2005-AR5</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1</title>
        <cusip>39538WEA2</cusip>
        <identifiers>
          <isin value="US39538WEA27"/>
        </identifiers>
        <balance>7322.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5977.790000</valUSD>
        <pctVal>0.0006743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.70825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP II 2012-GCJ9</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2012 GCJ9 XA</title>
        <cusip>36192PAQ9</cusip>
        <identifiers>
          <isin value="US36192PAQ90"/>
        </identifiers>
        <balance>1722138.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62612.310000</valUSD>
        <pctVal>0.0070622</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.09614</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP II 2013-GC10</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2013 GC10 XA</title>
        <cusip>36192CAG0</cusip>
        <identifiers>
          <isin value="US36192CAG06"/>
        </identifiers>
        <balance>2143393.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66477.560000</valUSD>
        <pctVal>0.0074982</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.64199</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2004-OPT</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2004 OPT M1</title>
        <cusip>36242DNU3</cusip>
        <identifiers>
          <isin value="US36242DNU36"/>
        </identifiers>
        <balance>505740.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>490049.210000</valUSD>
        <pctVal>0.0552743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.03825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-FM2</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 FM2 A2D</title>
        <cusip>36245DAE0</cusip>
        <identifiers>
          <isin value="US36245DAE04"/>
        </identifiers>
        <balance>3874308.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1745178.520000</valUSD>
        <pctVal>0.1968444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.40825</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>GSAMP TRUST 2006-HE3</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 HE3 A2D</title>
        <cusip>36244KAE5</cusip>
        <identifiers>
          <isin value="US36244KAE55"/>
        </identifiers>
        <balance>2147000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1936814.280000</valUSD>
        <pctVal>0.2184596</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66825</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>GSAMP TRUST 2006-SD3</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 SD3 A 144A</title>
        <cusip>36244RAA8</cusip>
        <identifiers>
          <isin value="US36244RAA86"/>
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        <balance>86517.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80139.120000</valUSD>
        <pctVal>0.0090392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4445</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>GSC CAPITAL CORP MORTGAGE TRUST 2006-2</name>
        <lei>N/A</lei>
        <title>GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1</title>
        <cusip>362480AD7</cusip>
        <identifiers>
          <isin value="US362480AD73"/>
        </identifiers>
        <balance>1602977.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1452232.150000</valUSD>
        <pctVal>0.1638020</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3645</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSMPS MORTGAGE LOAN TRUST 2006-RP1</name>
        <lei>N/A</lei>
        <title>GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF1 144A</title>
        <cusip>3623413C1</cusip>
        <identifiers>
          <isin value="US3623413C19"/>
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        <balance>2245360.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1817752.350000</valUSD>
        <pctVal>0.2050303</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5345</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>GSR MORTGAGE LOAN TRUST 2003-1</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2003 1 A2</title>
        <cusip>36229RJJ9</cusip>
        <identifiers>
          <isin value="US36229RJJ95"/>
        </identifiers>
        <balance>4379.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4209.110000</valUSD>
        <pctVal>0.0004748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.93</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>GSR MORTGAGE LOAN TRUST 2005-AR1</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR1 1A1</title>
        <cusip>36242DUL5</cusip>
        <identifiers>
          <isin value="US36242DUL53"/>
        </identifiers>
        <balance>11226.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10648.220000</valUSD>
        <pctVal>0.0012010</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.26977</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>GSR MTGE LOAN TRUST 2003-2F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1</title>
        <cusip>36228FNB8</cusip>
        <identifiers>
          <isin value="US36228FNB84"/>
        </identifiers>
        <balance>269.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>288.700000</valUSD>
        <pctVal>0.0000326</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</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>GSR MTGE LOAN TRUST 2004-7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1</title>
        <cusip>36228F4P8</cusip>
        <identifiers>
          <isin value="US36228F4P85"/>
        </identifiers>
        <balance>8506.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8051.540000</valUSD>
        <pctVal>0.0009082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90616</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>HARBEN FINANCE 2017-1 PLC 17-1X</name>
        <lei>N/A</lei>
        <title>HARBEN FINANCE HRBN 2017 1X A REGS</title>
        <cusip>ACI12FW02</cusip>
        <identifiers>
          <isin value="XS1593589333"/>
        </identifiers>
        <balance>1369431.440000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1692090.160000</valUSD>
        <pctVal>0.1908564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.05613</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>HARBORVIEW MORTGAGE LOAN TR 2005-9</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A</title>
        <cusip>41161PSK0</cusip>
        <identifiers>
          <isin value="US41161PSK02"/>
        </identifiers>
        <balance>18180.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18181.920000</valUSD>
        <pctVal>0.0020508</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.53</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>HARBORVIEW MORTGAGE LOAN TR 2006-SB1</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A</title>
        <cusip>41162BAA1</cusip>
        <identifiers>
          <isin value="US41162BAA17"/>
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        <balance>79173.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71723.430000</valUSD>
        <pctVal>0.0080899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35382</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARLEY-DAVIDSON FINANCIAL SERVICES INC</name>
        <lei>RLUFFFFW4GRYU77BTS24</lei>
        <title>HARLEY DAVIDSON FINL SER COMPANY GUAR 144A 03/21 VAR</title>
        <cusip>41283LAT2</cusip>
        <identifiers>
          <isin value="US41283LAT26"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1491450.770000</valUSD>
        <pctVal>0.1682256</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-02</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.284</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>HAWKSMOOR MORTGAGES 19-1A</name>
        <lei>N/A</lei>
        <title>HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A</title>
        <cusip>ACI1DHFV7</cusip>
        <identifiers>
          <isin value="XS2033256145"/>
        </identifiers>
        <balance>3412012.780000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>4226777.610000</valUSD>
        <pctVal>0.4767521</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.28692</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>HEWLETT PACKARD ENTERPRISE COMPANY</name>
        <lei>549300BX44RGX6ANDV88</lei>
        <title>HP ENTERPRISE CO SR UNSECURED 10/21 VAR</title>
        <cusip>42824CBB4</cusip>
        <identifiers>
          <isin value="US42824CBB46"/>
        </identifiers>
        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1697089.940000</valUSD>
        <pctVal>0.1914204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.02375</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>HILTON WORLDWIDE FINANCE LLC</name>
        <lei>549300406TN7EY0NPH20</lei>
        <title>HILTON WORLDWIDE FINANCE LLC 2019 TERM LOAN B</title>
        <cusip>43289DAH6</cusip>
        <identifiers>
          <isin value="US43289DAH61"/>
        </identifiers>
        <balance>571428.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>535713.950000</valUSD>
        <pctVal>0.0604249</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.9345</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>HOME EQUITY MTGE TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>HOME EQUITY MORTGAGE TRUST HEMT 2006 5 A1</title>
        <cusip>43709PAB4</cusip>
        <identifiers>
          <isin value="US43709PAB40"/>
        </identifiers>
        <balance>118181.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65376.780000</valUSD>
        <pctVal>0.0073741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</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 JR SUBORDINA 12/99 VAR</title>
        <cusip>404280BP3</cusip>
        <identifiers>
          <isin value="US404280BP39"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>718945.500000</valUSD>
        <pctVal>0.0810922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC HOLDINGS PLC</name>
              <title>HSBC HOLDINGS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0005405286"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="370.37" curCd="USD"/>
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          <delta>XXXX</delta>
        </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 SR UNSECURED 03/28 VAR</title>
        <cusip>404280BK4</cusip>
        <identifiers>
          <isin value="US404280BK42"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>995134.980000</valUSD>
        <pctVal>0.1122445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.041</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 SR UNSECURED 05/30 VAR</title>
        <cusip>404280CC1</cusip>
        <identifiers>
          <isin value="US404280CC17"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2110315.710000</valUSD>
        <pctVal>0.2380294</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.973</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 SR UNSECURED 09/26 VAR</title>
        <cusip>404280BW8</cusip>
        <identifiers>
          <isin value="US404280BW89"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2165810.040000</valUSD>
        <pctVal>0.2442888</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.69838</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 SR UNSECURED 09/26 VAR</title>
        <cusip>404280BX6</cusip>
        <identifiers>
          <isin value="US404280BX62"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2450107.590000</valUSD>
        <pctVal>0.2763557</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.292</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 SUBORDINATED REGS 09/28 6.75</title>
        <cusip>918MUEII2</cusip>
        <identifiers>
          <isin value="XS0387079907"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1592237.370000</valUSD>
        <pctVal>0.1795937</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2003-A2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1</title>
        <cusip>466247AZ6</cusip>
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          <isin value="US466247AZ62"/>
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        <balance>2773.330000</balance>
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        <curCd>USD</curCd>
        <valUSD>2766.020000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2007-S2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 S2 1A11</title>
        <cusip>46630WAL4</cusip>
        <identifiers>
          <isin value="US46630WAL46"/>
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        <balance>1903681.470000</balance>
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        <curCd>USD</curCd>
        <valUSD>1257984.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</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>STICHTING AK RABOBANK CERTIFICATEN</name>
        <lei>DG3RU1DBUFHT4ZF9WN62</lei>
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        <cusip>BJBQCWII7</cusip>
        <identifiers>
          <isin value="XS1002121454"/>
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        <units>NS</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <pctVal>0.0405693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE TRUST 2005-A7</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 3A1</title>
        <cusip>466247WT6</cusip>
        <identifiers>
          <isin value="US466247WT64"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15255.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN REREMIC 2009-7</name>
        <lei>N/A</lei>
        <title>JP MORGAN REREMIC JPMRR 2009 7 17A1 144A</title>
        <cusip>46633PBG6</cusip>
        <identifiers>
          <isin value="US46633PBG63"/>
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        <balance>363286.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>364866.470000</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>2037-07-27</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.49992</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JT INTERNATIONAL FINANCIAL SERVICES BV</name>
        <lei>549300U2F0PG10VZUN93</lei>
        <title>JT INTL FIN SERVICES BV COMPANY GUAR REGS 09/23 3.5</title>
        <cusip>ACI155428</cusip>
        <identifiers>
          <isin value="XS1883352681"/>
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        <balance>2400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2585102.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>JUBILEE CLO 2015-XVI BV 15-16A</name>
        <lei>N/A</lei>
        <title>JUBILEE CDO BV JUBIL 2015 16A A1R 144A</title>
        <cusip>ACI0YWRZ1</cusip>
        <identifiers>
          <isin value="XS1577947283"/>
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        <balance>2400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.442</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>JYSKE REALKREDIT A/S</name>
        <lei>529900R9HQNZRT2OXB26</lei>
        <title>JYSKE REALKREDIT A/S COVERED 10/37 1.5</title>
        <cusip>BWK1VJII1</cusip>
        <identifiers>
          <isin value="DK0009387771"/>
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        <balance>3447822.420000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>JYSKE REALKREDIT A/S</name>
        <lei>529900R9HQNZRT2OXB26</lei>
        <title>JYSKE REALKREDIT A/S COVERED 10/50 1</title>
        <cusip>BKLH46II9</cusip>
        <identifiers>
          <isin value="DK0009397739"/>
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        <balance>34535943.840000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>5144592.920000</valUSD>
        <pctVal>0.5802755</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1</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>JYSKE REALKREDIT A/S</name>
        <lei>529900R9HQNZRT2OXB26</lei>
        <title>JYSKE REALKREDIT A/S COVERED REGS 10/50 1</title>
        <cusip>ACI1CPNN9</cusip>
        <identifiers>
          <isin value="DK0009397069"/>
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        <balance>7490018.710000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>1124208.610000</valUSD>
        <pctVal>0.1268032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1</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>JYSKE REALKREDIT A/S</name>
        <lei>529900R9HQNZRT2OXB26</lei>
        <title>JYSKE REALKREDIT A/S COVERED REGS 10/50 1.5</title>
        <cusip>BH3VW6II4</cusip>
        <identifiers>
          <isin value="DK0009396681"/>
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        <balance>16013778.840000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>2454279.110000</valUSD>
        <pctVal>0.2768262</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>KILROY REALTY LP</name>
        <lei>5493008CT3N3JR7P1552</lei>
        <title>KILROY REALTY LP COMPANY GUAR 12/24 3.45</title>
        <cusip>49427RAM4</cusip>
        <identifiers>
          <isin value="US49427RAM43"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209907.800000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>KINDER MORGAN INC</name>
        <lei>549300WR7IX8XE0TBO16</lei>
        <title>KINDER MORGAN INC COMPANY GUAR 144A 02/21 5</title>
        <cusip>49456BAA9</cusip>
        <identifiers>
          <isin value="US49456BAA98"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>919467.250000</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>2021-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</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>KOMATSU FINANCE AMERICA INC</name>
        <lei>549300SRAAFEEQ8Z4D68</lei>
        <title>KOMATSU FINANCE AMERICA COMPANY GUAR REGS 09/22 2.437</title>
        <cusip>ACI0XK426</cusip>
        <identifiers>
          <isin value="XS1678457463"/>
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        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>923150.700000</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>2022-09-11</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>KOOKMIN BANK</name>
        <lei>549300XXMOJSIW8P4769</lei>
        <title>KOOKMIN BANK COVERED REGS 10/20 2.125</title>
        <cusip>Y4822WCS7</cusip>
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          <isin value="USY4822WCS71"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>702779.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-21</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>KOREA HYDRO &amp; NUCLEAR POWER CO LTD</name>
        <lei>9884008CRY5MLCN8OQ43</lei>
        <title>KOREA HYDRO + NUCLEAR PO SR UNSECURED 144A 07/23 3.75</title>
        <cusip>50064YAN3</cusip>
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          <isin value="US50064YAN31"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>325416.570000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>KUWAIT GOVT</name>
        <lei>549300FSC1YD0D9XX589</lei>
        <title>KUWAIT INTL BOND SR UNSECURED REGS 03/27 3.5</title>
        <cusip>M6417JAA6</cusip>
        <identifiers>
          <isin value="XS1582346968"/>
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        <balance>5400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6038220.600000</valUSD>
        <pctVal>0.6810707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>KW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>LANARK MASTER ISSUER PLC 19-1A</name>
        <lei>N/A</lei>
        <title>LANARK MASTER ISSUER PLC LAN 2019 1A 1A2 144A</title>
        <cusip>ACI189DK7</cusip>
        <identifiers>
          <isin value="XS1950915790"/>
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        <balance>1368000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1699880.230000</valUSD>
        <pctVal>0.1917351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-12-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07325</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>LANDWIRTSCHAFTLICHE RENTENBANK</name>
        <lei>529900Z3J0N6S0F7CT25</lei>
        <title>LANDWIRTSCH. RENTENBANK GOVT GUARANT 01/23 4.25</title>
        <cusip>ACI04QSX1</cusip>
        <identifiers>
          <isin value="AU3CB0204543"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
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        <pctVal>0.0255491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</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>LANDWIRTSCHAFTLICHE RENTENBANK</name>
        <lei>529900Z3J0N6S0F7CT25</lei>
        <title>LANDWIRTSCH. RENTENBANK GOVT GUARANT 03/22 5.5</title>
        <cusip>ACI01T125</cusip>
        <identifiers>
          <isin value="AU3CB0192276"/>
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        <balance>1100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>LANDWIRTSCHAFTLICHE RENTENBANK</name>
        <lei>529900Z3J0N6S0F7CT25</lei>
        <title>LANDWIRTSCH. RENTENBANK GOVT GUARANT REGS 04/24 5.375</title>
        <cusip>ACI09B035</cusip>
        <identifiers>
          <isin value="NZLRBDT009C1"/>
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        <balance>1400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="NZD" exchangeRt="1.549700"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.375</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>LEHMAN XS TRUST 2006 GP4</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 GP4 1A1</title>
        <cusip>525161AA3</cusip>
        <identifiers>
          <isin value="US525161AA33"/>
        </identifiers>
        <balance>1879684.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1734839.730000</valUSD>
        <pctVal>0.1956783</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3895</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>LIBERTY FUNDING PTY LIMITED 2017-1</name>
        <lei>N/A</lei>
        <title>LIBERTY FUNDING PTY LIMITED LBRTY 2017 1 A1B</title>
        <cusip>ACI0T56B2</cusip>
        <identifiers>
          <isin value="AU3FN0034740"/>
        </identifiers>
        <balance>990101.810000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>683196.520000</valUSD>
        <pctVal>0.0770600</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.49</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>LITHUANIA GOVT</name>
        <lei>529900F7Y171QF1RSU09</lei>
        <title>REPUBLIC OF LITHUANIA SR UNSECURED REGS 03/21 6.125</title>
        <cusip>X5048HDW6</cusip>
        <identifiers>
          <isin value="XS0602546136"/>
        </identifiers>
        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1869944.400000</valUSD>
        <pctVal>0.2109172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>LT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</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>LLOYDS BANK CORPORATE MARKETS PLC</name>
        <lei>213800MBWEIJDM5CU638</lei>
        <title>LLOYDS BK CORP MKTS PLC SR UNSECURED REGS 07/24 1.75</title>
        <cusip>ACI1D3YZ8</cusip>
        <identifiers>
          <isin value="XS2025842688"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1508738.260000</valUSD>
        <pctVal>0.1701755</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-11</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75</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>LLOYDS BANK PLC</name>
        <lei>H7FNTJ4851HG0EXQ1Z70</lei>
        <title>LLOYDS BANK PLC COVERED REGS 03/25 5.125</title>
        <cusip>971QYMII5</cusip>
        <identifiers>
          <isin value="XS0737747211"/>
        </identifiers>
        <balance>1600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>2386866.530000</valUSD>
        <pctVal>0.2692225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</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 COVERED REGS 03/27 4.875</title>
        <cusip>ACI01SSR3</cusip>
        <identifiers>
          <isin value="XS0765619407"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1258990.600000</valUSD>
        <pctVal>0.1420057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.875</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>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA 04/49 VAR</title>
        <cusip>539439AG4</cusip>
        <identifiers>
          <isin value="US539439AG42"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207904.000000</valUSD>
        <pctVal>0.0234502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>LLOYDS BANKING GROUP PLC</name>
              <title>LLOYDS BANKING GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0008706128"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="932.836" curCd="USD"/>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC SR UNSECURED 03/28 4.375</title>
        <cusip>539439AR0</cusip>
        <identifiers>
          <isin value="US539439AR07"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232214.650000</valUSD>
        <pctVal>0.0261923</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</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>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC SR UNSECURED 07/25 VAR</title>
        <cusip>53944YAL7</cusip>
        <identifiers>
          <isin value="US53944YAL74"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>435663.780000</valUSD>
        <pctVal>0.0491399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.87</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 SUBORDINATED 03/26 4.65</title>
        <cusip>53944YAB9</cusip>
        <identifiers>
          <isin value="US53944YAB92"/>
        </identifiers>
        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2005684.920000</valUSD>
        <pctVal>0.2262278</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.65</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 SUBORDINATED 12/25 4.582</title>
        <cusip>539439AM1</cusip>
        <identifiers>
          <isin value="US539439AM10"/>
        </identifiers>
        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1444875.900000</valUSD>
        <pctVal>0.1629723</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.582</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>LUMINENT MORTGAGE TRUST 2006-4</name>
        <lei>N/A</lei>
        <title>LUMINENT MORTGAGE TRUST LUM 2006 4 A1A</title>
        <cusip>55027BAA6</cusip>
        <identifiers>
          <isin value="US55027BAA61"/>
        </identifiers>
        <balance>1761777.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1494884.520000</valUSD>
        <pctVal>0.1686129</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.54825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MAN GLG EURO CLO II DAC 2A</name>
        <lei>N/A</lei>
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        <cusip>ACI1DJHC3</cusip>
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          <isin value="XS2034709910"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MASSMUTUAL GLOBAL FUNDING II</name>
        <lei>549300K1IE3K7YU6VG29</lei>
        <title>MASSMUTUAL GLOBAL FUNDIN SECURED 144A 07/22 2.25</title>
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          <isin value="US57629WCK45"/>
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        <balance>2600000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2680679.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MASTR ALT LN TR 2006-2</name>
        <lei>N/A</lei>
        <title>MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1</title>
        <cusip>5764342H6</cusip>
        <identifiers>
          <isin value="US5764342H69"/>
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        <balance>43974.410000</balance>
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        <curCd>USD</curCd>
        <valUSD>2622.300000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5845</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MASTR ALTERNATIVE LOAN TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>MASTR ALTERNATIVE LOANS TRUST MALT 2006 1 A1</title>
        <cusip>576434Y32</cusip>
        <identifiers>
          <isin value="US576434Y325"/>
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        <balance>714235.970000</balance>
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        <curCd>USD</curCd>
        <valUSD>522531.320000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-HE2</name>
        <lei>N/A</lei>
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        <cusip>57644UAF2</cusip>
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          <isin value="US57644UAF21"/>
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        <balance>3953356.920000</balance>
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        <curCd>USD</curCd>
        <valUSD>2189244.530000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.64825</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SECUR TR 2005-FRE1</name>
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        <title>MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1</title>
        <cusip>57643LMA1</cusip>
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          <isin value="US57643LMA16"/>
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        <balance>1062680.270000</balance>
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        <curCd>USD</curCd>
        <valUSD>963909.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6845</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MASTR SPECIALIZED LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>MASTR SPECIALIZED LOAN TRUST MASD 2007 1 A 144A</title>
        <cusip>57645KAA4</cusip>
        <identifiers>
          <isin value="US57645KAA43"/>
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        <balance>1092472.170000</balance>
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        <curCd>USD</curCd>
        <valUSD>589777.660000</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>
          <annualizedRt>0.5545</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MCDONALDS CORPORATION</name>
        <lei>UE2136O97NLB5BYP9H04</lei>
        <title>MCDONALD S CORP SR UNSECURED 10/21 VAR</title>
        <cusip>58013MFG4</cusip>
        <identifiers>
          <isin value="US58013MFG42"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200491.600000</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>2021-10-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.31713</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MEDTRONIC GLOBAL HOLDINGS SCA</name>
        <lei>549300JXMTTP8GKYIX14</lei>
        <title>MEDTRONIC GLOBAL HLDINGS COMPANY GUAR 12/22 0.00000</title>
        <cusip>ACI1CX8R0</cusip>
        <identifiers>
          <isin value="XS2020670696"/>
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        <balance>2300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2569288.160000</valUSD>
        <pctVal>0.2897985</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MEIJI YASUDA LIFE INSURANCE COMPANY</name>
        <lei>549300SLU4LP6YMRLK07</lei>
        <title>MEIJI YASUDA LIFE INSURA SUBORDINATED 144A 04/48 VAR</title>
        <cusip>585270AC5</cusip>
        <identifiers>
          <isin value="US585270AC58"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>349781.850000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-04-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.1</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MERRILL LYNCH MORTG INV TRUST 2005-HE3</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE3 A1B</title>
        <cusip>59020UX75</cusip>
        <identifiers>
          <isin value="US59020UX750"/>
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        <balance>4609420.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4032671.240000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.82825</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVEST TR 2005-FM1</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 FM1 M1</title>
        <cusip>59020UC29</cusip>
        <identifiers>
          <isin value="US59020UC291"/>
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        <balance>37532.640000</balance>
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        <curCd>USD</curCd>
        <valUSD>36515.510000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.88825</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        <name>MERRILL LYNCH MORTGAGE INVESTORS 2003-A2</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1</title>
        <cusip>589929M70</cusip>
        <identifiers>
          <isin value="US589929M704"/>
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        <balance>5870.500000</balance>
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        <curCd>USD</curCd>
        <valUSD>5597.020000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.35932</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVESTORS 2003-A4</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A4 3A</title>
        <cusip>589929W87</cusip>
        <identifiers>
          <isin value="US589929W877"/>
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        <balance>9871.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9566.090000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.86805</annualizedRt>
          <isDefault>N</isDefault>
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        <name>METROPOLIS OF TOKYO JAPAN</name>
        <lei>353800FABE4GGB1BMO18</lei>
        <title>TOKYO METROPOLITAN GOVT SR UNSECURED 144A 05/21 2</title>
        <cusip>59173LAA8</cusip>
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          <isin value="US59173LAA89"/>
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        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1417191.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</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>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>UNITED MEXICAN STATES SR UNSECURED 04/32 4.75</title>
        <cusip>91087BAK6</cusip>
        <identifiers>
          <isin value="US91087BAK61"/>
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        <balance>400000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>442000.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</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>MEXICO GOVT</name>
        <lei>254900EGTWEU67VP6075</lei>
        <title>UNITED MEXICAN STATES SR UNSECURED 04/51 5</title>
        <cusip>91087BAL4</cusip>
        <identifiers>
          <isin value="US91087BAL45"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>540500.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-04-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</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>MICRON TECHNOLOGY INC</name>
        <lei>B3DXGBC8GAIYWI2Z0172</lei>
        <title>MICRON TECHNOLOGY INC SR UNSECURED 02/27 4.185</title>
        <cusip>595112BP7</cusip>
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          <isin value="US595112BP79"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>776163.890000</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>2027-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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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>MID-AMERICA APARTMENTS LP</name>
        <lei>549300FXWGE3QSYCUJ38</lei>
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        <cusip>59523UAP2</cusip>
        <identifiers>
          <isin value="US59523UAP21"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1160360.090000</valUSD>
        <pctVal>0.1308808</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.2</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>MIZUHO FINANCIAL GROUP INC</name>
        <lei>353800CI5L6DDAN5XZ33</lei>
        <title>MIZUHO FINANCIAL GROUP SR UNSECURED 05/24 VAR</title>
        <cusip>60687YBC2</cusip>
        <identifiers>
          <isin value="US60687YBC21"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2451418.100000</valUSD>
        <pctVal>0.2765035</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9895</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>MLCC MORTGAGE INVESTORS INC 2006-1</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2006 1 1A</title>
        <cusip>59020U4R3</cusip>
        <identifiers>
          <isin value="US59020U4R36"/>
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        <balance>21238.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20248.960000</valUSD>
        <pctVal>0.0022839</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.47902</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>MLCC MORTGAGE INVESTORS INC 2006-1</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2006 1 2A1</title>
        <cusip>59020U4S1</cusip>
        <identifiers>
          <isin value="US59020U4S19"/>
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        <balance>77051.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73940.640000</valUSD>
        <pctVal>0.0083400</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.33855</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY</name>
        <lei>IGJSJL3JD5P30I6NJZ34</lei>
        <title>MORGAN STANLEY SR UNSECURED 02/23 VAR</title>
        <cusip>6174468M4</cusip>
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          <isin value="CA6174468M42"/>
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        <balance>2600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2005-WMC2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2005 WMC2 M4</title>
        <cusip>61744CNU6</cusip>
        <identifiers>
          <isin value="US61744CNU61"/>
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        <balance>2866156.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2581510.110000</valUSD>
        <pctVal>0.2911770</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>Floating</couponKind>
          <annualizedRt>1.09825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2006-HE4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A4</title>
        <cusip>61748BAD6</cusip>
        <identifiers>
          <isin value="US61748BAD64"/>
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        <balance>1782057.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1186924.600000</valUSD>
        <pctVal>0.1338771</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4245</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2006-WMC2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 WMC2 A1</title>
        <cusip>61749KAA1</cusip>
        <identifiers>
          <isin value="US61749KAA16"/>
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        <balance>233592.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>204790.030000</valUSD>
        <pctVal>0.0230989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.41825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C</title>
        <cusip>61753EAC4</cusip>
        <identifiers>
          <isin value="US61753EAC49"/>
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        <balance>2137576.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1201774.400000</valUSD>
        <pctVal>0.1355521</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3145</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-NC3</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 NC3 A2B</title>
        <cusip>61755AAC0</cusip>
        <identifiers>
          <isin value="US61755AAC09"/>
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        <balance>1962476.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1553296.920000</valUSD>
        <pctVal>0.1752015</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.30825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL INC 2004-HE8</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2004 HE8 M1</title>
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          <isin value="US61744CHA71"/>
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        <balance>1956243.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1907586.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>MORGAN STANLEY HOME EQUITY LN 2007-2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3</title>
        <cusip>61752UAC9</cusip>
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          <isin value="US61752UAC99"/>
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        <balance>1613545.340000</balance>
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        <curCd>USD</curCd>
        <valUSD>1069435.910000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.39825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3</title>
        <cusip>61752JAE0</cusip>
        <identifiers>
          <isin value="US61752JAE01"/>
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        <balance>1940015.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>745901.300000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.9188</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MTGE LN TR 2007-6XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 2A6S</title>
        <cusip>61751JAM3</cusip>
        <identifiers>
          <isin value="US61751JAM36"/>
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        <balance>205295.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118835.070000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.70097</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA CORPORATION</name>
        <lei>9DJT3UXIJIZJI4WXO774</lei>
        <title>BANK OF AMERICA CORP JR SUBORDINA 12/99 VAR</title>
        <cusip>060505FL3</cusip>
        <identifiers>
          <isin value="US060505FL38"/>
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        <balance>1200000.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>1228240.120000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MOUNTAIN VIEW CLO LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO LTD MVW 2014 1A ARR 144A</title>
        <cusip>62431XAU0</cusip>
        <identifiers>
          <isin value="US62431XAU00"/>
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        <balance>247580.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>244392.870000</valUSD>
        <pctVal>0.0275659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01888</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>MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP</name>
        <lei>N/A</lei>
        <title>MPT OPER PARTNERSP/FINL COMPANY GUAR 12/23 2.55</title>
        <cusip>ACI1H1MY4</cusip>
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          <isin value="XS2085724073"/>
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        <balance>1500000.000000</balance>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.55</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>MUFG UNION BANK NA (AKA: UNION BANK OF CALIFORNIA)</name>
        <lei>OX3PU53ZLPQKJ4700D47</lei>
        <title>MUFG UNION BANK NA SR UNSECURED 12/22 VAR</title>
        <cusip>624786FV6</cusip>
        <identifiers>
          <isin value="US624786FV62"/>
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        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1694243.410000</valUSD>
        <pctVal>0.1910993</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.835887</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>MUNICIPAL ELECTRIC AUTHORITY OF GEORGIA</name>
        <lei>JA0WNILDDF2KUPS83B16</lei>
        <title>MUNI ELEC AUTH OF GEORGIA MELPWR 04/57 FIXED 6.655</title>
        <cusip>626207YM0</cusip>
        <identifiers>
          <isin value="US626207YM09"/>
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        <balance>392000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>576118.480000</valUSD>
        <pctVal>0.0649823</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.655</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>NATIONAL RURAL UTILITIES COOPERATIVE FINANCE CORPORATION</name>
        <lei>4NYF266XZC35SCTGX023</lei>
        <title>NATIONAL RURAL UTIL COOP SR UNSECURED 09/22 2.3</title>
        <cusip>63743HEQ1</cusip>
        <identifiers>
          <isin value="US63743HEQ11"/>
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        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2907915.190000</valUSD>
        <pctVal>0.3279933</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.3</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>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY COVERED 144A 02/23 1.7</title>
        <cusip>638602BR2</cusip>
        <identifiers>
          <isin value="US638602BR23"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2576761.880000</valUSD>
        <pctVal>0.2906414</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.7</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>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 01/23 2</title>
        <cusip>63859UBE2</cusip>
        <identifiers>
          <isin value="US63859UBE29"/>
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        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1957824.960000</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>2023-01-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</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>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/24 VAR</title>
        <cusip>63861VAA5</cusip>
        <identifiers>
          <isin value="US63861VAA52"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>843636.660000</valUSD>
        <pctVal>0.0951566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-08</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.766</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>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 04/23 VAR</title>
        <cusip>63861VAD9</cusip>
        <identifiers>
          <isin value="US63861VAD91"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>519811.950000</valUSD>
        <pctVal>0.0586313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.622</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>NAVIENT CORPORATION</name>
        <lei>54930067J0ZNOEBRW338</lei>
        <title>NAVIENT CORP SR UNSECURED 10/20 5</title>
        <cusip>63938CAA6</cusip>
        <identifiers>
          <isin value="US63938CAA62"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299193.000000</valUSD>
        <pctVal>0.0337470</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</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>NCUA GUARANTEED NOTES 2010-R3</name>
        <lei>N/A</lei>
        <title>NCUA GUARANTEED NOTES NGN 2010 R3 1A</title>
        <cusip>62888WAA4</cusip>
        <identifiers>
          <isin value="US62888WAA45"/>
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        <balance>87427.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87279.350000</valUSD>
        <pctVal>0.0098445</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-08</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.72588</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>NCUA GUARANTEED NOTES 2010-R3</name>
        <lei>N/A</lei>
        <title>NCUA GUARANTEED NOTES NGN 2010 R3 2A</title>
        <cusip>62888WAB2</cusip>
        <identifiers>
          <isin value="US62888WAB28"/>
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        <balance>438755.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>438800.930000</valUSD>
        <pctVal>0.0494938</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-08</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.72588</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>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A</title>
        <cusip>64830NAA9</cusip>
        <identifiers>
          <isin value="US64830NAA90"/>
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        <balance>2958200.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3108871.180000</valUSD>
        <pctVal>0.3506598</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</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>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A</title>
        <cusip>64828XAA1</cusip>
        <identifiers>
          <isin value="US64828XAA19"/>
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        <balance>2293850.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2421901.680000</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>2059-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.75</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>NEW SOUTH WALES TREASURY CORPORATION</name>
        <lei>TC7LRO17HPNPLTAV0H77</lei>
        <title>NEW S WALES TREASURY CRP LOCAL GOVT G 03/31 2</title>
        <cusip>ACI1DKMP5</cusip>
        <identifiers>
          <isin value="AU3SG0001944"/>
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        <balance>2200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>1601485.810000</valUSD>
        <pctVal>0.1806368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</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>NEW SOUTH WALES TREASURY CORPORATION</name>
        <lei>TC7LRO17HPNPLTAV0H77</lei>
        <title>NEW S WALES TREASURY CRP LOCAL GOVT G REGS 02/30 3</title>
        <cusip>BZ30FCII8</cusip>
        <identifiers>
          <isin value="AU3SG0001571"/>
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        <balance>1200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
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        <pctVal>0.1077134</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS</title>
        <cusip>B2NDQFII2</cusip>
        <identifiers>
          <isin value="XS0332288058"/>
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        <balance>455413.600000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>525905.290000</valUSD>
        <pctVal>0.0593186</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.19325</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>NEWGATE FUNDING PLC 2007-3X</name>
        <lei>N/A</lei>
        <title>NEWGATE FUNDING PLC NGATE 2007 3X BA REGS</title>
        <cusip>B2NDQGII0</cusip>
        <identifiers>
          <isin value="XS0329653934"/>
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        <balance>227706.800000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>260067.950000</valUSD>
        <pctVal>0.0293339</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-12-15</maturityDt>
          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>NISSAN MOTOR ACCEPTANCE CORPORATION</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
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          <isin value="US654740AZ24"/>
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        <curCd>USD</curCd>
        <valUSD>295605.190000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>NOMURA HOME EQUITY LOAN INC 2006-WF1</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>1626722.010000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>NORDEA KREDIT REALKREDIT COVERED 10/37 1.5</title>
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          <isin value="DK0002033000"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>NORDEA KREDIT REALKREDIT COVERED 10/47 2.5</title>
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          <isin value="DK0002030683"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>NORDEA KREDIT REALKREDIT COVERED 10/50 1</title>
        <cusip>BKDSHHII6</cusip>
        <identifiers>
          <isin value="DK0002044718"/>
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        <balance>37786536.760000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
        <lei>52990080NNXXLC14OC65</lei>
        <title>NORDEA KREDIT REALKREDIT COVERED 10/50 1.5</title>
        <cusip>BH3VWJII6</cusip>
        <identifiers>
          <isin value="DK0002044122"/>
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        <balance>2963591.740000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>NORTHERN TERRITORY TREASURY CORPORATION</name>
        <lei>254900V4FQ2K6E3VJ628</lei>
        <title>NORTHERN TERRITORY TREAS LOCAL GOVT G 04/31 2</title>
        <cusip>ACI1K8177</cusip>
        <identifiers>
          <isin value="AU3SG0002074"/>
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        <balance>1100000.000000</balance>
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        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
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        <pctVal>0.0868798</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-21</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>NORTHWELL HEALTHCARE INC</name>
        <lei>54930073NUTKK4QD3P47</lei>
        <title>NORTHWELL HEALTHCARE INC SECURED 11/47 4.26</title>
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        <identifiers>
          <isin value="US667274AC84"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>893426.930000</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>2047-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2006-1</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D</title>
        <cusip>669884AE8</cusip>
        <identifiers>
          <isin value="US669884AE80"/>
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        <balance>2800000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2455744.480000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2007-1</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A</title>
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          <isin value="US669971AA13"/>
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        <valUSD>1004262.530000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>NYKREDIT REALKREDIT A/S</name>
        <lei>LIU16F6VZJSD6UKHD557</lei>
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          <isin value="DK0009795627"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <lei>LIU16F6VZJSD6UKHD557</lei>
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        <lei>LIU16F6VZJSD6UKHD557</lei>
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        <lei>LIU16F6VZJSD6UKHD557</lei>
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        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
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        <name>NYKREDIT REALKREDIT A/S</name>
        <lei>LIU16F6VZJSD6UKHD557</lei>
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        <issuerCat>CORP</issuerCat>
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        <name>NYKREDIT REALKREDIT A/S</name>
        <lei>LIU16F6VZJSD6UKHD557</lei>
        <title>NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5</title>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>NYKREDIT REALKREDIT A/S</name>
        <lei>LIU16F6VZJSD6UKHD557</lei>
        <title>NYKREDIT REALKREDIT AS COVERED REGS 10/50 2</title>
        <cusip>ACI0X8XB1</cusip>
        <identifiers>
          <isin value="DK0009513582"/>
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        <balance>3522120.440000</balance>
        <units>PA</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>548351.540000</valUSD>
        <pctVal>0.0618504</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OBX TRUST 2018-1</name>
        <lei>N/A</lei>
        <title>ONSLOW BAY FINANCIAL LLC OBX 2018 1 A2 144A</title>
        <cusip>67112FAD2</cusip>
        <identifiers>
          <isin value="US67112FAD24"/>
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        <balance>808007.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>799737.870000</valUSD>
        <pctVal>0.0902051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8345</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>OCP CLO LTD 2015-8A</name>
        <lei>N/A</lei>
        <title>OCP CLO LTD OCP 2015 8A A1R 144A</title>
        <cusip>67091RAK5</cusip>
        <identifiers>
          <isin value="US67091RAK59"/>
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        <balance>537408.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>533869.340000</valUSD>
        <pctVal>0.0602169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.98488</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>OCTAGON INVESTMENT PARTNERS XIX LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>OCTAGON INVESTMENT PARTNERS XI OCT19 2014 1A AR 144A</title>
        <cusip>67590LAN8</cusip>
        <identifiers>
          <isin value="US67590LAN82"/>
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        <balance>19868.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19871.270000</valUSD>
        <pctVal>0.0022413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.31888</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ONEOK INC</name>
        <lei>2T3D6M0JSY48PSZI1Q41</lei>
        <title>ONEOK INC COMPANY GUAR 07/28 4.55</title>
        <cusip>682680AU7</cusip>
        <identifiers>
          <isin value="US682680AU71"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209927.170000</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>2028-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.55</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>ORIX CORPORATION</name>
        <lei>35380016EMHNBOVYE123</lei>
        <title>ORIX CORP SR UNSECURED 12/24 3.25</title>
        <cusip>686330AK7</cusip>
        <identifiers>
          <isin value="US686330AK78"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>324016.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</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>OVERSEA-CHINESE BANKING CORP</name>
        <lei>5493007O3QFXCPOGWK22</lei>
        <title>OVERSEA CHINESE BANKING SR UNSECURED 144A 05/21 VAR</title>
        <cusip>ACI12PFS8</cusip>
        <identifiers>
          <isin value="XS1822309107"/>
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        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1100799.030000</valUSD>
        <pctVal>0.1241627</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-05-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.83563</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>PALMER SQUARE LOAN FUNDING 2020-3 LTD</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 3A A1 144A</title>
        <cusip>69701KAA0</cusip>
        <identifiers>
          <isin value="US69701KAA07"/>
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        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2188128.800000</valUSD>
        <pctVal>0.2468062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.00513</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>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU BONDS 144A 08/40 5.35</title>
        <cusip>715638DB5</cusip>
        <identifiers>
          <isin value="US715638DB56"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541600"/>
        <valUSD>453985.190000</valUSD>
        <pctVal>0.0512065</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.35</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>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94</title>
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        <identifiers>
          <isin value="US715638BX94"/>
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        <balance>20700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541600"/>
        <valUSD>6751444.220000</valUSD>
        <pctVal>0.7615176</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-12</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35</title>
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        <identifiers>
          <isin value="US715638BV39"/>
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        <balance>3600000.000000</balance>
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        <currencyConditional curCd="PEN" exchangeRt="3.541600"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PERU GOVT</name>
        <lei>254900STKLK2DBJJZ530</lei>
        <title>REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35</title>
        <cusip>P78024AC3</cusip>
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          <isin value="USP78024AC31"/>
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        <balance>18300000.000000</balance>
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        <currencyConditional curCd="PEN" exchangeRt="3.541600"/>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR 144A 01/30 5.093</title>
        <cusip>71647NBF5</cusip>
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          <isin value="US71647NBF50"/>
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        <curCd>USD</curCd>
        <valUSD>3390206.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.093</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>AA BOND CO LIMITED</name>
        <lei>2138002EPF6QVRZBMC58</lei>
        <title>AA BOND CO LTD SR SECURED REGS 07/43 2.75</title>
        <cusip>BYP2QHII0</cusip>
        <identifiers>
          <isin value="XS1645315620"/>
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        <balance>200000.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</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>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR REGS 01/30 5.093</title>
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          <isin value="USN6945AAL19"/>
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        <curCd>USD</curCd>
        <valUSD>149700.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.093</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PETRONAS CAPITAL LIMITED</name>
        <lei>549300G7YFX3540OYR85</lei>
        <title>PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/30 3.5</title>
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          <isin value="US716743AP46"/>
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        <balance>400000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>445380.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <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>PETRONAS CAPITAL LIMITED</name>
        <lei>549300G7YFX3540OYR85</lei>
        <title>PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55</title>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>381908.600000</valUSD>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>PETRONAS CAPITAL LIMITED</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>ABBVIE INC</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
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        <curCd>USD</curCd>
        <valUSD>2392719.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>PREFERRED TERM SECURITIES XXVI LTD / PREFERRED TERM SECURITIES XXVI INC</name>
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        <title>PREFERRED TERM SECS XXVI SR SECURED 144A 09/37 VAR</title>
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          <isin value="US74042QAA58"/>
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        <balance>816176.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>714195.040000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-22</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED 144A 04/30 3.75</title>
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          <isin value="US74727PBD24"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>798823.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-16</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED 144A 04/50 4.4</title>
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          <isin value="US74727PBE07"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2050-04-16</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED REGS 03/24 3.375</title>
        <cusip>ACI19CQH2</cusip>
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          <isin value="XS1959337236"/>
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        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1287471.600000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED REGS 03/29 4</title>
        <cusip>ACI19CPF7</cusip>
        <identifiers>
          <isin value="XS1959337582"/>
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        <balance>5100000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>5878458.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED REGS 03/49 4.817</title>
        <cusip>ACI19CPD2</cusip>
        <identifiers>
          <isin value="XS1959337749"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>791169.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-03-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.817</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      <invstOrSec>
        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED REGS 04/23 3.875</title>
        <cusip>ACI122SK2</cusip>
        <identifiers>
          <isin value="XS1806502453"/>
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        <balance>6000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6449340.000000</valUSD>
        <pctVal>0.7274423</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
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        <name>QATAR GOVT</name>
        <lei>52990074F6OJOAXK4P65</lei>
        <title>STATE OF QATAR SR UNSECURED REGS 04/28 4.5</title>
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          <isin value="XS1807174393"/>
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        <curCd>USD</curCd>
        <valUSD>3543360.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>ABBVIE INC</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>ABBVIE INC SR UNSECURED 144A 11/23 1.5</title>
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        <identifiers>
          <isin value="XS2117754759"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>QNB FINANCE LTD</name>
        <lei>549300MY0DXTHQEX5O57</lei>
        <title>QNB FINANCE LTD COMPANY GUAR REGS 02/22 VAR</title>
        <cusip>ACI1JX5N5</cusip>
        <identifiers>
          <isin value="XS2115180817"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>QNB FINANCE LTD</name>
        <lei>549300MY0DXTHQEX5O57</lei>
        <title>QNB FINANCE LTD COMPANY GUAR REGS 05/21 VAR</title>
        <cusip>BD93CFII1</cusip>
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          <isin value="XS1824431313"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>QUEENSLAND TREASURY CORPORATION</name>
        <lei>98INKCEEHOU5YJS0HQ88</lei>
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        <cusip>ACI0Y7JW2</cusip>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>QUEENSLAND TREASURY CORPORATION</name>
        <lei>98INKCEEHOU5YJS0HQ88</lei>
        <title>QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/31 1</title>
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      <invstOrSec>
        <name>RAC BOND CO PLC</name>
        <lei>2138008FCM2SUNLC7B21</lei>
        <title>RAC BOND CO PLC SR SECURED REGS 05/46 4.87</title>
        <cusip>BYZ89RII3</cusip>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>RALI SERIES 2005-QO1 TRUST</name>
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        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A2</title>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>RAYTHEON TECHNOLOGIES CORPORATION</name>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A</name>
        <lei>N/A</lei>
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        <cusip>75585RQL2</cusip>
        <identifiers>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.072</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>REALKREDIT DANMARK A/S</name>
        <lei>549300NLOMBOWE943Y30</lei>
        <title>REALKREDIT DANMARK COVERED REGS 04/36 2.5</title>
        <cusip>BQ13RFII4</cusip>
        <identifiers>
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        <balance>127326.360000</balance>
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        <assetCat>DBT</assetCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>REALKREDIT DANMARK A/S</name>
        <lei>549300NLOMBOWE943Y30</lei>
        <title>REALKREDIT DANMARK COVERED REGS 04/47 2.5</title>
        <cusip>ACI0B2V53</cusip>
        <identifiers>
          <isin value="DK0009292559"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</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>RECKITT BENCKISER TREASURY SERVICES PLC</name>
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        <cusip>75625QAF6</cusip>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</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>
      <invstOrSec>
        <name>RELIANCE STANDARD LIFE GLOBAL FUNDING II</name>
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        <cusip>75951AAK4</cusip>
        <identifiers>
          <isin value="US75951AAK43"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2570089.730000</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>2022-07-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.625</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>RENAISSANCE HOME EQUITY LOAN TR 2006-3</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6</title>
        <cusip>75971EAJ5</cusip>
        <identifiers>
          <isin value="US75971EAJ55"/>
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        <balance>1997154.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1073888.570000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ABU DHABI GOVT</name>
        <lei>213800FER4348CINTA77</lei>
        <title>ABU DHABI GOVT INT L SR UNSECURED 144A 04/30 3.125</title>
        <cusip>29135LAH3</cusip>
        <identifiers>
          <isin value="US29135LAH33"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>662588.400000</valUSD>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>AE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.125</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>RENAISSANCE HOME EQUITY LOAN TR 2006-4</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3</title>
        <cusip>75970HAF7</cusip>
        <identifiers>
          <isin value="US75970HAF73"/>
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        <balance>549028.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>261478.500000</valUSD>
        <pctVal>0.0294930</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QO6</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1</title>
        <cusip>75114NAA2</cusip>
        <identifiers>
          <isin value="US75114NAA28"/>
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        <balance>315137.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110662.600000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3645</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ABU DHABI GOVT</name>
        <lei>213800FER4348CINTA77</lei>
        <title>ABU DHABI GOVT INT L SR UNSECURED 144A 04/50 3.875</title>
        <cusip>29135LAJ9</cusip>
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          <isin value="US29135LAJ98"/>
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        <balance>500000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>592875.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2007-QH8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A</title>
        <cusip>74924EAA5</cusip>
        <identifiers>
          <isin value="US74924EAA55"/>
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        <balance>501489.360000</balance>
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        <curCd>USD</curCd>
        <valUSD>442154.640000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>ABU DHABI GOVT</name>
        <lei>213800FER4348CINTA77</lei>
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          <isin value="US29135LAA89"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AE</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>RESIDENTIAL ACCREDIT LOANS INC 2007-QS3</name>
        <lei>N/A</lei>
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        <cusip>75116BAC2</cusip>
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          <isin value="US75116BAC28"/>
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        <balance>2118989.640000</balance>
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        <curCd>USD</curCd>
        <valUSD>1960107.580000</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>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD INC 2002-RS3</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2002 RS3 AII1</title>
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          <isin value="US760985LY54"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3120.000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC CORP 2004-KS12</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2004 KS12 M1</title>
        <cusip>76110WK88</cusip>
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          <isin value="US76110WK884"/>
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        <balance>67018.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66621.950000</valUSD>
        <pctVal>0.0075145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9795</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>RESIDENTIAL ASSET SEC CORP 2006-KS9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4</title>
        <cusip>75406YAD9</cusip>
        <identifiers>
          <isin value="US75406YAD94"/>
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        <balance>5481055.900000</balance>
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        <curCd>USD</curCd>
        <valUSD>4736497.760000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4345</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2006-R1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2006 R1 A2</title>
        <cusip>76113MAB1</cusip>
        <identifiers>
          <isin value="US76113MAB19"/>
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        <balance>55255.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15546.940000</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>2046-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5845</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SECUR TRUST 2005-A15</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2005 A15 3A1</title>
        <cusip>45660L4E6</cusip>
        <identifiers>
          <isin value="US45660L4E63"/>
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        <balance>1081837.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1039037.860000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <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>RESIDENTIAL FUNDING MTG SEC I 2003-S9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1</title>
        <cusip>76111JZ72</cusip>
        <identifiers>
          <isin value="US76111JZ721"/>
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        <balance>868.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>918.090000</valUSD>
        <pctVal>0.0001036</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL MORTGAGE SECURITIES 29 PLC</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL MORTGAGE SECURITIE RMS 29 A REGS</title>
        <cusip>ACI0TDXZ2</cusip>
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          <isin value="XS1548433371"/>
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        <balance>684244.930000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13188</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>RESIDENTIAL MORTGAGE SECURITIES 31 PLC 31</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL MORTGAGE SECURITIE RMS 31 A REGS</title>
        <cusip>ACI16FGD8</cusip>
        <identifiers>
          <isin value="XS1910119707"/>
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        <balance>1434364.570000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1783583.800000</valUSD>
        <pctVal>0.2011763</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.38188</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>RESIMAC BASTILLE TRUST SERIES 2019-1NC</name>
        <lei>N/A</lei>
        <title>RESIMAC RESI 2019 1NCA A1 144A</title>
        <cusip>76119UAA9</cusip>
        <identifiers>
          <isin value="US76119UAA97"/>
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        <balance>1293773.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1288126.290000</valUSD>
        <pctVal>0.1452920</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-09-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.09375</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>RESLOC UK PLC 2007-1X</name>
        <lei>N/A</lei>
        <title>RESLOC UK PLC RLOC 2007 1X A3B REGS</title>
        <cusip>B1XCHCII2</cusip>
        <identifiers>
          <isin value="XS0300470365"/>
        </identifiers>
        <balance>1338977.800000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1547389.350000</valUSD>
        <pctVal>0.1745351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.35325</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>ACCUNIA EUROPEAN CLO I BV 1A</name>
        <lei>N/A</lei>
        <title>ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A</title>
        <cusip>ACI19ZJ97</cusip>
        <identifiers>
          <isin value="XS1966591452"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>892553.820000</valUSD>
        <pctVal>0.1006741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95</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>RIPON MORTGAGES PLC 1A</name>
        <lei>N/A</lei>
        <title>RIPON MORTGAGES RIPON 1A A1 144A</title>
        <cusip>ACI0TMV43</cusip>
        <identifiers>
          <isin value="XS1593589689"/>
        </identifiers>
        <balance>2125605.030000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>2625077.190000</valUSD>
        <pctVal>0.2960911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.05613</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>RIPON MORTGAGES PLC 1X</name>
        <lei>N/A</lei>
        <title>RIPON MORTGAGES RIPON 1X A1 REGS</title>
        <cusip>ACI0TMVB7</cusip>
        <identifiers>
          <isin value="XS1593588103"/>
        </identifiers>
        <balance>9574822.150000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>11824702.540000</valUSD>
        <pctVal>1.3337471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2056-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.05613</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>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>780097BB6</cusip>
        <identifiers>
          <isin value="US780097BB64"/>
        </identifiers>
        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2396531.000000</valUSD>
        <pctVal>0.2703126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
              <title>RBS GROUP</title>
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                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="437.828" curCd="USD"/>
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          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>780099CJ4</cusip>
        <identifiers>
          <isin value="US780099CJ48"/>
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        <balance>2400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2409600.000000</valUSD>
        <pctVal>0.2717867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-08-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
              <title>RBS GROUP</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
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          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" curCd="USD"/>
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          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>780097BQ3</cusip>
        <identifiers>
          <isin value="US780097BQ34"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1320150.000000</valUSD>
        <pctVal>0.1489041</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
              <title>RBS GROUP</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="570.125" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 01/30 VAR</title>
        <cusip>78009PEH0</cusip>
        <identifiers>
          <isin value="US78009PEH01"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2644810.430000</valUSD>
        <pctVal>0.2983169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.076</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>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 03/25 VAR</title>
        <cusip>780097BK6</cusip>
        <identifiers>
          <isin value="US780097BK63"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217570.010000</valUSD>
        <pctVal>0.0245404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.269</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 05/23 VAR</title>
        <cusip>780097BE0</cusip>
        <identifiers>
          <isin value="US780097BE04"/>
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        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1973194.800000</valUSD>
        <pctVal>0.2225631</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.498</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>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 05/23 VAR</title>
        <cusip>780097BF7</cusip>
        <identifiers>
          <isin value="US780097BF78"/>
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        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2001607.300000</valUSD>
        <pctVal>0.2257679</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.86238</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>ACE SECURITIES CORP 2005-HE5</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2005 HE5 M4</title>
        <cusip>004421RH8</cusip>
        <identifiers>
          <isin value="US004421RH88"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1538408.800000</valUSD>
        <pctVal>0.1735222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.06825</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>ROYAL BANK OF SCOTLAND GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>ROYAL BK SCOTLND GRP PLC SR UNSECURED 09/23 3.875</title>
        <cusip>780097BD2</cusip>
        <identifiers>
          <isin value="US780097BD21"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>539398.170000</valUSD>
        <pctVal>0.0608405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</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>SABINE PASS LIQUEFACTION LLC</name>
        <lei>549300KJYBG7C6WJYZ11</lei>
        <title>SABINE PASS LIQUEFACTION SR SECURED 03/22 6.25</title>
        <cusip>785592AH9</cusip>
        <identifiers>
          <isin value="US785592AH92"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>426459.340000</valUSD>
        <pctVal>0.0481018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</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>SAN DIEGO GAS &amp; ELECTRIC COMPANY</name>
        <lei>KNIRVXKVNJJ4P8OTMS63</lei>
        <title>SAN DIEGO G + E 1ST MORTGAGE 09/23 3.6</title>
        <cusip>797440BR4</cusip>
        <identifiers>
          <isin value="US797440BR49"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>323915.590000</valUSD>
        <pctVal>0.0365355</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.6</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>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/23 4.6</title>
        <cusip>80007RAB1</cusip>
        <identifiers>
          <isin value="US80007RAB15"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>316590.000000</valUSD>
        <pctVal>0.0357092</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.6</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>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/25 5.125</title>
        <cusip>80007RAF2</cusip>
        <identifiers>
          <isin value="US80007RAF29"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>434782.000000</valUSD>
        <pctVal>0.0490405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</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>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/28 5.4</title>
        <cusip>80007RAE5</cusip>
        <identifiers>
          <isin value="US80007RAE53"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>885872.000000</valUSD>
        <pctVal>0.0999204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.4</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>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0CTJV0</cusip>
        <identifiers>
          <isin value="XS1244538523"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1016186.370000</valUSD>
        <pctVal>0.1146190</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.375</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>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI0TF455</cusip>
        <identifiers>
          <isin value="XS1592884123"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1775231.370000</valUSD>
        <pctVal>0.2002342</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75</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>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR</title>
        <cusip>80281LAJ4</cusip>
        <identifiers>
          <isin value="US80281LAJ44"/>
        </identifiers>
        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2324156.080000</valUSD>
        <pctVal>0.2621492</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.796</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>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS SUBORDINATED 144A 09/25 4.75</title>
        <cusip>80281LAA3</cusip>
        <identifiers>
          <isin value="US80281LAA35"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1414908.300000</valUSD>
        <pctVal>0.1595922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>KSA SUKUK LTD SR UNSECURED 144A 01/29 4.303</title>
        <cusip>48266XAC9</cusip>
        <identifiers>
          <isin value="US48266XAC92"/>
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        <balance>5500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6345135.500000</valUSD>
        <pctVal>0.7156887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.303</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 03/23 2.875</title>
        <cusip>ACI0Y0CZ7</cusip>
        <identifiers>
          <isin value="XS1694216687"/>
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        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1776527.200000</valUSD>
        <pctVal>0.2003803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.875</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 03/28 3.625</title>
        <cusip>M6320UAG4</cusip>
        <identifiers>
          <isin value="XS1694217495"/>
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        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1211441.000000</valUSD>
        <pctVal>0.1366424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-04</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.625</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/29 4.375</title>
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        <identifiers>
          <isin value="XS1936302865"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>932128.000000</valUSD>
        <pctVal>0.1051378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/26 3.25</title>
        <cusip>ACI0QG3C2</cusip>
        <identifiers>
          <isin value="XS1508675417"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>541252.500000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SAXON ASSET SECURITIES TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2007 3 1A</title>
        <cusip>80557BAA2</cusip>
        <identifiers>
          <isin value="US80557BAA26"/>
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        <balance>1878471.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1769635.710000</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>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4945</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SBERBANK OF RUSSIA VIA SB CAPITAL SA</name>
        <lei>222100YFG9QVABDS2B03</lei>
        <title>SBERBANK (SB CAP SA) SUBORDINATED REGS 10/22 5.125</title>
        <cusip>ACI02M251</cusip>
        <identifiers>
          <isin value="XS0848530977"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>210602.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</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>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6</title>
        <cusip>44963BAE8</cusip>
        <identifiers>
          <isin value="US44963BAE83"/>
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        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1121103.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/29 6.375</title>
        <cusip>44963BAD0</cusip>
        <identifiers>
          <isin value="US44963BAD01"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>305849.250000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED REGS 05/27 3.875</title>
        <cusip>ACI1C6196</cusip>
        <identifiers>
          <isin value="XS2004451121"/>
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        <balance>300000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SEMPRA ENERGY</name>
        <lei>PBBKGKLRK5S5C0Y4T545</lei>
        <title>SEMPRA ENERGY SR UNSECURED 03/21 VAR</title>
        <cusip>816851BB4</cusip>
        <identifiers>
          <isin value="US816851BB47"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>801422.520000</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>2021-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.76338</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>SEQUOIA MORTGAGE TRUST 2003-4</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1</title>
        <cusip>81743PBW5</cusip>
        <identifiers>
          <isin value="US81743PBW59"/>
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        <balance>32432.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30372.950000</valUSD>
        <pctVal>0.0034259</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.87075</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>SEQUOIA MORTGAGE TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1</title>
        <cusip>81744MAA0</cusip>
        <identifiers>
          <isin value="US81744MAA09"/>
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        <balance>159804.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150248.910000</valUSD>
        <pctVal>0.0169471</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.57075</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>SHRIRAM TRANSPORT FINANCE COMPANY LIMITED</name>
        <lei>335800TM2YO24B76XL26</lei>
        <title>SHRIRAM TRANSPORT FIN SR SECURED REGS 10/22 5.95</title>
        <cusip>Y7758EEC1</cusip>
        <identifiers>
          <isin value="USY7758EEC13"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>917030.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.95</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>SINOPEC GROUP OVERSEAS DEVELOPMENT (2012) LIMITED</name>
        <lei>N/A</lei>
        <title>SINOPEC GRP OVERSEA 2012 COMPANY GUAR REGS 05/22 3.9</title>
        <cusip>G8189YAB0</cusip>
        <identifiers>
          <isin value="USG8189YAB05"/>
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        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1884801.960000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>VG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</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>SLOVENIA GOVT</name>
        <lei>485100000LWQHIX4XX88</lei>
        <title>REPUBLIC OF SLOVENIA SR UNSECURED 144A 02/24 5.25</title>
        <cusip>831594AG1</cusip>
        <identifiers>
          <isin value="US831594AG10"/>
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        <balance>693000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>799622.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SI</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</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>SLOVENIA GOVT</name>
        <lei>485100000LWQHIX4XX88</lei>
        <title>REPUBLIC OF SLOVENIA SR UNSECURED REGS 02/24 5.25</title>
        <cusip>ACI07T7X5</cusip>
        <identifiers>
          <isin value="XS0982709221"/>
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        <balance>1517000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1750401.070000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SI</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</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>SMALL BUSINESS ADMIN PART CERTS 2008-20I</name>
        <lei>N/A</lei>
        <title>SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1</title>
        <cusip>83162CSA2</cusip>
        <identifiers>
          <isin value="US83162CSA26"/>
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        <balance>112517.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124021.200000</valUSD>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LN TR 2006-3</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4</title>
        <cusip>83612HAD0</cusip>
        <identifiers>
          <isin value="US83612HAD08"/>
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        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2043968.600000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66825</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>SOUNDVIEW HOME EQUITY LOAN TR 2006-OPT2</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 OPT2 A4</title>
        <cusip>83611MML9</cusip>
        <identifiers>
          <isin value="US83611MML99"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>946517.900000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4645</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>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2</title>
        <cusip>83613FAC5</cusip>
        <identifiers>
          <isin value="US83613FAC59"/>
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        <balance>1829665.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1545878.860000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUTH AFRICA GOVT</name>
        <lei>N/A</lei>
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          <isin value="US836205BA15"/>
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        <curCd>USD</curCd>
        <valUSD>190074.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUTH AFRICA GOVT</name>
        <lei>N/A</lei>
        <title>SOUTH AFRICAN T BILLS BILLS 12/20 0.00000</title>
        <cusip>ACI1MX626</cusip>
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          <isin value="ZAM000488766"/>
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        <balance>47800000.000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-12-09</maturityDt>
          <couponKind>None</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUTH AUSTRALIAN GOVERNMENT FINANCING AUTHORITY</name>
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        <cusip>ACI18FDS6</cusip>
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          <isin value="AU3SG0001902"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>SOUTHERN CO</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>SPAIN GOVT</name>
        <lei>9598007A56S18711AH60</lei>
        <title>BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/29 1</title>
        <cusip>ACI17SZK2</cusip>
        <identifiers>
          <isin value="ES0000012E51"/>
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        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>SPAIN GOVT</name>
        <lei>9598007A56S18711AH60</lei>
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        <cusip>ACI1B8TR3</cusip>
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          <isin value="ES0000012E85"/>
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        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>SPAIN GOVT</name>
        <lei>9598007A56S18711AH60</lei>
        <title>BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/28 1</title>
        <cusip>BD35VZII7</cusip>
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          <isin value="ES0000012B88"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-30</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
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        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 05/21 4.5</title>
        <cusip>00772BAF8</cusip>
        <identifiers>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>SPAIN GOVT</name>
        <lei>9598007A56S18711AH60</lei>
        <title>BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/30 1</title>
        <cusip>BMWWMLII7</cusip>
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          <isin value="ES0000012G34"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <invCountry>ES</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>SPAREBANKEN SOER BOLIGKREDITT AS</name>
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        <cusip>ACI0LDFH0</cusip>
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          <isin value="XS1383921803"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>SPECIALTY UNDERWRITING &amp; RESID 2005-BC3</name>
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        <title>SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M2</title>
        <cusip>84751PGZ6</cusip>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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        <name>SPECIALTY UNDERWRT&amp; RES FIN 2006-BC3</name>
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        <cusip>84751WAD6</cusip>
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          <couponKind>Floating</couponKind>
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        <name>SPIRIT AEROSYSTEMS INC</name>
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        <title>SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/21 VAR</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>SPIRIT AEROSYSTEMS INC</name>
        <lei>ZD2NBKV6GCC3UMGBM518</lei>
        <title>SPIRIT AEROSYSTEMS INC COMPANY GUAR 06/23 3.95</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>SPIRIT REALTY LP</name>
        <lei>549300GTBVIBJRX5BW73</lei>
        <title>SPIRIT REALTY LP COMPANY GUAR 07/29 4</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>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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      <invstOrSec>
        <name>SPRINGLEAF FINANCE CORP (AKA: AMERICAN GENERAL FINANCE CORP)</name>
        <lei>5493008I795YYBFWFU90</lei>
        <title>SPRINGLEAF FINANCE CORP COMPANY GUAR 12/20 8.25</title>
        <cusip>85172FAJ8</cusip>
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        <balance>300000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>310087.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SPRINT CORPORATION</name>
        <lei>549300ZTTY7CXOLJ6539</lei>
        <title>SPRINT CORP COMPANY GUAR 09/21 7.25</title>
        <cusip>85207UAE5</cusip>
        <identifiers>
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        <balance>100000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>104950.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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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>SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC</name>
        <lei>N/A</lei>
        <title>SPRINT SPECTRUM / SPEC I SR SECURED 144A 03/23 3.36</title>
        <cusip>85208NAA8</cusip>
        <identifiers>
          <isin value="US85208NAA81"/>
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        <balance>187500.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190077.190000</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>2023-03-20</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.36</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>SPRINT SPECTRUM CO LLC / SPRINT SPECTRUM CO II LLC  / SPRINT SPECTRUM CO III LLC</name>
        <lei>N/A</lei>
        <title>SPRINT SPECTRUM / SPEC I SR SECURED 144A 09/29 4.738</title>
        <cusip>85208NAD2</cusip>
        <identifiers>
          <isin value="US85208NAD21"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>434458.000000</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>2029-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.738</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>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
        <lei>N/A</lei>
        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/21 5</title>
        <cusip>00772BAM3</cusip>
        <identifiers>
          <isin value="US00772BAM37"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>607038.340000</valUSD>
        <pctVal>0.0684698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</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>STANLINGTON NO 1 PLC 17-1</name>
        <lei>N/A</lei>
        <title>STANLINGTON PLC STNLT 2017 1 A REGS</title>
        <cusip>ACI0SNHR7</cusip>
        <identifiers>
          <isin value="XS1567419061"/>
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        <balance>2418369.780000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>2983779.390000</valUSD>
        <pctVal>0.3365503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-06-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.19763</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>STATE BANK OF INDIA/LONDON BRANCH</name>
        <lei>5493001JZ37UBBZF6L49</lei>
        <title>STATE BANK INDIA/LONDON SR UNSECURED 144A 01/22 4</title>
        <cusip>85628UAH9</cusip>
        <identifiers>
          <isin value="US85628UAH95"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>307560.770000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</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>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
        <lei>N/A</lei>
        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 12/21 4.45</title>
        <cusip>00774MAH8</cusip>
        <identifiers>
          <isin value="US00774MAH88"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>808114.000000</valUSD>
        <pctVal>0.0911498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-12-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.45</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 MTG LN 2004-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1</title>
        <cusip>86359BGF2</cusip>
        <identifiers>
          <isin value="US86359BGF22"/>
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        <balance>4937.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4749.190000</valUSD>
        <pctVal>0.0005357</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.76507</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RATE MTG LN 2004-4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2</title>
        <cusip>86359BNU1</cusip>
        <identifiers>
          <isin value="US86359BNU16"/>
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        <balance>9954.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9642.320000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.83216</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-17</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1</title>
        <cusip>863579VM7</cusip>
        <identifiers>
          <isin value="US863579VM76"/>
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        <balance>116334.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110433.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-18</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1</title>
        <cusip>863579XK9</cusip>
        <identifiers>
          <isin value="US863579XK92"/>
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        <curCd>USD</curCd>
        <valUSD>127772.760000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.05366</annualizedRt>
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      <invstOrSec>
        <name>STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC1 A2</title>
        <cusip>86358EAB2</cusip>
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          <isin value="US86358EAB20"/>
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        <curCd>USD</curCd>
        <valUSD>1031344.460000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET INVST LN TR 2004-8</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M1</title>
        <cusip>86358ELZ7</cusip>
        <identifiers>
          <isin value="US86358ELZ78"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET INVST LN TR 2006-4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A1</title>
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        <identifiers>
          <isin value="US86360WAA09"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.34075</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2004-AR3</name>
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        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2</title>
        <cusip>86359LBY4</cusip>
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          <isin value="US86359LBY48"/>
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        <curCd>USD</curCd>
        <valUSD>5360.050000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-19</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2006-AR3</name>
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        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1</title>
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        <identifiers>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4045</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2006-AR7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG</title>
        <cusip>86361HAB0</cusip>
        <identifiers>
          <isin value="US86361HAB06"/>
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        <balance>1498895.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1311818.540000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3045</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>STRUCTURED ASSET MTG INV INC 2007-AR4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3</title>
        <cusip>86364MAC4</cusip>
        <identifiers>
          <isin value="US86364MAC47"/>
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        <balance>214918.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183699.420000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4045</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>STRUCTURED ASSET MTGE INVEST 2006-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1</title>
        <cusip>86360JAA9</cusip>
        <identifiers>
          <isin value="US86360JAA97"/>
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        <balance>52285.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46825.880000</valUSD>
        <pctVal>0.0052816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3945</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>AGL CAPITAL CORP</name>
        <lei>E8CD46SWUD2TSN8PA636</lei>
        <title>SOUTHERN CO GAS CAPITAL COMPANY GUAR 10/23 2.45</title>
        <cusip>8426EPAA6</cusip>
        <identifiers>
          <isin value="US8426EPAA69"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105019.010000</valUSD>
        <pctVal>0.0118454</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.45</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>AIA GROUP LIMITED</name>
        <lei>ZP5ILWVSYE4LJGMMVD57</lei>
        <title>AIA GROUP LTD SR UNSECURED 144A 04/28 3.9</title>
        <cusip>00131LAF2</cusip>
        <identifiers>
          <isin value="US00131LAF22"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>675372.030000</valUSD>
        <pctVal>0.0761774</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</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>STRUCTURED ASSET SEC CORP 2005-NC1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2005 NC1 M4</title>
        <cusip>86359BZ46</cusip>
        <identifiers>
          <isin value="US86359BZ465"/>
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        <balance>3410059.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3221335.410000</valUSD>
        <pctVal>0.3633450</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>Floating</couponKind>
          <annualizedRt>1.29325</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>STRUCTURED ASSET SEC CORP 2006-RF1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A</title>
        <cusip>86359DXP7</cusip>
        <identifiers>
          <isin value="US86359DXP76"/>
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        <balance>1447326.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1283955.760000</valUSD>
        <pctVal>0.1448216</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4645</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>STRUCTURED ASSET SEC CORP 2006-RF4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A</title>
        <cusip>863911AA1</cusip>
        <identifiers>
          <isin value="US863911AA15"/>
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        <balance>796776.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>676383.870000</valUSD>
        <pctVal>0.0762916</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4745</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>SUMITG GUARANTEED SECURED OBLIGATION ISSUER DESIGNATED ACTIVITY COMPANY</name>
        <lei>635400U2UQM3MX4UHZ18</lei>
        <title>SUMITG COVERED REGS 11/20 2.251</title>
        <cusip>ACI0HRS72</cusip>
        <identifiers>
          <isin value="XS1314351344"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>702828.590000</valUSD>
        <pctVal>0.0792743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.251</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>AIB GROUP PLC (AKA: ALLIED IRISH BANKS)</name>
        <lei>635400AKJBGNS5WNQL34</lei>
        <title>AIB GROUP PLC SR UNSECURED 144A 10/23 4.75</title>
        <cusip>00135TAA2</cusip>
        <identifiers>
          <isin value="US00135TAA25"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>323792.740000</valUSD>
        <pctVal>0.0365216</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</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>SUNAC CHINA HOLDINGS LIMITED</name>
        <lei>549300OLARYHDXP3WK18</lei>
        <title>SUNAC CHINA HOLDINGS LTD SR SECURED REGS 02/22 7.875</title>
        <cusip>ACI18F1D2</cusip>
        <identifiers>
          <isin value="XS1953150197"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>411742.290000</valUSD>
        <pctVal>0.0464418</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</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>SUNOCO LOGISTICS PARTNERS OPERATIONS LP</name>
        <lei>5493006LL0CKP8WQW329</lei>
        <title>SUNOCO LOGISTICS PARTNER COMPANY GUAR 02/22 4.65</title>
        <cusip>86765BAJ8</cusip>
        <identifiers>
          <isin value="US86765BAJ89"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>732018.970000</valUSD>
        <pctVal>0.0825668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.65</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>AIG GLOBAL FUNDING</name>
        <lei>54930057MDZ7KOVOTV71</lei>
        <title>AIG GLOBAL FUNDING SECURED 144A 07/22 2.3</title>
        <cusip>00138CAK4</cusip>
        <identifiers>
          <isin value="US00138CAK45"/>
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        <balance>2600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2679440.580000</valUSD>
        <pctVal>0.3022229</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.3</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>SYMPHONY CLO XIV LTD 2014-14A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2014 14A AR 144A</title>
        <cusip>87159QBV9</cusip>
        <identifiers>
          <isin value="US87159QBV95"/>
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        <balance>2328157.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2306061.780000</valUSD>
        <pctVal>0.2601083</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.26138</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>TAKEDA PHARMACEUTICAL COMPANY LIMITED</name>
        <lei>549300ZLMVP4X0OGR454</lei>
        <title>TAKEDA PHARMACEUTICAL SR UNSECURED 144A 11/22 1.125</title>
        <cusip>ACI16G2T6</cusip>
        <identifiers>
          <isin value="XS1843449635"/>
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        <balance>800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>915219.820000</valUSD>
        <pctVal>0.1032307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.125</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>AIR LEASE CORPORATION</name>
        <lei>5493004NW4M4P8TMMK63</lei>
        <title>AIR LEASE CORP SR UNSECURED 01/22 3.5</title>
        <cusip>00912XBE3</cusip>
        <identifiers>
          <isin value="US00912XBE31"/>
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        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2122376.840000</valUSD>
        <pctVal>0.2393899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>TBW MTGE BACKED PASS THRU CERT 2006-6</name>
        <lei>N/A</lei>
        <title>TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A</title>
        <cusip>87222PAV5</cusip>
        <identifiers>
          <isin value="US87222PAV58"/>
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        <balance>199894.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100178.550000</valUSD>
        <pctVal>0.0112995</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.63</annualizedRt>
          <isDefault>Y</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TECH DATA CORPORATION</name>
        <lei>549300EK847TAWPJWF34</lei>
        <title>TECH DATA CORP SR UNSECURED 02/22 3.7</title>
        <cusip>878237AG1</cusip>
        <identifiers>
          <isin value="US878237AG14"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>613794.050000</valUSD>
        <pctVal>0.0692318</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.7</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>TELOS CLO LTD 2014-6A</name>
        <lei>N/A</lei>
        <title>TELOS CLO LTD TELOS 2014 6A A1R 144A</title>
        <cusip>87970UAS5</cusip>
        <identifiers>
          <isin value="US87970UAS50"/>
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        <balance>1764287.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1750982.810000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>TENCENT HOLDINGS LIMITED</name>
        <lei>254900N4SLUMW4XUYY11</lei>
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          <isin value="US88032XAG97"/>
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        <curCd>USD</curCd>
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        <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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      </invstOrSec>
      <invstOrSec>
        <name>TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE</name>
        <lei>N/A</lei>
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        <cusip>881561CE2</cusip>
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          <isin value="US881561CE22"/>
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        <balance>39069.120000</balance>
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        <curCd>USD</curCd>
        <valUSD>36592.010000</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>2033-11-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TESCO PLC</name>
        <lei>2138002P5RNKC5W2JZ46</lei>
        <title>TESCO PLC SR UNSECURED 02/22 6.125</title>
        <cusip>G87623HR1</cusip>
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          <isin value="XS0414345974"/>
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        <balance>175000.000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2022-02-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.125</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>TESCO PROPERTY FINANCE 6 PLC</name>
        <lei>213800FORYFOB97FHO66</lei>
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          <isin value="XS0883200262"/>
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        <balance>568890.770000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2044-07-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.4111</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>TEXTRON INC</name>
        <lei>3PPKBHUG1HD6BO7RNR87</lei>
        <title>TEXTRON INC SR UNSECURED 11/20 VAR</title>
        <cusip>883203BZ3</cusip>
        <identifiers>
          <isin value="US883203BZ36"/>
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        <balance>1300000.000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-11-10</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
        <lei>N/A</lei>
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        <cusip>88522XAC5</cusip>
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          <isin value="US88522XAC56"/>
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        <balance>24558.270000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
        <lei>N/A</lei>
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        <cusip>88522XAE1</cusip>
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          <isin value="US88522XAE13"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-4</name>
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        <cusip>88522YAC3</cusip>
        <identifiers>
          <isin value="US88522YAC30"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TRUST 2007-2</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2007 2 A1</title>
        <cusip>88522WAA1</cusip>
        <identifiers>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TRUST 2007-2</name>
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        <title>THORNBURG MORTGAGE SECURITIES TMST 2007 2 A3A</title>
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        <identifiers>
          <isin value="US88522WAD56"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>TIKEHAU CLO II BV 2A</name>
        <lei>N/A</lei>
        <title>TIKEHAU TIKEH 2A AR 144A</title>
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        <identifiers>
          <isin value="XS2011002834"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>TORO EUROPEAN CLO 2 DAC 2A</name>
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          <isin value="XS1884798395"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>TOWD POINT MORTGAGE FUNDING 19-A13A</name>
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          <isin value="XS2053911264"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>TOWD POINT MORTGAGE TRUST 2019-4</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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        <name>TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A</name>
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          <isin value="US89231XAA90"/>
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        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ALBA PLC 2015-1</name>
        <lei>N/A</lei>
        <title>ALBA PLC ALBA 2015 1 A REGS</title>
        <cusip>ACI0CCZX5</cusip>
        <identifiers>
          <isin value="XS1192474978"/>
        </identifiers>
        <balance>1484534.730000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>1842486.550000</valUSD>
        <pctVal>0.2078201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.97475</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>TOYOTA TSUSHO CORPORATION</name>
        <lei>549300CEE2ENIUJNXB84</lei>
        <title>TOYOTA TSUSHO CORP SR UNSECURED REGS 09/23 3.625</title>
        <cusip>ACI14XK12</cusip>
        <identifiers>
          <isin value="XS1873973165"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>428885.550000</valUSD>
        <pctVal>0.0483754</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.625</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>TREASURY CORPORATION OF VICTORIA</name>
        <lei>549300ZJM7BQW1P9UV75</lei>
        <title>TREASURY CORP VICTORIA LOCAL GOVT G 10/29 2.5</title>
        <cusip>BJ1DHKII8</cusip>
        <identifiers>
          <isin value="AU0000042004"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>307445.370000</valUSD>
        <pctVal>0.0346778</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>TREASURY CORPORATION OF VICTORIA</name>
        <lei>549300ZJM7BQW1P9UV75</lei>
        <title>TREASURY CORP VICTORIA LOCAL GOVT G 11/30 1.5</title>
        <cusip>ACI1K5116</cusip>
        <identifiers>
          <isin value="AU0000078552"/>
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        <balance>3100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>2170239.520000</valUSD>
        <pctVal>0.2447884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.5</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>TREASURY CORPORATION OF VICTORIA</name>
        <lei>549300ZJM7BQW1P9UV75</lei>
        <title>TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25</title>
        <cusip>ACI06FV19</cusip>
        <identifiers>
          <isin value="AU3SG0001175"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>1356061.730000</valUSD>
        <pctVal>0.1529547</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</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>TWIN BRIDGES 2017-1 PLC 17-1</name>
        <lei>N/A</lei>
        <title>TWIN BRIDGES REGS 09/44 VAR</title>
        <cusip>ACI0W97C7</cusip>
        <identifiers>
          <isin value="XS1622306972"/>
        </identifiers>
        <balance>565556.340000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>696756.460000</valUSD>
        <pctVal>0.0785895</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.97763</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS AG</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>UBS AG SUBORDINATED REGS 02/26 VAR</title>
        <cusip>ACI07SK20</cusip>
        <identifiers>
          <isin value="CH0236733827"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1721846.220000</valUSD>
        <pctVal>0.1942127</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.75</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/STAMFORD CT BRANCH</name>
        <lei>BFM8T61CT2L1QCEMIK50</lei>
        <title>UBS AG STAMFORD CT SUBORDINATED 08/22 7.625</title>
        <cusip>90261AAB8</cusip>
        <identifiers>
          <isin value="US90261AAB89"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1450411.980000</valUSD>
        <pctVal>0.1635967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.625</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>UBS GROUP AG</name>
        <lei>549300SZJ9VS8SGXAN81</lei>
        <title>UBS GROUP AG SR UNSECURED 144A 08/30 VAR</title>
        <cusip>902613AA6</cusip>
        <identifiers>
          <isin value="US902613AA61"/>
        </identifiers>
        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2918601.450000</valUSD>
        <pctVal>0.3291986</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.126</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032476</cusip>
        <identifiers>
          <isin value="US01F0324768"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>210132.810000</valUSD>
        <pctVal>0.0237016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020687</cusip>
        <identifiers>
          <isin value="US01F0206874"/>
        </identifiers>
        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1837284.590000</valUSD>
        <pctVal>0.2072334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-08-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020695</cusip>
        <identifiers>
          <isin value="US01F0206957"/>
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        <balance>12900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13136494.280000</valUSD>
        <pctVal>1.4817084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-09-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022683</cusip>
        <identifiers>
          <isin value="US01F0226831"/>
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        <balance>110800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115259136.030000</valUSD>
        <pctVal>13.0004567</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-08-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022691</cusip>
        <identifiers>
          <isin value="US01F0226914"/>
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        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5190101.950000</valUSD>
        <pctVal>0.5854087</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-09-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030678</cusip>
        <identifiers>
          <isin value="US01F0306781"/>
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        <balance>52500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55280858.850000</valUSD>
        <pctVal>6.2353097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-07-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030678</cusip>
        <identifiers>
          <isin value="US01F0306781"/>
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        <balance>-52500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-55280858.850000</valUSD>
        <pctVal>-6.2353097</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-07-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030686</cusip>
        <identifiers>
          <isin value="US01F0306864"/>
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        <balance>-23600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-24815135.920000</valUSD>
        <pctVal>-2.7989807</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-08-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <debtSec>
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        <name>UROPA SECURITIES PLC 2008-1</name>
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        <name>VENTURE CLO LTD 2014-17A</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</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>VOLKSWAGEN FINANCIAL SERVICES AG</name>
        <lei>529900USFSZYPS075O24</lei>
        <title>VOLKSWAGEN FIN SERV AG SR UNSECURED REGS 10/21 0.75</title>
        <cusip>ACI0C8PL1</cusip>
        <identifiers>
          <isin value="XS1216647716"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>786728.410000</valUSD>
        <pctVal>0.0887377</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.75</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>AMBAC ASSURANCE CORPORATION</name>
        <lei>549300RYYRVPPB8NC636</lei>
        <title>AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1</title>
        <cusip>023138AA8</cusip>
        <identifiers>
          <isin value="US023138AA88"/>
        </identifiers>
        <balance>57.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77.260000</valUSD>
        <pctVal>0.0000087</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2099-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.1</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>VOLKSWAGEN GROUP OF AMERICA FINANCE LLC</name>
        <lei>5493002SQ1AVQBY41K40</lei>
        <title>VOLKSWAGEN GROUP AMERICA COMPANY GUAR 144A 11/21 4</title>
        <cusip>928668AP7</cusip>
        <identifiers>
          <isin value="US928668AP71"/>
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        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2395486.710000</valUSD>
        <pctVal>0.2701948</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</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>AMBAC LSNI LLC</name>
        <lei>N/A</lei>
        <title>AMBAC LSNI LLC SR SECURED 144A 02/23 VAR</title>
        <cusip>02315QAA6</cusip>
        <identifiers>
          <isin value="US02315QAA67"/>
        </identifiers>
        <balance>217.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>215.530000</valUSD>
        <pctVal>0.0000243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</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>WASHINGTON MUTUAL 2002 AR2</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A</title>
        <cusip>929227LE4</cusip>
        <identifiers>
          <isin value="US929227LE40"/>
        </identifiers>
        <balance>13513.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12970.060000</valUSD>
        <pctVal>0.0014629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.99</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>WASHINGTON MUTUAL 2003-AR5</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7</title>
        <cusip>929227R65</cusip>
        <identifiers>
          <isin value="US929227R651"/>
        </identifiers>
        <balance>3436.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3345.140000</valUSD>
        <pctVal>0.0003773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.74042</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>WASHINGTON MUTUAL 2005-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1B3</title>
        <cusip>92922F4S4</cusip>
        <identifiers>
          <isin value="US92922F4S40"/>
        </identifiers>
        <balance>974678.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>937353.590000</valUSD>
        <pctVal>0.1057272</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>0.5445</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>WASHINGTON MUTUAL 2005-AR16</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR16 1A3</title>
        <cusip>92922F6Y9</cusip>
        <identifiers>
          <isin value="US92922F6Y99"/>
        </identifiers>
        <balance>217096.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209147.920000</valUSD>
        <pctVal>0.0235905</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.74465</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>WASHINGTON MUTUAL 2005-AR2</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A</title>
        <cusip>92922FD21</cusip>
        <identifiers>
          <isin value="US92922FD213"/>
        </identifiers>
        <balance>18017.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17108.200000</valUSD>
        <pctVal>0.0019297</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4945</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>WASHINGTON MUTUAL 2005-AR8</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A</title>
        <cusip>92922FR75</cusip>
        <identifiers>
          <isin value="US92922FR759"/>
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        <balance>492444.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>460197.420000</valUSD>
        <pctVal>0.0519072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7645</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>WASHINGTON MUTUAL 2006-AR10</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1</title>
        <cusip>93363EAF2</cusip>
        <identifiers>
          <isin value="US93363EAF25"/>
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        <balance>204973.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>185769.910000</valUSD>
        <pctVal>0.0209536</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.82448</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>WASHINGTON MUTUAL 2006-AR16</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1</title>
        <cusip>92925GAA1</cusip>
        <identifiers>
          <isin value="US92925GAA13"/>
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        <balance>477029.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>454402.530000</valUSD>
        <pctVal>0.0512536</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.34145</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-2</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 2 2CB</title>
        <cusip>93934FMD1</cusip>
        <identifiers>
          <isin value="US93934FMD14"/>
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        <balance>1990653.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1547535.340000</valUSD>
        <pctVal>0.1745516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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>WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A</title>
        <cusip>93935AAC6</cusip>
        <identifiers>
          <isin value="US93935AAC62"/>
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        <balance>41822.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28257.060000</valUSD>
        <pctVal>0.0031872</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.44382</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>WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 2A2</title>
        <cusip>939335N84</cusip>
        <identifiers>
          <isin value="US939335N840"/>
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        <balance>55.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53.890000</valUSD>
        <pctVal>0.0000061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.27</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO + COMPANY SR UNSECURED 01/23 VAR</title>
        <cusip>949746SL6</cusip>
        <identifiers>
          <isin value="US949746SL69"/>
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        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1810085.330000</valUSD>
        <pctVal>0.2041655</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.13025</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO + COMPANY SR UNSECURED 10/23 VAR</title>
        <cusip>949746SJ1</cusip>
        <identifiers>
          <isin value="US949746SJ14"/>
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        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2719854.130000</valUSD>
        <pctVal>0.3067813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.99013</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3</name>
        <lei>N/A</lei>
        <title>WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1</title>
        <cusip>94985GAA4</cusip>
        <identifiers>
          <isin value="US94985GAA40"/>
        </identifiers>
        <balance>72861.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68795.180000</valUSD>
        <pctVal>0.0077596</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN TRUST 2007-PA2</name>
        <lei>N/A</lei>
        <title>WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA2 1A1</title>
        <cusip>94985FAA6</cusip>
        <identifiers>
          <isin value="US94985FAA66"/>
        </identifiers>
        <balance>174103.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>177364.200000</valUSD>
        <pctVal>0.0200055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO BANK NA</name>
        <lei>KB1H1DSPRFMYMCUFXT09</lei>
        <title>WELLS FARGO BANK NA SR UNSECURED 08/23 3.55</title>
        <cusip>94988J5R4</cusip>
        <identifiers>
          <isin value="US94988J5R41"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2388337.250000</valUSD>
        <pctVal>0.2693884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.55</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>WESTERN AUSTRALIA TREASURY CORP</name>
        <lei>213800FKHP5ME5Y3CF47</lei>
        <title>WESTERN AUST TREAS CORP LOCAL GOVT G REGS 07/29 2.75</title>
        <cusip>ACI18LWW3</cusip>
        <identifiers>
          <isin value="AU3SG0001910"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>311796.480000</valUSD>
        <pctVal>0.0351685</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-24</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WF-RBS COMMERCIAL MORTGAGE TRUST 2013-C11</name>
        <lei>N/A</lei>
        <title>WF RBS COMMERCIAL MORTGAGE TRU WFRBS 2013 C11 XA 144A</title>
        <cusip>92937EAS3</cusip>
        <identifiers>
          <isin value="US92937EAS37"/>
        </identifiers>
        <balance>4596346.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115050.680000</valUSD>
        <pctVal>0.0129769</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-03-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.32214</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>WHITEHORSE X LTD 2015-10A</name>
        <lei>N/A</lei>
        <title>WHITEHORSE LTD WITEH 2015 10A A1R 144A</title>
        <cusip>96525WAN3</cusip>
        <identifiers>
          <isin value="US96525WAN39"/>
        </identifiers>
        <balance>206850.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205602.860000</valUSD>
        <pctVal>0.0231906</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.06488</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>WIND RIVER CLO LTD 2012-1A</name>
        <lei>N/A</lei>
        <title>WIND RIVER CLO LTD WINDR 2012 1A AR2 144A</title>
        <cusip>87244ABL3</cusip>
        <identifiers>
          <isin value="US87244ABL35"/>
        </identifiers>
        <balance>618683.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>616250.770000</valUSD>
        <pctVal>0.0695089</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.09888</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>WOOLWORTHS GROUP LTD (AKA WOOLWORTHS LIMITED)</name>
        <lei>QNWEWQBS7HP85QHXQL92</lei>
        <title>WOOLWORTHS GROUP LTD COMPANY GUAR 144A 04/21 4.55</title>
        <cusip>980888AF8</cusip>
        <identifiers>
          <isin value="US980888AF86"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>307663.920000</valUSD>
        <pctVal>0.0347024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.55</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>AMERICAN HOME MORTGAGE ASSETS 2006-1</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1</title>
        <cusip>02660WAC0</cusip>
        <identifiers>
          <isin value="US02660WAC01"/>
        </identifiers>
        <balance>153716.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128734.070000</valUSD>
        <pctVal>0.0145203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.35825</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>YPF SA</name>
        <lei>5493003N7447U18U5U53</lei>
        <title>YPF SOCIEDAD ANONIMA SR UNSECURED 03/21 VAR</title>
        <cusip>ACI1J9CS9</cusip>
        <identifiers>
          <isin value="ARYPFS5600D2"/>
        </identifiers>
        <balance>6720000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="104.590000"/>
        <valUSD>69217.550000</valUSD>
        <pctVal>0.0078073</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>52.9918</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>ZAIS CLO 1 LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>ZAIS CLO 1 LTD ZAIS1 2014 1A A1AR 144A</title>
        <cusip>98886MBA1</cusip>
        <identifiers>
          <isin value="US98886MBA18"/>
        </identifiers>
        <balance>2173478.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2152580.320000</valUSD>
        <pctVal>0.2427966</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.36888</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>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1</title>
        <cusip>02660CAF7</cusip>
        <identifiers>
          <isin value="US02660CAF77"/>
        </identifiers>
        <balance>1488603.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1436761.450000</valUSD>
        <pctVal>0.1620570</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.5</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>ZIMMER BIOMET HOLDINGS INC</name>
        <lei>2P2YLDVPES3BXQ1FRB91</lei>
        <title>ZIMMER BIOMET HOLDINGS SR UNSECURED 04/22 3.15</title>
        <cusip>98956PAL6</cusip>
        <identifiers>
          <isin value="US98956PAL67"/>
        </identifiers>
        <balance>2847000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2956616.900000</valUSD>
        <pctVal>0.3334865</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.15</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>N/A</name>
        <lei>N/A</lei>
        <title>FIXED INC CLEARING CORP.REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85748R009"/>
        </identifiers>
        <balance>8701000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8701000.000000</valUSD>
        <pctVal>0.9814144</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <clearedCentCparty centralCounterparty="Fixed Income Clearing Corp" isCleared="Y"/>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.0000001</repurchaseRt>
          <maturityDt>2020-07-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>8539800.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>8875057.600000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
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          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO BNP PARIBAS SECURITIES CO REPO DUMMY ASSET</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="987SEL005"/>
        </identifiers>
        <balance>8016400.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>9933125.740000</valUSD>
        <pctVal>1.1203899</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="N/A" name="BNP Paribas S.A."/>
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          <isTriParty>N</isTriParty>
          <repurchaseRt>0.7300000</repurchaseRt>
          <maturityDt>2022-01-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>7000000.000000</principalAmt>
              <principalCd>GBP</principalCd>
              <collateralVal>9041865.630000</collateralVal>
              <collateralCd>GBP</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NUD004"/>
        </identifiers>
        <balance>-19599358.350000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-22011101.630000</valUSD>
        <pctVal>-2.4827045</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="N/A" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.4100000</repurchaseRt>
          <maturityDt>2020-08-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>15500000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>20305206.050000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>PARIBAS REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NUD004"/>
        </identifiers>
        <balance>-5805104.550000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-6516788.430000</valUSD>
        <pctVal>-0.7350500</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="N/A" name="BNP Paribas S.A."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.3000000</repurchaseRt>
          <maturityDt>2020-08-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5500000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>5895127.080000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HSBC REVERSE REPO EUR ZCP</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="971NTR005"/>
        </identifiers>
        <balance>-2991627.710000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-3358101.670000</valUSD>
        <pctVal>-0.3787713</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>
        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="MP6I5ZYZBEU3UXPYFY54" name="HSBC BANK PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>-0.3500000</repurchaseRt>
          <maturityDt>2020-08-20</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>2800000.000000</principalAmt>
              <principalCd>EUR</principalCd>
              <collateralVal>3063765.380000</collateralVal>
              <collateralCd>EUR</collateralCd>
              <invstCatConditional desc="International Debt" invstCat="Other instrument"/>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN INTERNATIONAL GROUP INC</name>
        <lei>ODVCVCQG2BP6VHV36M30</lei>
        <title>AMERICAN INTL GROUP SR UNSECURED 04/26 3.9</title>
        <cusip>026874DH7</cusip>
        <identifiers>
          <isin value="US026874DH71"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1130344.620000</valUSD>
        <pctVal>0.1274953</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</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>AMERICAN MUNICIPAL POWER INC</name>
        <lei>EARKGGZJJEMVD66XQ486</lei>
        <title>AMERICAN MUNI PWR OHIO INC OH AMEPWR 02/28 FIXED 7.334</title>
        <cusip>02765UEP5</cusip>
        <identifiers>
          <isin value="US02765UEP57"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1033064.000000</valUSD>
        <pctVal>0.1165227</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.334</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>N/A</name>
        <lei>N/A</lei>
        <title>AUST 10Y BOND FUT SEP20 XSFE 20200915</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="XMU0"/>
        </identifiers>
        <balance>50.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>81335.210000</valUSD>
        <pctVal>0.0091741</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ASX - SYDNEY FUTURES EXCHANGE LIMITED</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>AUSTRALIA GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1M7KR0-AUSTRALIA GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-15</expDate>
            <notionalAmt>5133943.960000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>81335.210000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AUST 3YR BOND FUT SEP20 XSFE 20200915</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="YMU0"/>
        </identifiers>
        <balance>500.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>16124.190000</valUSD>
        <pctVal>0.0018187</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>ASX - SYDNEY FUTURES EXCHANGE LIMITED</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>AUSTRALIA GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1M7KB5-AUSTRALIA GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-15</expDate>
            <notionalAmt>40391486.920000</notionalAmt>
            <curCd>AUD</curCd>
            <unrealizedAppr>16124.190000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20CLKBCKNKM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>-164716.770000</valUSD>
        <pctVal>-0.0185789</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Banco Santander, S.A.</counterpartyName>
              <counterpartyLei>5493006QMFDDMYWIAM13</counterpartyLei>
            </counterparties>
            <amtCurSold>2295608.070000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>11588000.000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-164716.770000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20CLKBCKNLN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>-449651.750000</valUSD>
        <pctVal>-0.0507177</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Banco Santander, S.A.</counterpartyName>
              <counterpartyLei>5493006QMFDDMYWIAM13</counterpartyLei>
            </counterparties>
            <amtCurSold>6906318.600000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>35112000.000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-449651.750000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)</name>
        <lei>5493006ORUSIL88JOE18</lei>
        <title>AMERICAN TOWER CORP SR UNSECURED 01/22 2.25</title>
        <cusip>03027XAL4</cusip>
        <identifiers>
          <isin value="US03027XAL47"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>820150.920000</valUSD>
        <pctVal>0.0925075</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25</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>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBSBBH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>-88836.950000</valUSD>
        <pctVal>-0.0100202</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>8526373.300000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>911042987.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-88836.950000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DOKBB6BBH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>19981.280000</valUSD>
        <pctVal>0.0022538</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>221875.140000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>17245467.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>19981.280000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBB40K8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.543600"/>
        <valUSD>-4418.540000</valUSD>
        <pctVal>-0.0004984</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>146890.730000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>10192968.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-08-14</settlementDt>
            <unrealizedAppr>-4418.540000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FNKBBN6Q5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.318200"/>
        <valUSD>1536.780000</valUSD>
        <pctVal>0.0001733</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>597291.320000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>5580000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>1536.780000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DCKBBNZV5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>39827.610000</valUSD>
        <pctVal>0.0044923</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>425153.210000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>8074000.000000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>39827.610000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ELKBBRV5Z"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.098800"/>
        <valUSD>-462231.430000</valUSD>
        <pctVal>-0.0521366</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>357575308.780000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>49909318.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-462231.430000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD IDR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBB9142"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14736.660000"/>
        <valUSD>263.780000</valUSD>
        <pctVal>0.0000298</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>246636000.000000</amtCurSold>
            <curSold>IDR</curSold>
            <amtCurPur>17000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>263.780000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FHKBBX9BJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.457100"/>
        <valUSD>72.850000</valUSD>
        <pctVal>0.0000082</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>31238.640000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>9109.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-15</settlementDt>
            <unrealizedAppr>72.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBBWQCS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.457100"/>
        <valUSD>57.500000</valUSD>
        <pctVal>0.0000065</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>37230.580000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>10826.890000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-15</settlementDt>
            <unrealizedAppr>57.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBR8GC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.930800"/>
        <valUSD>88971.130000</valUSD>
        <pctVal>0.0100353</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>911042987.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>8529965.700000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>88971.130000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NZD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EJKBBSD97"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.549600"/>
        <valUSD>-88301.260000</valUSD>
        <pctVal>-0.0099598</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>1825000.000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>1089402.730000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-88301.260000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBCBT13"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>42008.330000</valUSD>
        <pctVal>0.0047383</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>101751019.500000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>1469000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>42008.330000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBCBZQL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>105402.220000</valUSD>
        <pctVal>0.0118887</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>278273035.200000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>4008000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>105402.220000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ALKBB2F48"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.391000"/>
        <valUSD>211580.030000</valUSD>
        <pctVal>0.0238648</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>21200000.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>1430604.450000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-22</settlementDt>
            <unrealizedAppr>211580.030000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT HKD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19LHKBBLS41"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.753100"/>
        <valUSD>124859.270000</valUSD>
        <pctVal>0.0140833</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>10838000.000000</amtCurSold>
            <curSold>HKD</curSold>
            <amtCurPur>84996473.100000</amtCurPur>
            <curPur>HKD</curPur>
            <settlementDt>2020-09-03</settlementDt>
            <unrealizedAppr>124859.270000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FDKBBPQ93"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>-145383.030000</valUSD>
        <pctVal>-0.0163982</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>11087000.000000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>11572351.360000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-145383.030000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNSKG"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>739.570000</valUSD>
        <pctVal>0.0000834</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>510000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>632680.860000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>739.570000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BASF SE SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ7RQ9JSJM49"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2104.870000</valUSD>
        <pctVal>-0.0002374</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BASF SE</issuerName>
                <issueTitle>BASF SE SR UNSEC EMTN</issueTitle>
                <identifiers>
                  <isin value="XS1017828911"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2020-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-13102.020000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>400000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>10997.150000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FDKBBQFL3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>29014.670000</valUSD>
        <pctVal>0.0032727</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>11822782.260000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>10549000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>29014.670000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FEKBBQS79"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-8367.830000</valUSD>
        <pctVal>-0.0009438</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>975700.960000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>861000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-8367.830000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBBSCJL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-68996.930000</valUSD>
        <pctVal>-0.0077824</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>11919670.360000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>10548000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-68996.930000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBBVKFH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-28819.910000</valUSD>
        <pctVal>-0.0032507</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2773529.350000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>2443000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-28819.910000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBN1Z9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1281.540000</valUSD>
        <pctVal>0.0001445</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1676103.310000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1493000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>1281.540000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FOKBBPCZ9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-1762.050000</valUSD>
        <pctVal>-0.0001987</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1135539.060000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>915000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-1762.050000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBB45BW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>-27540.720000</valUSD>
        <pctVal>-0.0031064</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>911027.550000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>62996644.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>-27540.720000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FKKBBSJ9B"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>-1360.830000</valUSD>
        <pctVal>-0.0001535</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>129482.670000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>9135672.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>-1360.830000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FMKBB0WSK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.543600"/>
        <valUSD>-10244.520000</valUSD>
        <pctVal>-0.0011555</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>515688.600000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>36161271.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-08-14</settlementDt>
            <unrealizedAppr>-10244.520000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DKKBBPS13"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.391000"/>
        <valUSD>94917.470000</valUSD>
        <pctVal>0.0107061</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1124106.950000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>21200000.000000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-22</settlementDt>
            <unrealizedAppr>94917.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19JNKBB7DTG"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>1898865.880000</valUSD>
        <pctVal>0.2141793</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>33800000.000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>8114272.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>1898865.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EQKBCNTMR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>7094.960000</valUSD>
        <pctVal>0.0008003</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2595676.110000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>484408.010000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>7094.960000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ECKBBPB32"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>-20459.350000</valUSD>
        <pctVal>-0.0023077</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>3835000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>557753.990000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>-20459.350000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBQ3MP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>10228.610000</valUSD>
        <pctVal>0.0011537</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>389000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>492238.730000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>10228.610000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FHKBBNRF3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>176515.340000</valUSD>
        <pctVal>0.0199097</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>4726000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>6032504.590000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>176515.340000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FJKBBPD0Z"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>18721.800000</valUSD>
        <pctVal>0.0021117</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>734000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>928221.610000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>18721.800000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19HUKBB37NJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.753100"/>
        <valUSD>-13259.740000</valUSD>
        <pctVal>-0.0014956</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>7739637.500000</amtCurSold>
            <curSold>HKD</curSold>
            <amtCurPur>985000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-03</settlementDt>
            <unrealizedAppr>-13259.740000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD IDR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBB76D2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14736.660000"/>
        <valUSD>21945.090000</valUSD>
        <pctVal>0.0024753</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>20248980000.000000</amtCurSold>
            <curSold>IDR</curSold>
            <amtCurPur>1396000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>21945.090000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CAN 10YR BOND FUT SEP20 XMOD 20200921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="CNU0"/>
        </identifiers>
        <balance>-308.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>-57793.610000</valUSD>
        <pctVal>-0.0065187</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>THE MONTREAL EXCHANGE / BOURSE DE MONTREAL</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CANADA GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1G05D0-CANADA GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>-34897289.330000</notionalAmt>
            <curCd>CAD</curCd>
            <unrealizedAppr>-57793.610000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM30 ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZMCLBR7DSR6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-226834.800000</valUSD>
        <pctVal>-0.0255854</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CDX.EM.30</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2023-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-397265.600000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>8554000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>170430.800000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM32 ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZK5SQC7KQ40"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-72956.410000</valUSD>
        <pctVal>-0.0082290</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.EM.32</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2024-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-86136.600000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2046000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>13180.190000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM33 ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJ84JTVTMN0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-212758.150000</valUSD>
        <pctVal>-0.0239977</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.EM.33</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2025-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-512045.250000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4560000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>299287.100000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175CX002 CDX.O C 104.00 AUG20 104 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999961"/>
        </identifiers>
        <balance>-600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1110.310000</valUSD>
        <pctVal>-0.0001252</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY34 (V5 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ4QF675DHX3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY34 (V5 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ4QF675DHX3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1481.690000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ303 CDX.O P 92.00 AUG20 92 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI995555"/>
        </identifiers>
        <balance>-700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7377.790000</valUSD>
        <pctVal>-0.0008322</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY34 (V5 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ4QF675DHX3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY34 (V5 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ4QF675DHX3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>92.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2136.190000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ360 CDX.O C 105.0 AUG20 105 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI995571"/>
        </identifiers>
        <balance>-700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1025.440000</valUSD>
        <pctVal>-0.0001157</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY34 (V5 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ4QF675DHX3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY34 (V5 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ4QF675DHX3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>105.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1998.560000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ709 CDX.O P 93.00 AUG20 93 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999987"/>
        </identifiers>
        <balance>-600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7249.170000</valUSD>
        <pctVal>-0.0008177</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY34 (V5 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ4QF675DHX3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY34 (V5 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ4QF675DHX3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>93.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1201.170000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX IG32 10Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZPSTBHJ5B64"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2932.750000</valUSD>
        <pctVal>0.0003308</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CDX.NA.IG.32</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2029-06-21</terminationDt>
            <upfrontPmnt>41.950000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2890.800000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175DM419 CDX.O C 0.625 AUG20 0.625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA01154"/>
        </identifiers>
        <balance>-1700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1294.500000</valUSD>
        <pctVal>-0.0001460</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.630000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-104.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ378 SWAPTION SEP20 1.2 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI996330"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3697.530000</valUSD>
        <pctVal>-0.0004171</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>CREDIT SUISSE SECURITIES (USA) LLC</counterpartyName>
              <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CREDIT SUISSE SECURITIES (USA) LLC</counterpartyName>
                    <counterpartyLei>1V8Y6QCX6YMJ2OELII46</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-747.030000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ675 CDX.O C 0.55 SEP20 0.55 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999060"/>
        </identifiers>
        <balance>-1400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-681.300000</valUSD>
        <pctVal>-0.0000768</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.550000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>298.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ691 SWAPTION AUG20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA00891"/>
        </identifiers>
        <balance>-1600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2034.050000</valUSD>
        <pctVal>-0.0002294</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>45.950000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ717 CDX.O P 1.10 AUG20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999078"/>
        </identifiers>
        <balance>-1800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2288.300000</valUSD>
        <pctVal>-0.0002581</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1185.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ725 CDX.O C 0.60 AUG20 0.6 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999995"/>
        </identifiers>
        <balance>-1700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-892.620000</valUSD>
        <pctVal>-0.0001007</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
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                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
                    </identifiers>
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                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>280.380000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ733 SWAPTION AUG20 0.6 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA00867"/>
        </identifiers>
        <balance>-1600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-840.110000</valUSD>
        <pctVal>-0.0000948</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
                    </identifiers>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>439.890000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ758 CDX.O C 0.60 AUG20 0.6 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999086"/>
        </identifiers>
        <balance>-1800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-945.130000</valUSD>
        <pctVal>-0.0001066</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
              <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
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                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ35K7BGZKB7"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.600000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>134.870000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ782 SWAPTION AUG20 1.15 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ90LHK1P1J4"/>
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        <balance>-1900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2086.750000</valUSD>
        <pctVal>-0.0002354</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.150000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>573.250000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175JJ808 CDX.O P 1.20 AUG20 1.2 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA01162"/>
        </identifiers>
        <balance>-1700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1627.970000</valUSD>
        <pctVal>-0.0001836</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
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                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
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                    <curCd>USD</curCd>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>837.030000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175SH026 CDX.O P 1.10 SEP20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999094"/>
        </identifiers>
        <balance>-1400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3076.010000</valUSD>
        <pctVal>-0.0003470</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <counterparties>
                    <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
                    <counterpartyLei>549300HN4UKV1E2R3U73</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
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                    <units>NC</units>
                    <curCd>USD</curCd>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG34 (V1 ONLY) 5Y SP</issueTitle>
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                      </identifiers>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
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            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-241.010000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMORTIZING RESIDENTIAL COLLAT 2001-BC6</name>
        <lei>N/A</lei>
        <title>AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A</title>
        <cusip>86358RMY0</cusip>
        <identifiers>
          <isin value="US86358RMY08"/>
        </identifiers>
        <balance>3762.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3613.330000</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>2031-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.86825</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>N/A</name>
        <lei>N/A</lei>
        <title>3175ZZ325 CDX.O P 1.10 AUG20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI929661"/>
        </identifiers>
        <balance>-1700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2161.180000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <isin value="EZ35K7BGZKB7"/>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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                  <rcptCurCd>USD</rcptCurCd>
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                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>558.820000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEI996322"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1021.940000</valUSD>
        <pctVal>-0.0001153</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>CREDIT SUISSE SECURITIES (USA) LLC</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
                      <isin value="EZ35K7BGZKB7"/>
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                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
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            <shareNo>N/A</shareNo>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX IG34 10Y ICE</title>
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        <identifiers>
          <isin value="EZ87GYMB2QW6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>511856.320000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.IG.34</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2030-06-21</terminationDt>
            <upfrontPmnt>534600.790000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>52400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-22744.470000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX IG34 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ35K7BGZKB7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-39738.960000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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                <identifiers>
                  <ticker value="CDX"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2025-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-36155.940000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-3583.020000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CHINA AS BP BRC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ14R51DR0X9"/>
        </identifiers>
        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-34507.610000</valUSD>
        <pctVal>-0.0038922</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>CHINA GOVT</issuerName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-28609.890000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-5897.720000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CHINA AS BP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ14R51DR0X9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-62113.700000</valUSD>
        <pctVal>-0.0070060</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>CHINA GOVT</issuerName>
                <issueTitle>CHINA (PEOPLES REP OF) GLOBAL</issueTitle>
                <identifiers>
                  <isin value="US712219AG90"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-52128.860000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-9984.840000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT AUD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FLKBBQXRX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.448800"/>
        <valUSD>-9834.100000</valUSD>
        <pctVal>-0.0011092</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</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>2831568.330000</amtCurSold>
            <curSold>AUD</curSold>
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            <curPur>AUD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-9834.100000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AMRESCO RES SEC 1999-1</name>
        <lei>N/A</lei>
        <title>AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A</title>
        <cusip>03215PFN4</cusip>
        <identifiers>
          <isin value="US03215PFN42"/>
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        <balance>7770.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7086.710000</valUSD>
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        <payoffProfile>Long</payoffProfile>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.10825</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>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBB0L15"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
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        <pctVal>-0.0047140</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>4663886.440000</amtCurSold>
            <curSold>DKK</curSold>
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            <curPur>DKK</curPur>
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            <unrealizedAppr>-41793.410000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBXHX3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</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>5914713.120000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>39353678.000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>18747.570000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EJKBBSJKK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.913400"/>
        <valUSD>-45513.830000</valUSD>
        <pctVal>-0.0051337</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>4640865.860000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>495900000.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-45513.830000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PEN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20CDKBB9VR1"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541900"/>
        <valUSD>-161102.180000</valUSD>
        <pctVal>-0.0181712</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>8766985.090000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>30481053.750000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-07-07</settlementDt>
            <unrealizedAppr>-161102.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PEN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FNKBB594B"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541800"/>
        <valUSD>-32953.230000</valUSD>
        <pctVal>-0.0037169</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>4255222.940000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>14954555.500000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>-32953.230000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PEN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBB2880"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.545100"/>
        <valUSD>-43308.100000</valUSD>
        <pctVal>-0.0048849</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>8641469.040000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>30481053.750000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-08-25</settlementDt>
            <unrealizedAppr>-43308.100000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBBWZ59"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.543600"/>
        <valUSD>-7278.350000</valUSD>
        <pctVal>-0.0008209</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>187170.030000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>12870092.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-08-14</settlementDt>
            <unrealizedAppr>-7278.350000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DAKBCB22S"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>9942.080000</valUSD>
        <pctVal>0.0011214</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>197657.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>3604782.980000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>9942.080000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD AUD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBRJ44"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.448800"/>
        <valUSD>21638.820000</valUSD>
        <pctVal>0.0024407</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>18216000.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>12595198.180000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>21638.820000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EIKBBKFNM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
        <valUSD>-22316.680000</valUSD>
        <pctVal>-0.0025172</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>895000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>637006.280000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-22316.680000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20CRKBBXXSK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>-1445613.140000</valUSD>
        <pctVal>-0.1630555</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>270000000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>39263018.600000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>-1445613.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBB0GRL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>42603.900000</valUSD>
        <pctVal>0.0048054</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>30656032.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>4673880.110000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>42603.900000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBXDF3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>-18256.430000</valUSD>
        <pctVal>-0.0020592</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>39353678.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>5926992.870000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>-18256.430000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FPKBBQ3T0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2170.580000</valUSD>
        <pctVal>-0.0002448</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>1833000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>2057204.130000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-2170.580000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FDKBCKJQ0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.880900"/>
        <valUSD>-245541.320000</valUSD>
        <pctVal>-0.0276954</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>2690000000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>24689363.750000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-08</settlementDt>
            <unrealizedAppr>-245541.320000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ANHEUSER-BUSCH INBEV FINANCE INC</name>
        <lei>5493000EYEKDT0FBSQ91</lei>
        <title>ANHEUSER BUSCH INBEV FIN COMPANY GUAR 02/24 3.7</title>
        <cusip>03524BAE6</cusip>
        <identifiers>
          <isin value="US03524BAE65"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2089071.930000</valUSD>
        <pctVal>0.2356333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.7</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20CSKBCDLPF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.543700"/>
        <valUSD>498993.560000</valUSD>
        <pctVal>0.0562831</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>47198768.230000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>13818183.160000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>498993.560000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DLKBCDB5V"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.545700"/>
        <valUSD>85811.310000</valUSD>
        <pctVal>0.0096789</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>8414582.600000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>2458966.280000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-04</settlementDt>
            <unrealizedAppr>85811.310000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EBKBB7DP3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541800"/>
        <valUSD>170831.400000</valUSD>
        <pctVal>0.0192686</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>14954555.500000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>4393101.110000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-06</settlementDt>
            <unrealizedAppr>170831.400000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ELKBB85HZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.542700"/>
        <valUSD>710.220000</valUSD>
        <pctVal>0.0000801</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>77282.700000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>22524.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-20</settlementDt>
            <unrealizedAppr>710.220000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FNKBB5947"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.555800"/>
        <valUSD>26174.670000</valUSD>
        <pctVal>0.0029523</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>14954555.500000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>4231862.440000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-12-22</settlementDt>
            <unrealizedAppr>26174.670000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBB288F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541900"/>
        <valUSD>48590.050000</valUSD>
        <pctVal>0.0054806</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>30481053.750000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>8654472.960000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-07</settlementDt>
            <unrealizedAppr>48590.050000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SEK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FAKBB1FXZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.318200"/>
        <valUSD>-835.900000</valUSD>
        <pctVal>-0.0000943</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>800000.000000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>85017.590000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-835.900000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FEKBBXG7C"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.625000"/>
        <valUSD>79510.390000</valUSD>
        <pctVal>0.0089682</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>47800000.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>2791572.600000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-12-09</settlementDt>
            <unrealizedAppr>79510.390000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNH/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FCKBBN8LW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.098800"/>
        <valUSD>4614.240000</valUSD>
        <pctVal>0.0005205</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CREDIT AGRICOLE CORPORATE AND INVESTMENT BANK</counterpartyName>
              <counterpartyLei>1VUV7VQFKUOQSJ21A208</counterpartyLei>
            </counterparties>
            <amtCurSold>630144.920000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>4506000.000000</amtCurPur>
            <curPur>CNY</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>4614.240000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FEKBBPP88"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14736.660000"/>
        <valUSD>-99719.640000</valUSD>
        <pctVal>-0.0112477</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
            </counterparties>
            <amtCurSold>2723074.830000</amtCurSold>
            <curSold>IDR</curSold>
            <amtCurPur>38659493424.000000</amtCurPur>
            <curPur>IDR</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-99719.640000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ELKBBRHJM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.753900"/>
        <valUSD>-226.940000</valUSD>
        <pctVal>-0.0000256</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
            </counterparties>
            <amtCurSold>3035000.000000</amtCurSold>
            <curSold>HKD</curSold>
            <amtCurPur>391188.900000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-226.940000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>DAIMLER AG SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ1JZK927PB8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1580.870000</valUSD>
        <pctVal>0.0001783</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>DAIMLER AG</issuerName>
                <issueTitle>DAIMLER AG</issueTitle>
                <identifiers>
                  <isin value="DE000A168650"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2020-12-21</terminationDt>
            <upfrontPmnt>6630.190000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>400000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-5049.320000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FRKBB5K10"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>-14758.250000</valUSD>
        <pctVal>-0.0016646</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>492071.300000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>2595676.110000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-14758.250000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PEN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBB8VN5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541900"/>
        <valUSD>-3056.050000</valUSD>
        <pctVal>-0.0003447</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>111147.410000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>382847.240000</amtCurPur>
            <curPur>PEN</curPur>
            <settlementDt>2020-07-07</settlementDt>
            <unrealizedAppr>-3056.050000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FRKBB5NPK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.447100"/>
        <valUSD>15022.290000</valUSD>
        <pctVal>0.0016944</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>2595676.110000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>491549.470000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>15022.290000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DCKBB8KFZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.541900"/>
        <valUSD>2158.020000</valUSD>
        <pctVal>0.0002434</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <amtCurSold>382847.240000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>110249.380000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-07</settlementDt>
            <unrealizedAppr>2158.020000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBB8VNG"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.544300"/>
        <valUSD>2990.080000</valUSD>
        <pctVal>0.0003373</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
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            <amtCurSold>382847.240000</amtCurSold>
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            <amtCurPur>111008.830000</amtCurPur>
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            <settlementDt>2020-08-13</settlementDt>
            <unrealizedAppr>2990.080000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IMM EUR FUT OPT JUN22C 99.75 EXP 06/13/2022</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="EDM2C"/>
        </identifiers>
        <balance>73.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>43343.750000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <futrDeriv derivCat="FUT">
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                    <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
                    <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="EDM200009"/>
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                    <curCd>USD</curCd>
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                    <assetCat>DIR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <other otherDesc="Internal ID" value="EDM200009"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2022-06-14</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-06-13</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>26825.310000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IMM EUR FUT OPT MAR22C 99.75 EXP 03/14/2022</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="EDH2C"/>
        </identifiers>
        <balance>39.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>20962.500000</valUSD>
        <pctVal>0.0023644</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
                    <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>FIN FUT EURO$ CME (RED) 03/14/22</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="EDH200005"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>FIN FUT EURO$ CME (RED) 03/14/22</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="EDH200005"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2022-03-15</expDate>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </futrDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.750000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-03-14</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>12615.330000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750GFO4 OTC ECAL EUR VS USD 1.1625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI993790"/>
        </identifiers>
        <balance>5915000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>21936.800000</valUSD>
        <pctVal>0.0024743</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>EUROPEAN MONETARY UNION EURO</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ6L5GG2DCJ9"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <amtCurSold>0.000000</amtCurSold>
                  <curSold>N/A</curSold>
                  <amtCurPur>0.000000</amtCurPur>
                  <curPur>N/A</curPur>
                  <settlementDt>2020-09-15</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.160000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-17957.340000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750GFP1 OTC EPUT EUR VS USD 1.105</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI993808"/>
        </identifiers>
        <balance>-5915000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-39441.050000</valUSD>
        <pctVal>-0.0044487</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>EUROPEAN MONETARY UNION EURO</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ6L5GG2DCJ9"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <amtCurSold>0.000000</amtCurSold>
                  <curSold>N/A</curSold>
                  <amtCurPur>0.000000</amtCurPur>
                  <curPur>N/A</curPur>
                  <settlementDt>2020-09-15</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>627.100000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750GJB8 EUR CALL USD PUT JAN21 1.1625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA04786"/>
        </identifiers>
        <balance>5953000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>77556.290000</valUSD>
        <pctVal>0.0087478</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>EUR - USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="EUR1029C9"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DFE</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <amtCurSold>0.000000</amtCurSold>
                  <curSold>N/A</curSold>
                  <amtCurPur>0.000000</amtCurPur>
                  <curPur>N/A</curPur>
                  <settlementDt>2021-01-29</settlementDt>
                </fwdDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.160000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-01-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>138.620000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750GJC6 EUR PUT USD CALL JAN21 1.0925 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA04778"/>
        </identifiers>
        <balance>-5953000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-70139.080000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                <fwdDeriv derivCat="FWD">
                  <counterparties>
                    <counterpartyName>None</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>EUR - USD</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="EUR1029C9"/>
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                    <curCd>USD</curCd>
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                    <assetCat>DFE</assetCat>
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                  <amtCurSold>0.000000</amtCurSold>
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                  <curPur>N/A</curPur>
                  <settlementDt>2021-01-29</settlementDt>
                </fwdDeriv>
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            <shareNo>N/A</shareNo>
            <exercisePrice>1.090000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-01-29</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6804.050000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>FORD MOTOR CREDIT COMPANY LLC SNR S* ICE</title>
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          <isin value="EZVDM4G72085"/>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-21841.480000</valUSD>
        <pctVal>-0.0024636</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>FORD MOTOR CREDIT COMPANY LLC</issuerName>
                <issueTitle>FORD MOTOR CREDIT CO LLC SR UNSEC</issueTitle>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <terminationDt>2022-06-21</terminationDt>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-93871.260000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <unrealizedAppr>72029.780000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EURO-OAT FUTURE   SEP20 XEUR 20200908</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DE000C4QFCQ5"/>
        </identifiers>
        <balance>-409.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-1038775.890000</valUSD>
        <pctVal>-0.1171669</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Eurex</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>FRANCE GOVT</issueTitle>
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                  <other otherDesc="Internal ID" value="ADI1JZ888-FRANCE GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-08</expDate>
            <notionalAmt>-77037073.240000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-1038775.890000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <isin value="DE000C5G0BS9"/>
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        <balance>400.000000</balance>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
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            <putOrCall>Call</putOrCall>
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            <descRefInstrmnt>
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                <futrDeriv derivCat="FUT">
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                    <counterpartyName>Eurex</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                      <isin value="DE000C4QFCM4"/>
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                    <balance>0.000000</balance>
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                  <payOffProf>N/A</payOffProf>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  </descRefInstrmnt>
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            <shareNo>N/A</shareNo>
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            <unrealizedAppr>-229.190000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <isin value="DE000C4QFCL6"/>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <expDate>2020-09-08</expDate>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="DE000C4QFCK8"/>
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        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
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            <payOffProf>Short</payOffProf>
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                <issuerName>N/A</issuerName>
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            <expDate>2020-09-08</expDate>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EURO-BUXL 30Y BND SEP20 XEUR 20200908</title>
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          <isin value="DE000C4QFCN2"/>
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        <balance>15.000000</balance>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
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            <payOffProf>Long</payOffProf>
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                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <expDate>2020-09-08</expDate>
            <notionalAmt>3706874.470000</notionalAmt>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="DE000C4QFCM4"/>
        </identifiers>
        <balance>-410.000000</balance>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
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        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <expDate>2020-09-08</expDate>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-40580.920000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>OEU0P127 SEP20 127 PUT FSO</title>
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        <identifiers>
          <isin value="DE000C5G0AB7"/>
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        <balance>270.000000</balance>
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        <pctVal>-0.0000294</pctVal>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
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                <futrDeriv derivCat="FUT">
                  <counterparties>
                    <counterpartyName>Eurex</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>529900AQBND3S6YJLY83</lei>
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                      <isin value="DE000C4QFCL6"/>
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                    <invCountry>DE</invCountry>
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                  <payOffProf>N/A</payOffProf>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                        <isin value="DE000C4QFCL6"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <expDate>2020-09-09</expDate>
                  <notionalAmt>N/A</notionalAmt>
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            <shareNo>N/A</shareNo>
            <exercisePrice>127.000000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>-260.880000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNH/SOLD USD</title>
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          <other otherDesc="Internal ID" value="20FGKBBPKBJ"/>
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        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-13749.720000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
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        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
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        <invCountry>RU</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <amtCurSold>240515.000000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>198554.290000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>15115777.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>13434.620000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DTKBBPTG8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>9176.690000</valUSD>
        <pctVal>0.0010351</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>160329.720000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>12086580.740000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>9176.690000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EIKBBQ3Z8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.402500"/>
        <valUSD>7238.400000</valUSD>
        <pctVal>0.0008164</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>178433.990000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>13257467.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-27</settlementDt>
            <unrealizedAppr>7238.400000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBB5B8G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.543600"/>
        <valUSD>-5104.560000</valUSD>
        <pctVal>-0.0005758</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>161337.900000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>11177490.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-08-14</settlementDt>
            <unrealizedAppr>-5104.560000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="19KHKBB9GL9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>693655.880000</valUSD>
        <pctVal>0.0782397</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>12900000.000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>3065807.920000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>693655.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20CVKBBVSLS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>-26286.890000</valUSD>
        <pctVal>-0.0029650</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>6595000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>968059.130000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>-26286.890000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ETKBB1KX6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-314449.950000</valUSD>
        <pctVal>-0.0354678</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>55545128.380000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>68511549.820000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-314449.950000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FCKBBPVW3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>7872.060000</valUSD>
        <pctVal>0.0008879</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>396000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>498555.880000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>7872.060000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT AUD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBPBKL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.448800"/>
        <valUSD>7005.360000</valUSD>
        <pctVal>0.0007902</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>3337936.920000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>4846000.000000</amtCurPur>
            <curPur>AUD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>7005.360000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FKKBBQH0G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
        <valUSD>4774.090000</valUSD>
        <pctVal>0.0005385</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>731899.610000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1000000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>4774.090000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CHF/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBN8H2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>1667.190000</valUSD>
        <pctVal>0.0001880</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2111055.010000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>1999000.000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>1667.190000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CHF/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNR4H"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>260.530000</valUSD>
        <pctVal>0.0000294</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1222560.670000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>1157000.000000</amtCurPur>
            <curPur>CHF</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>260.530000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FBKBBRLMB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>3743.850000</valUSD>
        <pctVal>0.0004223</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>715295.870000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>640000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>3743.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FNKBBPB34"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-6168.570000</valUSD>
        <pctVal>-0.0006958</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>4306924.910000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>3828000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-6168.570000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NOK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBBXFMV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="9.625200"/>
        <valUSD>-59935.160000</valUSD>
        <pctVal>-0.0067603</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>3600102.950000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>34075000.000000</amtCurPur>
            <curPur>NOK</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-59935.160000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT NZD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBQ3LD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.549600"/>
        <valUSD>-44636.950000</valUSD>
        <pctVal>-0.0050347</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>13325911.420000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>20581000.000000</amtCurPur>
            <curPur>NZD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-44636.950000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT PLN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBBR9HL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PLN" exchangeRt="3.955400"/>
        <valUSD>-208.040000</valUSD>
        <pctVal>-0.0000235</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>29603.740000</amtCurSold>
            <curSold>PLN</curSold>
            <amtCurPur>116272.540000</amtCurPur>
            <curPur>PLN</curPur>
            <settlementDt>2020-09-10</settlementDt>
            <unrealizedAppr>-208.040000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FMKBB54RH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.402500"/>
        <valUSD>-9000.830000</valUSD>
        <pctVal>-0.0010152</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>484104.820000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>33923597.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-27</settlementDt>
            <unrealizedAppr>-9000.830000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT SEK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBBW4JF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.318200"/>
        <valUSD>-24917.350000</valUSD>
        <pctVal>-0.0028105</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2865058.150000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>26465000.000000</amtCurPur>
            <curPur>SEK</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-24917.350000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DBKBB4F1P"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>9951.560000</valUSD>
        <pctVal>0.0011225</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>158848.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>2931062.030000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>9951.560000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ETKBBV4PN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>-57310.800000</valUSD>
        <pctVal>-0.0064643</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>5824718.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>4233141.470000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-57310.800000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EJKBBSJN0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>-2626.410000</valUSD>
        <pctVal>-0.0002962</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>94000.000000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>96721.210000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-2626.410000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FCKBBPTQN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.946200"/>
        <valUSD>-34058.770000</valUSD>
        <pctVal>-0.0038416</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2195000.000000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>2285813.780000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-34058.770000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FDKBBKBHX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.096700"/>
        <valUSD>-72215.470000</valUSD>
        <pctVal>-0.0081454</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>51985295.910000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>7253020.050000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-72215.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FCKBBP749"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2238.440000</valUSD>
        <pctVal>-0.0002525</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1628000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1826818.850000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-2238.440000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBBNHGQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>7084.210000</valUSD>
        <pctVal>0.0007991</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>1292000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>1458645.650000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>7084.210000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBN9DD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-860.150000</valUSD>
        <pctVal>-0.0000970</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2055000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>2307931.460000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-860.150000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FUKBBR8PN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>18347.590000</valUSD>
        <pctVal>0.0020695</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>6766000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>7619945.660000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>18347.590000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBBR5P4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>10839.140000</valUSD>
        <pctVal>0.0012226</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>383000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>485414.660000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>10839.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ETKBBXG5N"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="9.625200"/>
        <valUSD>-2848.520000</valUSD>
        <pctVal>-0.0003213</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2215000.000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>227275.370000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-2848.520000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FKKBBRWMH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="9.625200"/>
        <valUSD>-16263.190000</valUSD>
        <pctVal>-0.0018344</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>17580000.000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>1810182.880000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-16263.190000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NZD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBN9B6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NZD" exchangeRt="1.549600"/>
        <valUSD>-5399.740000</valUSD>
        <pctVal>-0.0006091</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NZ</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>4047000.000000</amtCurSold>
            <curSold>NZD</curSold>
            <amtCurPur>2606199.200000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-5399.740000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD PEN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EMKBB273G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="PEN" exchangeRt="3.542300"/>
        <valUSD>57281.720000</valUSD>
        <pctVal>0.0064610</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>PE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>6555026.600000</amtCurSold>
            <curSold>PEN</curSold>
            <amtCurPur>1907804.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-13</settlementDt>
            <unrealizedAppr>57281.720000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RON/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EIKBB06PL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RON" exchangeRt="4.318000"/>
        <valUSD>-414.110000</valUSD>
        <pctVal>-0.0000467</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>47891.060000</amtCurSold>
            <curSold>RON</curSold>
            <amtCurPur>10677.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>-414.110000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DMKBBN0FH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>-1060.450000</valUSD>
        <pctVal>-0.0001196</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>217000.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>11436.560000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-1060.450000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175FL955 INT FLR US OCT22 0.0000001 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI684340"/>
        </identifiers>
        <balance>-18250000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-28035.650000</valUSD>
        <pctVal>-0.0031622</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
              <counterpartyLei>I7331LVCZKQKX5T7XV54</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 1M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-10-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-9215.340000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175FL997 INT FLR US OCT22 0.0000001 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI686485"/>
        </identifiers>
        <balance>-9750000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-15171.000000</valUSD>
        <pctVal>-0.0017112</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>MORGAN STANLEY CAPITAL SERVICES LLC</counterpartyName>
              <counterpartyLei>I7331LVCZKQKX5T7XV54</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 1M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-10-08</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5542.870000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EURO-BTP FUTURE   SEP20 XEUR 20200908</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="DE000C4QFCH4"/>
        </identifiers>
        <balance>390.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>1460495.620000</valUSD>
        <pctVal>0.1647341</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Eurex</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ITALY GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1JYN76-ITALY GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-08</expDate>
            <notionalAmt>63043155.870000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>1460495.620000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX ITRAXX MAIN32 10Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZWLZ0PSNK34"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>13276.370000</valUSD>
        <pctVal>0.0014975</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ITRAXX EUROPE SERIES 32</issueTitle>
                <identifiers>
                  <ticker value="ITRX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2029-12-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>-46608.610000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>2700000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>59884.980000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175429S9 ITRAXX.O P 1.1 SEP20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-3050000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-4842.810000</valUSD>
        <pctVal>-0.0005462</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZNQX28JQNF1"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZNQX28JQNF1"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2025-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>EUR</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>EUR</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>660.070000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175529D1 ITRAXX.O C 0.5 SEP20 0.5 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-1050000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-707.050000</valUSD>
        <pctVal>-0.0000798</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Bank of America, National Association</counterpartyName>
                    <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZNQX28JQNF1"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
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                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <unrealizedAppr>413.790000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        </identifiers>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  </counterparties>
                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  </descRefInstrmnt>
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                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            <unrealizedAppr>-133.410000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        </identifiers>
        <balance>-1900000.000000</balance>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <curCd>EUR</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>227.680000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <isin value="EZM9H2WDCG13"/>
        </identifiers>
        <balance>-2000000.000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
                      <isin value="EZNQX28JQNF1"/>
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                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
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                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <rcptCurCd>EUR</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>764.880000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
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        </identifiers>
        <balance>-3050000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
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                    <assetCat>DCR</assetCat>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN33 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>364.180000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175589V8 ITRAXX.O P 1.20 OCT20 1.2 PUT</title>
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        <identifiers>
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        </identifiers>
        <balance>-2300000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <assetCat>DCR</assetCat>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <rcptCurCd>EUR</rcptCurCd>
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            <delta>XXXX</delta>
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          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                      <identifiers>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <delta>XXXX</delta>
            <unrealizedAppr>698.750000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        </identifiers>
        <balance>-2300000.000000</balance>
        <units>NC</units>
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        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <putOrCall>Call</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  </derivAddlInfo>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-327.950000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <unrealizedAppr>772.680000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-214.520000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <units>NC</units>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <rcptCurCd>EUR</rcptCurCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>-396.110000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX ITRAXX MAIN33 5Y ICE</title>
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          <isin value="EZNQX28JQNF1"/>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>ITRAXX EUROPE SERIES 33</issueTitle>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <terminationDt>2025-06-21</terminationDt>
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            <curCd>EUR</curCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JAPAN GOVT JP BP BOA</title>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-7584.930000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>JAPAN GOVT</issuerName>
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            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-13826.980000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>6242.050000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JAPAN GOVT JP BP BPS</title>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-58783.180000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>JAPAN GOVT</issuerName>
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            <swapFlag>Y</swapFlag>
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            <upfrontRcpt>-111032.730000</upfrontRcpt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <balance>1.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>-53094.480000</valUSD>
        <pctVal>-0.0059887</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>JAPAN GOVT</issuerName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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            <terminationDt>2022-06-21</terminationDt>
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            <upfrontRcpt>-97445.420000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2800000.000000</notionalAmt>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JAPAN GOVT JP BP CBK</title>
        <cusip>000000000</cusip>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-15169.850000</valUSD>
        <pctVal>-0.0017111</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Citibank International Limited</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>JAPAN GOVT</issuerName>
                <issueTitle>JAPANESE GOVT BOND (20Y) #55</issueTitle>
                <identifiers>
                  <isin value="JP1200551248"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2022-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-27776.480000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>12606.630000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JAPAN GOVT JP BP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ9ZT2W0WGZ4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-49302.020000</valUSD>
        <pctVal>-0.0055609</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>JAPAN GOVT</issuerName>
                <issueTitle>JAPANESE GOVT BOND (20Y) #55</issueTitle>
                <identifiers>
                  <isin value="JP1200551248"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="-1.000000"/>
            <terminationDt>2022-06-21</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-90932.090000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>41630.070000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>JPN 10Y BOND(OSE) SEP20 XOSE 20200914</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="JBU0"/>
        </identifiers>
        <balance>37.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>26412.270000</valUSD>
        <pctVal>0.0029791</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>OSAKA SECURITIES EXCHANGE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>JAPAN GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1HQPP3-JAPAN GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-14</expDate>
            <notionalAmt>52068997.450000</notionalAmt>
            <curCd>JPY</curCd>
            <unrealizedAppr>26412.270000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EIKBBKFNN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
        <valUSD>7497.620000</valUSD>
        <pctVal>0.0008457</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>213504.490000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>300000.000000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>7497.620000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBBPQ17"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>-21937.010000</valUSD>
        <pctVal>-0.0024743</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>4910884.620000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>32425945.000000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>-21937.010000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FRKBBMR0F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2080.280000</valUSD>
        <pctVal>-0.0002346</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>449233.110000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>398000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-2080.280000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DAKBB6KT4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>13568.930000</valUSD>
        <pctVal>0.0015305</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>273020.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>4976375.130000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>13568.930000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FFKBBSLNF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
        <valUSD>8367.170000</valUSD>
        <pctVal>0.0009438</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>889000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>663270.090000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>8367.170000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DPKBBPWK7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.632500"/>
        <valUSD>-16448.390000</valUSD>
        <pctVal>-0.0018553</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>3440000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>502209.730000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-01</settlementDt>
            <unrealizedAppr>-16448.390000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FQKBBPQZ1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.619300"/>
        <valUSD>22786.960000</valUSD>
        <pctVal>0.0025702</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>32425945.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>4921447.940000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-10-01</settlementDt>
            <unrealizedAppr>22786.960000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W2</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W2 A2C</title>
        <cusip>040104NC1</cusip>
        <identifiers>
          <isin value="US040104NC10"/>
        </identifiers>
        <balance>385549.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>385818.950000</valUSD>
        <pctVal>0.0435178</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5445</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>ARGENT SECURITIES INC 2005-W4</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W4 A2D</title>
        <cusip>040104PT2</cusip>
        <identifiers>
          <isin value="US040104PT27"/>
        </identifiers>
        <balance>1194674.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1045953.120000</valUSD>
        <pctVal>0.1179765</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5645</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ESKBBQCBW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>-9422.580000</valUSD>
        <pctVal>-0.0010628</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>21158000.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>1209064.430000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>-9422.580000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FLKBB22SP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.543600"/>
        <valUSD>-23317.180000</valUSD>
        <pctVal>-0.0026300</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>974375.860000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>68042128.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-08-14</settlementDt>
            <unrealizedAppr>-23317.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD IDR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBB8LWH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14736.660000"/>
        <valUSD>16721.880000</valUSD>
        <pctVal>0.0018861</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>17024940800.000000</amtCurSold>
            <curSold>IDR</curSold>
            <amtCurPur>1172000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>16721.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RON/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EIKBBQQDD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RON" exchangeRt="4.318000"/>
        <valUSD>-381.580000</valUSD>
        <pctVal>-0.0000430</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>40518.000000</amtCurSold>
            <curSold>RON</curSold>
            <amtCurPur>9002.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>-381.580000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RON/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EJKBBT7JZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RON" exchangeRt="4.318000"/>
        <valUSD>-269.540000</valUSD>
        <pctVal>-0.0000304</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>26696.020000</amtCurSold>
            <curSold>RON</curSold>
            <amtCurPur>5913.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>-269.540000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RON/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EJKBBZ89L"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RON" exchangeRt="4.318000"/>
        <valUSD>-209.130000</valUSD>
        <pctVal>-0.0000236</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>19470.290000</amtCurSold>
            <curSold>RON</curSold>
            <amtCurPur>4300.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-20</settlementDt>
            <unrealizedAppr>-209.130000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBCBL2W"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.543600"/>
        <valUSD>21898.480000</valUSD>
        <pctVal>0.0024700</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>58386812.000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>838000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-14</settlementDt>
            <unrealizedAppr>21898.480000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBCBT34"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>253.080000</valUSD>
        <pctVal>0.0000285</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>695000.000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>10000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>253.080000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBCBZPP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>76.880000</valUSD>
        <pctVal>0.0000087</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>208431.600000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>3000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>76.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.c.vi"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.d.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.e.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.f.ii"/>
      <explntrNote note="The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list.  Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A." noteItem="C.5.a"/>

    </explntrNotes>
    <signature>
      <ncom:dateSigned>2020-08-04</ncom:dateSigned>
      <ncom:nameOfApplicant>PIMCO Funds</ncom:nameOfApplicant>
      <ncom:signature>/s/ Jason Nagler</ncom:signature>
      <ncom:signerName>Jason Nagler</ncom:signerName>
      <ncom:title>Assistant Treasurer</ncom:title>
    </signature>
  </formData>
  <documents>XXXX</documents>
</edgarSubmission>
