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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Royal Bank of Canada</counterpartyName>
              <counterpartyLei>ES7IP3U3RHIGC71XBU11</counterpartyLei>
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            <amtCurSold>11188072.580000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>15550000.000000</amtCurPur>
            <curPur>SGD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-27529.180000</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="20FRKBB0X7V"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.402500"/>
        <valUSD>-38674.460000</valUSD>
        <pctVal>-0.0025793</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>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
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            <amtCurSold>1439000.000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>99986698.940000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-27</settlementDt>
            <unrealizedAppr>-38674.460000</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 ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DBKBBXJ9F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>124448.460000</valUSD>
        <pctVal>0.0082996</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>
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            <amtCurSold>1814357.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>33665722.720000</amtCurPur>
            <curPur>ZAR</curPur>
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            <unrealizedAppr>124448.460000</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>SOLD INR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FRKBB0X7W"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="INR" exchangeRt="76.146400"/>
        <valUSD>-1607.810000</valUSD>
        <pctVal>-0.0001072</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
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            <amtCurSold>64161572.000000</amtCurSold>
            <curSold>INR</curSold>
            <amtCurPur>841000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-1607.810000</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 JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FOKBBPCTB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>-621130.730000</valUSD>
        <pctVal>-0.0414241</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>64553522.490000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>6903100000.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-621130.730000</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 BRL/SOLD EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ESKBB4MCM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>-287120.200000</valUSD>
        <pctVal>-0.0191485</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>8879852.110000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>52642160.890000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-287120.200000</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 EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBWLGV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.447100"/>
        <valUSD>-224791.030000</valUSD>
        <pctVal>-0.0149916</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>8827867.160000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>52642160.890000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>-224791.030000</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 EUR/SOLD BRL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBWLDL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-15484.920000</valUSD>
        <pctVal>-0.0010327</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>52642160.890000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>8843764.100000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-15484.920000</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>BOUGHT TWD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FRKBB0Q1J"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.104100"/>
        <valUSD>14421.610000</valUSD>
        <pctVal>0.0009618</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>3207000.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>93756645.000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>14421.610000</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 BRL/BOUGHT EUR</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBWLDL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>271201.270000</valUSD>
        <pctVal>0.0180868</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>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>52642160.890000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>8843764.100000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>271201.270000</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 EUR/BOUGHT BRL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ESKBB4MCM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-9141.010000</valUSD>
        <pctVal>-0.0006096</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>8879852.110000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>52642160.890000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-9141.010000</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 EUR/BOUGHT BRL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBWLGV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.889400"/>
        <valUSD>-36106.530000</valUSD>
        <pctVal>-0.0024080</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>8827867.160000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>52642160.890000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>-36106.530000</unrealizedAppr>
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        </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>20372000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="104.590000"/>
        <valUSD>221601.190000</valUSD>
        <pctVal>0.0147789</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>317U226T7 IRO USD 3Y C 1.0360 JUL21 1.036 CALL</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="AEI570630"/>
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        <balance>489100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>11379107.140000</valUSD>
        <pctVal>0.7588889</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>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.03600 07/21/21-3Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU00V595"/>
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                    <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 1.03600 07/21/21-3Y LCH</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.036000"/>
                  <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>2024-07-21</terminationDt>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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                  <derivAddlInfo>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
        <name>ARGENTINA GOVT</name>
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      <invstOrSec>
        <name>ARGENTINA GOVT</name>
        <lei>549300KPBYGYF7HCHO27</lei>
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      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP EM NI 1.946 03/15/18-30Y LCH</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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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>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
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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>INF SWAP GB NI 3.48 01/15/20-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ4D312TX8Y1"/>
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        <assetCat>DIR</assetCat>
        <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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              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            <swapFlag>Y</swapFlag>
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            <curCd>GBP</curCd>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 3.49 09/15/18-10Y LCH</title>
        <cusip>000000000</cusip>
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          <isin value="EZRDYLMY7ML1"/>
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        <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>UK RPI All Items NSA</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 3.5925 11/15/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
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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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="GBP" fixedOrFloating="Floating" floatingRtIndex="UK RPI All Items NSA" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 3.595 11/15/18-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ4CBNGVGHT9"/>
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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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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP GB NI 3.603 11/15/18-10Y LCH</title>
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        <identifiers>
          <isin value="EZ4CBNGVGHT9"/>
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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>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>UK RPI All Items NSA</indexName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>INF SWAP US IT 1.667 06/19/19-5Y LCH</title>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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            <descRefInstrmnt>
              <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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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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        <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>
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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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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DFE</assetCat>
        <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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        </derivativeInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="20FTKBBR96V"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <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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              <counterpartyName>UBS AG</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>ASSET BACKED SEC CORP HM EQ 2005-HE6</name>
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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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        <name>N/A</name>
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        <name>N/A</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>N/A</name>
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        <name>N/A</name>
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        <name>N/A</name>
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        <fairValLevel>1</fairValLevel>
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        <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>-3804.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1141679.350000</valUSD>
        <pctVal>-0.0761402</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="ADI1HVCQ4-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-30</expDate>
            <notionalAmt>-478323283.150000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1141679.350000</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 LONG BOND(CBT) SEP20 XCBT 20200921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USU0"/>
        </identifiers>
        <balance>-241.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>29787.600000</valUSD>
        <pctVal>0.0019866</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="ADI1JZDD1-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2020-09-21</expDate>
            <notionalAmt>-43033562.500000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>29787.600000</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 ULTRA BOND CBT SEP20 XCBT 20200921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNU0"/>
        </identifiers>
        <balance>-368.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-359816.780000</valUSD>
        <pctVal>-0.0239967</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>-80281500.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-359816.780000</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 SR UNSECURED 06/21 VAR</title>
        <cusip>00206RFZ0</cusip>
        <identifiers>
          <isin value="US00206RFZ01"/>
        </identifiers>
        <balance>9000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9046412.910000</valUSD>
        <pctVal>0.6033182</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>5700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5713471.440000</valUSD>
        <pctVal>0.3810396</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>4200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4234884.190000</valUSD>
        <pctVal>0.2824305</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>AUTONATION INC</name>
        <lei>N/A</lei>
        <title>AUTONATION INC COMPANY GUAR 01/21 3.35</title>
        <cusip>05329WAL6</cusip>
        <identifiers>
          <isin value="US05329WAL63"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>301329.310000</valUSD>
        <pctVal>0.0200961</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.35</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>B&amp;M CLO LTD 2014-1A</name>
        <lei>N/A</lei>
        <title>B+M CLO LTD BANDM 2014 1A A1R 144A</title>
        <cusip>05509RAJ4</cusip>
        <identifiers>
          <isin value="US05509RAJ41"/>
        </identifiers>
        <balance>403249.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>401752.900000</valUSD>
        <pctVal>0.0267935</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.90613</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>BANC OF AMERICA FUNDING CORP 2005-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 4A1</title>
        <cusip>05946XQX4</cusip>
        <identifiers>
          <isin value="US05946XQX48"/>
        </identifiers>
        <balance>65143.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66575.030000</valUSD>
        <pctVal>0.0044400</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.01252</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>BANC OF AMERICA FUNDING CORP 2007-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A5</title>
        <cusip>05952DAR9</cusip>
        <identifiers>
          <isin value="US05952DAR98"/>
        </identifiers>
        <balance>3589167.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3426823.630000</valUSD>
        <pctVal>0.2285398</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.40075</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 12/49 VAR</title>
        <cusip>ACI0LW0M3</cusip>
        <identifiers>
          <isin value="XS1394911496"/>
        </identifiers>
        <balance>2400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2793973.550000</valUSD>
        <pctVal>0.1863341</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-04-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8.875</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>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0113211835"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="266.667" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </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>2600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2848182.400000</valUSD>
        <pctVal>0.1899493</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>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0113211835"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="266.667" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO DEL ESTADO DE CHILE</name>
        <lei>5493004R4EJC0W0XVQ72</lei>
        <title>BANCO DEL ESTADO  CHILE SR UNSECURED REGS 10/20 4.125</title>
        <cusip>P1027DEN7</cusip>
        <identifiers>
          <isin value="USP1027DEN77"/>
        </identifiers>
        <balance>7600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7643434.000000</valUSD>
        <pctVal>0.5097515</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-10-07</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.125</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>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>2400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>2589033.750000</valUSD>
        <pctVal>0.1726664</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"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO SANTANDER SA</name>
        <lei>5493006QMFDDMYWIAM13</lei>
        <title>BANCO SANTANDER SA JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>BF8PC7II6</cusip>
        <identifiers>
          <isin value="XS1692931121"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>212905.410000</valUSD>
        <pctVal>0.0141990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.25</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="263.852" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </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>45280.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40081.180000</valUSD>
        <pctVal>0.0026731</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>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3158959.760000</valUSD>
        <pctVal>0.2106755</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 144A 06/21 10.179</title>
        <cusip>06739FFU0</cusip>
        <identifiers>
          <isin value="US06739FFU03"/>
        </identifiers>
        <balance>9400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10166889.040000</valUSD>
        <pctVal>0.6780443</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10.179</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>2800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>3163022.030000</valUSD>
        <pctVal>0.2109465</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 VAR</title>
        <cusip>ACI1CH093</cusip>
        <identifiers>
          <isin value="XS1998799792"/>
        </identifiers>
        <balance>3400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>4177131.900000</valUSD>
        <pctVal>0.2785789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.125</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 02/23 VAR</title>
        <cusip>06738EBE4</cusip>
        <identifiers>
          <isin value="US06738EBE41"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5265952.900000</valUSD>
        <pctVal>0.3511939</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.61</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>06738EBC8</cusip>
        <identifiers>
          <isin value="US06738EBC84"/>
        </identifiers>
        <balance>6400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6343846.850000</valUSD>
        <pctVal>0.4230802</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>1.76563</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 05/29 VAR</title>
        <cusip>06738EBD6</cusip>
        <identifiers>
          <isin value="US06738EBD67"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2578831.710000</valUSD>
        <pctVal>0.1719860</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.972</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>BAT CAPITAL CORPORATION</name>
        <lei>2138005GYEXN7XRHFA84</lei>
        <title>BAT CAPITAL CORP COMPANY GUAR 08/24 3.222</title>
        <cusip>05526DAZ8</cusip>
        <identifiers>
          <isin value="US05526DAZ87"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214427.830000</valUSD>
        <pctVal>0.0143005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.222</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>BAT INTERNATIONAL FINANCE PLC</name>
        <lei>21380041YBGOQDFAC823</lei>
        <title>BAT INTL FINANCE PLC COMPANY GUAR 144A 06/25 3.95</title>
        <cusip>05530QAK6</cusip>
        <identifiers>
          <isin value="US05530QAK67"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>882919.110000</valUSD>
        <pctVal>0.0588831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.95</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>BAY AREA TOLL AUTHORITY</name>
        <lei>5493001FUZGUQMIP5D78</lei>
        <title>BAY AREA CA TOLL AUTH TOLL BRI BAYTRN 04/50 FIXED 7.043</title>
        <cusip>072024NV0</cusip>
        <identifiers>
          <isin value="US072024NV09"/>
        </identifiers>
        <balance>1100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1976942.000000</valUSD>
        <pctVal>0.1318451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.043</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>BAY AREA TOLL AUTHORITY</name>
        <lei>5493001FUZGUQMIP5D78</lei>
        <title>BAY AREA CA TOLL AUTH TOLL BRI BAYTRN 10/50 FIXED 6.907</title>
        <cusip>072024PY2</cusip>
        <identifiers>
          <isin value="US072024PY20"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>900470.000000</valUSD>
        <pctVal>0.0600536</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.907</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 ALT-A TRUST 2006-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 4 13A1</title>
        <cusip>073871AE5</cusip>
        <identifiers>
          <isin value="US073871AE56"/>
        </identifiers>
        <balance>2252875.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2001761.880000</valUSD>
        <pctVal>0.1335004</pctVal>
        <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>0.48825</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 ASSET BACKED SECURITIES TRUST 2005-HE9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2</title>
        <cusip>073879R59</cusip>
        <identifiers>
          <isin value="US073879R596"/>
        </identifiers>
        <balance>5066535.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4913049.640000</valUSD>
        <pctVal>0.3276583</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>1.18825</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 ASSETBACK SEC 2006-HE7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2</title>
        <cusip>07388HAP4</cusip>
        <identifiers>
          <isin value="US07388HAP47"/>
        </identifiers>
        <balance>1138772.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1388667.660000</valUSD>
        <pctVal>0.0926122</pctVal>
        <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>0.3445</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>BRAZIL GOVT</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>FED REPUBLIC OF BRAZIL SR UNSECURED 01/50 4.75</title>
        <cusip>105756CB4</cusip>
        <identifiers>
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        <curCd>USD</curCd>
        <valUSD>4331890.750000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>BR</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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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CAMPBELL SOUP COMPANY</name>
        <lei>5493007JDSMX8Z5Z1902</lei>
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        <identifiers>
          <isin value="US134429BC21"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400438.880000</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>Floating</couponKind>
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          <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>CAMPBELL SOUP COMPANY</name>
        <lei>5493007JDSMX8Z5Z1902</lei>
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          <isin value="US134429BE86"/>
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        <balance>1143000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1219906.730000</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>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CANADA GOVT</name>
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        <issuerCat>NUSS</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CARRINGTON MTGE LOAN TRUST 2005-NC5</name>
        <lei>N/A</lei>
        <title>CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC5 M2</title>
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        <identifiers>
          <isin value="US144531DP28"/>
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        <balance>7041000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6516804.590000</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>
          <annualizedRt>0.6845</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>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
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        <title>CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR</title>
        <cusip>161175BP8</cusip>
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          <isin value="US161175BP82"/>
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        <balance>6500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6524860.160000</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>2024-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.33663</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>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
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          <isin value="US161175BB96"/>
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        <balance>8100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8639201.370000</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>2022-07-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.464</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>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
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        <title>CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908</title>
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        <identifiers>
          <isin value="US161175AY09"/>
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        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2180208.850000</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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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORGAGE FINANCE CORP 2005-A1</name>
        <lei>N/A</lei>
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        <cusip>16162WPJ2</cusip>
        <identifiers>
          <isin value="US16162WPJ26"/>
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        <balance>525472.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>490154.460000</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>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.82345</annualizedRt>
          <isDefault>Y</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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>1782033.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1440502.410000</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>
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      </invstOrSec>
      <invstOrSec>
        <name>CHL MORTGAGE PASS-THROUGH TRUST 2007-19</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 19 1A1</title>
        <cusip>12544PAA0</cusip>
        <identifiers>
          <isin value="US12544PAA03"/>
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        <balance>1910908.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1270175.430000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CIFC FUNDING LTD 2015-5A</name>
        <lei>N/A</lei>
        <title>CIFC FUNDING LTD CIFC 2015 5A A1R 144A</title>
        <cusip>12547UAL2</cusip>
        <identifiers>
          <isin value="US12547UAL26"/>
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        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3352861.480000</valUSD>
        <pctVal>0.2236071</pctVal>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.85138</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>CIT MTGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A</title>
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        <identifiers>
          <isin value="US12559QAA04"/>
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        <balance>1871262.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CITIGROUP INC</name>
        <lei>6SHGI4ZSSLCXXQSBB395</lei>
        <title>CITIGROUP INC SR UNSECURED 06/24 VAR</title>
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          <isin value="US172967MA69"/>
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        <balance>5900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5887254.530000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2004-HYB2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB2 2A</title>
        <cusip>17307GEC8</cusip>
        <identifiers>
          <isin value="US17307GEC87"/>
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        <balance>304184.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299273.430000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2006-WF2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1</title>
        <cusip>17309BAL1</cusip>
        <identifiers>
          <isin value="US17309BAL18"/>
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        <balance>1781703.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1217366.530000</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>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.75</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>CITIGROUP MTGE LOAN TR INC 2006-AR1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1</title>
        <cusip>17307G2Z0</cusip>
        <identifiers>
          <isin value="US17307G2Z05"/>
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        <balance>131352.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>128516.280000</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>
          <annualizedRt>3.88</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 TR INC 2006-AR1</name>
        <lei>N/A</lei>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2008-RR1</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>CITY OF BUENOS AIRES</name>
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        <name>CITY OF CHICAGO</name>
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        <name>COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18</name>
        <lei>N/A</lei>
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        <cusip>23244GAD4</cusip>
        <identifiers>
          <isin value="US23244GAD43"/>
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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>COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A1</title>
        <cusip>02150DAA3</cusip>
        <identifiers>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3545</annualizedRt>
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      <invstOrSec>
        <name>FARM CREDIT BANK OF TEXAS</name>
        <lei>V1EBJIOLRNYDHDF63Z33</lei>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3</name>
        <lei>N/A</lei>
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        <cusip>12668BB44</cusip>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERT 2007-QH2</name>
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        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A</title>
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        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-11</name>
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        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV4</title>
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        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-IM1</name>
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        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 IM1 M1</title>
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        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-10</name>
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        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-5</name>
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        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 1A</title>
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        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-5</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 2A3</title>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 2A3</title>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 16 A28</title>
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        <balance>5498724.330000</balance>
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        <curCd>USD</curCd>
        <valUSD>4860930.590000</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>2035-09-25</maturityDt>
          <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>COUNTRYWIDE HOME LOANS 2005-HYB9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1</title>
        <cusip>126670LE6</cusip>
        <identifiers>
          <isin value="US126670LE60"/>
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        <balance>15668.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14775.570000</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>2036-02-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CREDIT SUISSE GROUP FUNDING (GUERNSEY) LIMITED</name>
        <lei>549300PXR5FKNXF0OH19</lei>
        <title>CRED SUIS GP FUN LTD COMPANY GUAR 03/25 3.75</title>
        <cusip>225433AC5</cusip>
        <identifiers>
          <isin value="US225433AC55"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>551808.940000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.75</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>CREDIT SUISSE MORTGAGE CAP CERT 2007-6</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1</title>
        <cusip>12639PAA6</cusip>
        <identifiers>
          <isin value="US12639PAA66"/>
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        <balance>1493881.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1273741.220000</valUSD>
        <pctVal>0.0849476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.4205</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A</title>
        <cusip>12651DAG3</cusip>
        <identifiers>
          <isin value="US12651DAG34"/>
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        <balance>5800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5029881.220000</valUSD>
        <pctVal>0.3354500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-30</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>
        <name>CSN RESOURCES SA</name>
        <lei>222100ZEX458NMOXZP08</lei>
        <title>CSN RESOURCES SA COMPANY GUAR 144A 02/23 7.625</title>
        <cusip>12644VAB4</cusip>
        <identifiers>
          <isin value="US12644VAB45"/>
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        <balance>450000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>419062.500000</valUSD>
        <pctVal>0.0279479</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-13</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>
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      <invstOrSec>
        <name>DAIMLER FINANCE NORTH AMERICA LLC</name>
        <lei>549300423Z16BB673J12</lei>
        <title>DAIMLER FINANCE NA LLC COMPANY GUAR 144A 02/22 VAR</title>
        <cusip>233851DV3</cusip>
        <identifiers>
          <isin value="US233851DV31"/>
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        <balance>2700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2668580.690000</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>2022-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.29238</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>DANONE SA</name>
        <lei>969500KMUQ2B6CBAF162</lei>
        <title>DANONE SA SR UNSECURED 144A 11/21 2.077</title>
        <cusip>23636TAC4</cusip>
        <identifiers>
          <isin value="US23636TAC45"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203612.490000</valUSD>
        <pctVal>0.0135792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.077</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>DANSKE BANK A/S</name>
        <lei>MAES062Z21O4RZ2U7M96</lei>
        <title>DANSKE BANK A/S SR UNSECURED 144A 09/23 VAR</title>
        <cusip>23636AAQ4</cusip>
        <identifiers>
          <isin value="US23636AAQ40"/>
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        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2259644.360000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.37838</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>DELL INTERNATIONAL LLC / EMC CORP</name>
        <lei>N/A</lei>
        <title>DELL INT LLC / EMC CORP SR SECURED 144A 06/21 4.42</title>
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        <identifiers>
          <isin value="US25272KAD54"/>
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        <balance>5800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5962114.060000</valUSD>
        <pctVal>0.3976219</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES INC 2007-AR1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A4</title>
        <cusip>25151RAF1</cusip>
        <identifiers>
          <isin value="US25151RAF10"/>
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        <balance>839012.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>831851.470000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.32825</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>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 09/21 VAR</title>
        <cusip>ACI09BFL9</cusip>
        <identifiers>
          <isin value="DE000DB7XJC7"/>
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        <balance>800000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>888493.120000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.285</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>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"/>
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        <balance>2300000.000000</balance>
        <units>PA</units>
        <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>2020-12-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.148</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 02/23 VAR</title>
        <cusip>251526BS7</cusip>
        <identifiers>
          <isin value="US251526BS76"/>
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        <balance>7600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7310171.800000</valUSD>
        <pctVal>0.4875258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.59925</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>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 10/21 4.25</title>
        <cusip>251526BX6</cusip>
        <identifiers>
          <isin value="US251526BX61"/>
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        <balance>6200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6364883.420000</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>2021-10-14</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>
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      <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"/>
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        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2310299.490000</valUSD>
        <pctVal>0.1540772</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>459927.160000</valUSD>
        <pctVal>0.0306732</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>
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      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2004-AR1</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>EGCLO 2018-1A</name>
        <lei>N/A</lei>
        <title>EVANS GROVE CLO LTD EGCLO 2018 1A A1 144A</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>EMERALD BAY SA</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>LU</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
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      <invstOrSec>
        <name>ENTERPRISE PRODUCTS OPERATING LLC</name>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>EQUITABLE HOLDINGS INC</name>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FAIRFAX FINANCIAL HOLDINGS LIMITED</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FAIRSTONE FINANCIAL INC</name>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2007-63</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 63 FC</title>
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        <identifiers>
          <isin value="US31396WTU08"/>
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        <balance>29777.090000</balance>
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        <curCd>USD</curCd>
        <valUSD>29692.410000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FANNIE MAE 2007-65</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 65 KF</title>
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        <identifiers>
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        <curCd>USD</curCd>
        <valUSD>51751.000000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <name>FANNIE MAE 2007-96</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>FANNIE MAE-2005-75</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 75 AF</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <name>FDIC STRUCTURED SALE GUARANTEED NOTES 2010-S2</name>
        <lei>N/A</lei>
        <title>FDIC STRUCTURED SALE GUARANTEE SSGN 2010 S2 1A 144A</title>
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        <issuerCat>USGA</issuerCat>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A20041 FG 03/34 FIXED 5</title>
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        <name>FHLMC PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3128MJLD06"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
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        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q49387 FG 07/47 FIXED 4</title>
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        <issuerCat>USGSE</issuerCat>
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        <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>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q51777 FG 10/47 FIXED 4</title>
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          <isin value="US3132XT6P84"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q63559 FG 05/49 FIXED 3.5</title>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD0251 FR 06/49 FIXED 4</title>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FIRST HORIZON MTGE PASS-THRU TR 2005-AR4</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FNMA PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
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          <couponKind>Fixed</couponKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255094 FN 12/23 FIXED 4.5</title>
        <cusip>31371LKF5</cusip>
        <identifiers>
          <isin value="US31371LKF57"/>
        </identifiers>
        <balance>39503.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42377.070000</valUSD>
        <pctVal>0.0028262</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255893 FN 09/25 FIXED 5.5</title>
        <cusip>31371MGA9</cusip>
        <identifiers>
          <isin value="US31371MGA99"/>
        </identifiers>
        <balance>714.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>786.630000</valUSD>
        <pctVal>0.0000525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255935 FN 11/25 FIXED 5</title>
        <cusip>31371MHL4</cusip>
        <identifiers>
          <isin value="US31371MHL46"/>
        </identifiers>
        <balance>3413.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3729.210000</valUSD>
        <pctVal>0.0002487</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256041 FN 12/25 FIXED 5.5</title>
        <cusip>31371MLW5</cusip>
        <identifiers>
          <isin value="US31371MLW54"/>
        </identifiers>
        <balance>45306.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49861.680000</valUSD>
        <pctVal>0.0033253</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256125 FN 01/26 FIXED 5</title>
        <cusip>31371MPJ0</cusip>
        <identifiers>
          <isin value="US31371MPJ08"/>
        </identifiers>
        <balance>22009.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24015.650000</valUSD>
        <pctVal>0.0016016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256153 FN 03/26 FIXED 5.5</title>
        <cusip>31371MQE0</cusip>
        <identifiers>
          <isin value="US31371MQE02"/>
        </identifiers>
        <balance>17148.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18874.460000</valUSD>
        <pctVal>0.0012588</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256212 FN 04/26 FIXED 5</title>
        <cusip>31371MR90</cusip>
        <identifiers>
          <isin value="US31371MR908"/>
        </identifiers>
        <balance>153602.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>168400.020000</valUSD>
        <pctVal>0.0112308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256232 FN 05/36 FIXED 5.5</title>
        <cusip>31371MSV0</cusip>
        <identifiers>
          <isin value="US31371MSV09"/>
        </identifiers>
        <balance>2393.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2748.080000</valUSD>
        <pctVal>0.0001833</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256599 FN 02/27 FIXED 5</title>
        <cusip>31371M7L5</cusip>
        <identifiers>
          <isin value="US31371M7L51"/>
        </identifiers>
        <balance>8815.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9618.940000</valUSD>
        <pctVal>0.0006415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256713 FN 05/27 FIXED 5</title>
        <cusip>31371NDS1</cusip>
        <identifiers>
          <isin value="US31371NDS18"/>
        </identifiers>
        <balance>82006.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89484.260000</valUSD>
        <pctVal>0.0059678</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256885 FN 09/27 FIXED 6</title>
        <cusip>31371NJ63</cusip>
        <identifiers>
          <isin value="US31371NJ630"/>
        </identifiers>
        <balance>82662.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92023.610000</valUSD>
        <pctVal>0.0061372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256962 FN 11/27 FIXED 6</title>
        <cusip>31371NMK8</cusip>
        <identifiers>
          <isin value="US31371NMK80"/>
        </identifiers>
        <balance>17810.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19827.850000</valUSD>
        <pctVal>0.0013223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257057 FN 01/28 FIXED 5</title>
        <cusip>31371NQJ7</cusip>
        <identifiers>
          <isin value="US31371NQJ71"/>
        </identifiers>
        <balance>5765.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6290.570000</valUSD>
        <pctVal>0.0004195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257132 FN 03/28 FIXED 5</title>
        <cusip>31371NSV8</cusip>
        <identifiers>
          <isin value="US31371NSV81"/>
        </identifiers>
        <balance>61700.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67315.040000</valUSD>
        <pctVal>0.0044893</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257163 FN 04/28 FIXED 5</title>
        <cusip>31371NTU9</cusip>
        <identifiers>
          <isin value="US31371NTU99"/>
        </identifiers>
        <balance>1683.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1836.350000</valUSD>
        <pctVal>0.0001225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257202 FN 04/28 FIXED 4.5</title>
        <cusip>31371NU37</cusip>
        <identifiers>
          <isin value="US31371NU371"/>
        </identifiers>
        <balance>7496.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8054.300000</valUSD>
        <pctVal>0.0005372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257372 FN 09/28 FIXED 6</title>
        <cusip>31371N2D6</cusip>
        <identifiers>
          <isin value="US31371N2D62"/>
        </identifiers>
        <balance>27617.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30748.660000</valUSD>
        <pctVal>0.0020507</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257499 FN 12/28 FIXED 5.5</title>
        <cusip>31371N7L3</cusip>
        <identifiers>
          <isin value="US31371N7L34"/>
        </identifiers>
        <balance>13470.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14832.420000</valUSD>
        <pctVal>0.0009892</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2028-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <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 310122 FN 06/28 FIXED VAR</title>
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        <identifiers>
          <isin value="US31374CPF76"/>
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        <balance>10184.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11120.090000</valUSD>
        <pctVal>0.0007416</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 357872 FN 07/25 FIXED 5</title>
        <cusip>31376KQZ2</cusip>
        <identifiers>
          <isin value="US31376KQZ20"/>
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        <balance>2589.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2824.780000</valUSD>
        <pctVal>0.0001884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-01</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 357929 FN 08/25 FIXED 5</title>
        <cusip>31376KSS6</cusip>
        <identifiers>
          <isin value="US31376KSS68"/>
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        <balance>9298.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10146.880000</valUSD>
        <pctVal>0.0006767</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 615318 FN 11/21 FIXED 6</title>
        <cusip>31388USF8</cusip>
        <identifiers>
          <isin value="US31388USF83"/>
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        <balance>19501.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21675.260000</valUSD>
        <pctVal>0.0014456</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 672509 FN 12/32 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31391PDN33"/>
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        <balance>77741.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89029.250000</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>2032-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 675654 FN 02/33 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31391STK68"/>
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        <balance>44329.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50824.630000</valUSD>
        <pctVal>0.0033896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 678814 FN 02/33 FIXED 5.5</title>
        <cusip>31391WDT5</cusip>
        <identifiers>
          <isin value="US31391WDT53"/>
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        <balance>25009.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28364.320000</valUSD>
        <pctVal>0.0018917</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 686601 FN 03/33 FIXED 5.5</title>
        <cusip>31400FX69</cusip>
        <identifiers>
          <isin value="US31400FX691"/>
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        <balance>61145.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67688.920000</valUSD>
        <pctVal>0.0045143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 695570 FN 03/33 FIXED 5.5</title>
        <cusip>31400RW72</cusip>
        <identifiers>
          <isin value="US31400RW722"/>
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        <balance>10302.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11342.560000</valUSD>
        <pctVal>0.0007565</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 698068 FN 04/33 FIXED 5.5</title>
        <cusip>31400UQV9</cusip>
        <identifiers>
          <isin value="US31400UQV97"/>
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        <balance>22570.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24861.840000</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>2033-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 704265 FN 05/33 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31401CMN01"/>
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        <balance>69290.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78749.680000</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>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 731046 FN 10/23 FIXED 5</title>
        <cusip>31402KET7</cusip>
        <identifiers>
          <isin value="US31402KET79"/>
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        <balance>14009.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15290.520000</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>
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          <couponKind>Fixed</couponKind>
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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 734844 FN 08/33 FIXED 5.5</title>
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          <isin value="US31402QLZ27"/>
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        <balance>16189.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <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>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745418 FN 04/36 FIXED VAR</title>
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        <identifiers>
          <isin value="US31403DDX49"/>
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        <balance>12940.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14883.040000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <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 745946 FN 11/36 FIXED VAR</title>
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        <identifiers>
          <isin value="US31403DWF22"/>
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        <balance>12086.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13899.420000</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>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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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 753026 FN 11/33 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31403MSP58"/>
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        <balance>7240.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7965.910000</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>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 755040 FN 07/23 FIXED 5</title>
        <cusip>31403QZD5</cusip>
        <identifiers>
          <isin value="US31403QZD59"/>
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        <balance>4263.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4654.240000</valUSD>
        <pctVal>0.0003104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 763688 FN 01/34 FIXED 5.5</title>
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          <isin value="US31404BND00"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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          <couponKind>Fixed</couponKind>
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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 829125 FN 10/35 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31407FD649"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11620.260000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 835168 FN 08/35 FIXED 5.5</title>
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          <isin value="US31407MZ994"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</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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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 849299 FN 01/36 FIXED 5.5</title>
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          <isin value="US31408ERU81"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</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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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 871332 FN 05/36 FIXED 5.5</title>
        <cusip>31409HA95</cusip>
        <identifiers>
          <isin value="US31409HA951"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37554.560000</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>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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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 872001 FN 04/36 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31409HX664"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 880123 FN 04/36 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31409VYU15"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 880353 FN 01/36 FIXED 5.5</title>
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          <isin value="US31409WBW01"/>
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        <curCd>USD</curCd>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31410FCT03"/>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888129 FN 02/37 FIXED VAR</title>
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          <isin value="US31410FVW21"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888131 FN 02/37 FIXED VAR</title>
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          <isin value="US31410FVY86"/>
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          <couponKind>Fixed</couponKind>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888227 FN 11/25 FIXED VAR</title>
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          <isin value="US31410FYY59"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888638 FN 09/37 FIXED VAR</title>
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          <isin value="US31410GHP19"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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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 889039 FN 08/37 FIXED VAR</title>
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          <isin value="US31410GV833"/>
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        <balance>5414.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6230.100000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</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>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889299 FN 04/38 FIXED VAR</title>
        <cusip>31410G7L1</cusip>
        <identifiers>
          <isin value="US31410G7L18"/>
        </identifiers>
        <balance>68000.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79173.750000</valUSD>
        <pctVal>0.0052802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889633 FN 08/37 FIXED VAR</title>
        <cusip>31410KLN2</cusip>
        <identifiers>
          <isin value="US31410KLN27"/>
        </identifiers>
        <balance>78748.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90572.200000</valUSD>
        <pctVal>0.0060404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889692 FN 05/38 FIXED VAR</title>
        <cusip>31410KNH3</cusip>
        <identifiers>
          <isin value="US31410KNH31"/>
        </identifiers>
        <balance>3159.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3630.330000</valUSD>
        <pctVal>0.0002421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889982 FN 11/38 FIXED VAR</title>
        <cusip>31410KXK5</cusip>
        <identifiers>
          <isin value="US31410KXK59"/>
        </identifiers>
        <balance>37315.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42867.160000</valUSD>
        <pctVal>0.0028589</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 890346 FN 12/35 FIXED VAR</title>
        <cusip>31410LET5</cusip>
        <identifiers>
          <isin value="US31410LET52"/>
        </identifiers>
        <balance>32073.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36824.000000</valUSD>
        <pctVal>0.0024558</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 890529 FN 09/41 FIXED VAR</title>
        <cusip>31410LLJ9</cusip>
        <identifiers>
          <isin value="US31410LLJ97"/>
        </identifiers>
        <balance>507372.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>582970.980000</valUSD>
        <pctVal>0.0388792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 905712 FN 12/36 FIXED 5.5</title>
        <cusip>31411EGV3</cusip>
        <identifiers>
          <isin value="US31411EGV39"/>
        </identifiers>
        <balance>8085.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8895.730000</valUSD>
        <pctVal>0.0005933</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 906269 FN 01/37 FIXED 5.5</title>
        <cusip>31411E2A4</cusip>
        <identifiers>
          <isin value="US31411E2A43"/>
        </identifiers>
        <balance>61743.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70705.130000</valUSD>
        <pctVal>0.0047154</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 914567 FN 04/37 FIXED 5.5</title>
        <cusip>31411UCC3</cusip>
        <identifiers>
          <isin value="US31411UCC36"/>
        </identifiers>
        <balance>49105.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55199.140000</valUSD>
        <pctVal>0.0036813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 918015 FN 05/37 FIXED 5.5</title>
        <cusip>31411X3Y9</cusip>
        <identifiers>
          <isin value="US31411X3Y93"/>
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        <balance>25980.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28584.830000</valUSD>
        <pctVal>0.0019064</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 918503 FN 06/37 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31411YNU37"/>
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        <balance>43585.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50041.210000</valUSD>
        <pctVal>0.0033373</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 920078 FN 12/36 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31412BFT44"/>
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        <balance>4858.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5461.460000</valUSD>
        <pctVal>0.0003642</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 930498 FN 02/29 FIXED 5</title>
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        <identifiers>
          <isin value="US31412NX351"/>
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        <balance>61284.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67094.430000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 942125 FN 07/37 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31413DD618"/>
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        <balance>58528.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67068.560000</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>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 967740 FN 07/37 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31414JS538"/>
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        <balance>11109.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12727.470000</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>2037-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 983496 FN 07/35 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31415LRR05"/>
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        <balance>27207.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31207.140000</valUSD>
        <pctVal>0.0020812</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 985001 FN 08/38 FIXED 6</title>
        <cusip>31415PGJ1</cusip>
        <identifiers>
          <isin value="US31415PGJ12"/>
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        <balance>83212.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>93180.790000</valUSD>
        <pctVal>0.0062144</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 985616 FN 04/34 FIXED 5.5</title>
        <cusip>31415P3Z9</cusip>
        <identifiers>
          <isin value="US31415P3Z99"/>
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        <balance>125309.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142922.950000</valUSD>
        <pctVal>0.0095317</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 986249 FN 07/38 FIXED 5.5</title>
        <cusip>31415QTE6</cusip>
        <identifiers>
          <isin value="US31415QTE60"/>
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        <balance>32616.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36531.820000</valUSD>
        <pctVal>0.0024364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 986956 FN 07/38 FIXED 5.5</title>
        <cusip>31415RMD3</cusip>
        <identifiers>
          <isin value="US31415RMD34"/>
        </identifiers>
        <balance>198150.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218047.350000</valUSD>
        <pctVal>0.0145419</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995018 FN 06/38 FIXED VAR</title>
        <cusip>31416BK72</cusip>
        <identifiers>
          <isin value="US31416BK727"/>
        </identifiers>
        <balance>57755.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66339.950000</valUSD>
        <pctVal>0.0044243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995482 FN 01/39 FIXED VAR</title>
        <cusip>31416B2P2</cusip>
        <identifiers>
          <isin value="US31416B2P25"/>
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        <balance>106428.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>122354.310000</valUSD>
        <pctVal>0.0081600</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA1325 FN 11/32 FIXED 6</title>
        <cusip>31416JPK1</cusip>
        <identifiers>
          <isin value="US31416JPK15"/>
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        <balance>35131.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39107.730000</valUSD>
        <pctVal>0.0026082</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA7538 FN 05/39 FIXED 5.5</title>
        <cusip>31416RLU5</cusip>
        <identifiers>
          <isin value="US31416RLU58"/>
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        <balance>20383.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22426.540000</valUSD>
        <pctVal>0.0014957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB0196 FN 02/39 FIXED 5.5</title>
        <cusip>31416VGE8</cusip>
        <identifiers>
          <isin value="US31416VGE83"/>
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        <balance>8751.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10054.350000</valUSD>
        <pctVal>0.0006705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB1129 FN 06/30 FIXED 4.5</title>
        <cusip>31416WHF2</cusip>
        <identifiers>
          <isin value="US31416WHF23"/>
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        <balance>316831.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>344823.380000</valUSD>
        <pctVal>0.0229968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB2803 FN 04/26 FIXED 4</title>
        <cusip>31416YDH8</cusip>
        <identifiers>
          <isin value="US31416YDH80"/>
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        <balance>29436.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31234.560000</valUSD>
        <pctVal>0.0020831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</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 AB5124 FN 05/42 FIXED 4</title>
        <cusip>31417BVS3</cusip>
        <identifiers>
          <isin value="US31417BVS32"/>
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        <balance>102940.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113130.940000</valUSD>
        <pctVal>0.0075449</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-01</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 AB8152 FN 02/38 FIXED 5.5</title>
        <cusip>31417FBW7</cusip>
        <identifiers>
          <isin value="US31417FBW77"/>
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        <balance>329963.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>379588.940000</valUSD>
        <pctVal>0.0253153</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 AC0837 FN 02/25 FIXED 4</title>
        <cusip>31417J4X5</cusip>
        <identifiers>
          <isin value="US31417J4X57"/>
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        <balance>55505.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58770.070000</valUSD>
        <pctVal>0.0039195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-01</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 AC8540 FN 12/24 FIXED 4.5</title>
        <cusip>31417VP23</cusip>
        <identifiers>
          <isin value="US31417VP235"/>
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        <balance>13833.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14767.040000</valUSD>
        <pctVal>0.0009848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</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 AC8711 FN 12/24 FIXED 4</title>
        <cusip>31417VVD2</cusip>
        <identifiers>
          <isin value="US31417VVD27"/>
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        <balance>6176.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6540.020000</valUSD>
        <pctVal>0.0004362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-01</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 AD0198 FN 09/38 FIXED VAR</title>
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        <identifiers>
          <isin value="US31418MGG15"/>
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        <balance>14977.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17229.770000</valUSD>
        <pctVal>0.0011491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <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>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0267 FN 08/25 FIXED VAR</title>
        <cusip>31418MJM5</cusip>
        <identifiers>
          <isin value="US31418MJM55"/>
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        <balance>3352.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3659.090000</valUSD>
        <pctVal>0.0002440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0915 FN 12/38 FIXED VAR</title>
        <cusip>31418NAR1</cusip>
        <identifiers>
          <isin value="US31418NAR17"/>
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        <balance>179147.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205506.100000</valUSD>
        <pctVal>0.0137055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD2132 FN 04/25 FIXED 4.5</title>
        <cusip>31418PLN3</cusip>
        <identifiers>
          <isin value="US31418PLN32"/>
        </identifiers>
        <balance>42034.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44802.560000</valUSD>
        <pctVal>0.0029879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD5089 FN 09/25 FIXED 4</title>
        <cusip>31418SUP2</cusip>
        <identifiers>
          <isin value="US31418SUP28"/>
        </identifiers>
        <balance>55981.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59277.090000</valUSD>
        <pctVal>0.0039533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-01</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 AD5988 FN 05/25 FIXED 4.5</title>
        <cusip>31418TUN5</cusip>
        <identifiers>
          <isin value="US31418TUN52"/>
        </identifiers>
        <balance>5114.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5460.110000</valUSD>
        <pctVal>0.0003641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD9700 FN 08/25 FIXED 4</title>
        <cusip>31418XX60</cusip>
        <identifiers>
          <isin value="US31418XX605"/>
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        <balance>13151.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13923.830000</valUSD>
        <pctVal>0.0009286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</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 AE1818 FN 10/25 FIXED 4</title>
        <cusip>31419CAU7</cusip>
        <identifiers>
          <isin value="US31419CAU71"/>
        </identifiers>
        <balance>81959.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86768.320000</valUSD>
        <pctVal>0.0057867</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-01</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 AH1909 FN 04/26 FIXED 4</title>
        <cusip>3138A3DP9</cusip>
        <identifiers>
          <isin value="US3138A3DP96"/>
        </identifiers>
        <balance>63706.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67438.450000</valUSD>
        <pctVal>0.0044976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</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 AH5050 FN 03/26 FIXED 4</title>
        <cusip>3138A6TG5</cusip>
        <identifiers>
          <isin value="US3138A6TG54"/>
        </identifiers>
        <balance>99661.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105760.970000</valUSD>
        <pctVal>0.0070533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</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 AH8654 FN 04/26 FIXED 4</title>
        <cusip>3138AATL5</cusip>
        <identifiers>
          <isin value="US3138AATL58"/>
        </identifiers>
        <balance>35364.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37517.770000</valUSD>
        <pctVal>0.0025021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</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 AI5403 FN 04/26 FIXED 4.5</title>
        <cusip>3138AKAD1</cusip>
        <identifiers>
          <isin value="US3138AKAD16"/>
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        <balance>54082.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57435.210000</valUSD>
        <pctVal>0.0038304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</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 AJ1445 FN 09/26 FIXED 4</title>
        <cusip>3138ASTB8</cusip>
        <identifiers>
          <isin value="US3138ASTB84"/>
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        <balance>38438.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>40802.290000</valUSD>
        <pctVal>0.0027212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-01</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 AK6972 FN 03/27 FIXED 3.5</title>
        <cusip>3138EBXA8</cusip>
        <identifiers>
          <isin value="US3138EBXA84"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26957.350000</valUSD>
        <pctVal>0.0017978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-03-01</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 AL0413 FN 06/40 FIXED VAR</title>
        <cusip>3138EGN75</cusip>
        <identifiers>
          <isin value="US3138EGN754"/>
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        <balance>5975.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6610.470000</valUSD>
        <pctVal>0.0004409</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-01</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>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0520 FN 07/41 FIXED VAR</title>
        <cusip>3138EGSJ4</cusip>
        <identifiers>
          <isin value="US3138EGSJ46"/>
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        <balance>2940953.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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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>2041-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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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 AL0576 FN 09/21 FIXED VAR</title>
        <cusip>3138EGUA0</cusip>
        <identifiers>
          <isin value="US3138EGUA09"/>
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        <balance>677941.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>712556.610000</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>2021-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</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>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0848 FN 09/26 FIXED VAR</title>
        <cusip>3138EG5J9</cusip>
        <identifiers>
          <isin value="US3138EG5J95"/>
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        <balance>97743.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0869 FN 06/29 FIXED VAR</title>
        <cusip>3138EG6F6</cusip>
        <identifiers>
          <isin value="US3138EG6F64"/>
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        <balance>219845.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>236757.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL1598 FN 03/22 VARIABLE</title>
        <cusip>3138EHX49</cusip>
        <identifiers>
          <isin value="US3138EHX496"/>
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        <balance>6324346.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6365052.880000</valUSD>
        <pctVal>0.4244945</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.43</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 AL2617 FN 10/40 FIXED VAR</title>
        <cusip>3138EJ4B1</cusip>
        <identifiers>
          <isin value="US3138EJ4B15"/>
        </identifiers>
        <balance>112864.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>131828.790000</valUSD>
        <pctVal>0.0087919</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2688 FN 10/40 FIXED VAR</title>
        <cusip>3138EJ7A0</cusip>
        <identifiers>
          <isin value="US3138EJ7A05"/>
        </identifiers>
        <balance>163933.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191479.550000</valUSD>
        <pctVal>0.0127700</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3223 FN 09/41 FIXED VAR</title>
        <cusip>3138EKSM8</cusip>
        <identifiers>
          <isin value="US3138EKSM86"/>
        </identifiers>
        <balance>39449.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45306.660000</valUSD>
        <pctVal>0.0030216</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3671 FN 05/41 FIXED VAR</title>
        <cusip>3138ELCH4</cusip>
        <identifiers>
          <isin value="US3138ELCH49"/>
        </identifiers>
        <balance>942186.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1100469.560000</valUSD>
        <pctVal>0.0733919</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3681 FN 10/40 FIXED VAR</title>
        <cusip>3138ELCT8</cusip>
        <identifiers>
          <isin value="US3138ELCT86"/>
        </identifiers>
        <balance>6579872.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7685507.240000</valUSD>
        <pctVal>0.5125574</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AM0359 FN 08/22 FIXED 2.31</title>
        <cusip>3138L0MH1</cusip>
        <identifiers>
          <isin value="US3138L0MH12"/>
        </identifiers>
        <balance>393418.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>404288.610000</valUSD>
        <pctVal>0.0269626</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.31</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 AM0414 FN 09/27 FIXED 2.87</title>
        <cusip>3138L0N80</cusip>
        <identifiers>
          <isin value="US3138L0N800"/>
        </identifiers>
        <balance>3022000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3373194.540000</valUSD>
        <pctVal>0.2249632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.87</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AO3552 FN 06/42 FIXED 4</title>
        <cusip>3138LT5N4</cusip>
        <identifiers>
          <isin value="US3138LT5N48"/>
        </identifiers>
        <balance>107731.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118398.390000</valUSD>
        <pctVal>0.0078962</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-01</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 AP3322 FN 09/42 FIXED 4</title>
        <cusip>3138M6VQ7</cusip>
        <identifiers>
          <isin value="US3138M6VQ79"/>
        </identifiers>
        <balance>76876.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84042.210000</valUSD>
        <pctVal>0.0056049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-01</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 AP5889 FN 09/42 FIXED 4</title>
        <cusip>3138M9RK9</cusip>
        <identifiers>
          <isin value="US3138M9RK94"/>
        </identifiers>
        <balance>157064.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172614.240000</valUSD>
        <pctVal>0.0115119</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-01</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 AS9973 FN 07/47 FIXED 4</title>
        <cusip>3138WLCK7</cusip>
        <identifiers>
          <isin value="US3138WLCK75"/>
        </identifiers>
        <balance>236552.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>251120.720000</valUSD>
        <pctVal>0.0167476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-01</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 AT0319 FN 04/43 FIXED 4</title>
        <cusip>3138WMK91</cusip>
        <identifiers>
          <isin value="US3138WMK917"/>
        </identifiers>
        <balance>97225.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106077.200000</valUSD>
        <pctVal>0.0070744</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-01</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 AT2097 FN 04/43 FIXED 4</title>
        <cusip>3138WPKK9</cusip>
        <identifiers>
          <isin value="US3138WPKK97"/>
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        <balance>98978.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108751.920000</valUSD>
        <pctVal>0.0072528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-04-01</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 BH2087 FN 05/47 FIXED 4</title>
        <cusip>3140GQJ98</cusip>
        <identifiers>
          <isin value="US3140GQJ984"/>
        </identifiers>
        <balance>262090.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>278923.270000</valUSD>
        <pctVal>0.0186018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-01</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 BH2597 FN 08/47 FIXED 4</title>
        <cusip>3140GQ3F1</cusip>
        <identifiers>
          <isin value="US3140GQ3F18"/>
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        <balance>502296.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>534914.590000</valUSD>
        <pctVal>0.0356742</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-01</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 BH4053 FN 10/47 FIXED 4</title>
        <cusip>3140GSQF2</cusip>
        <identifiers>
          <isin value="US3140GSQF26"/>
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        <balance>3145921.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3353745.340000</valUSD>
        <pctVal>0.2236661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-01</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 BH6574 FN 08/47 FIXED 4</title>
        <cusip>3140GVJU0</cusip>
        <identifiers>
          <isin value="US3140GVJU05"/>
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        <balance>141169.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150101.540000</valUSD>
        <pctVal>0.0100105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-01</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 BJ1850 FN 11/47 FIXED 4</title>
        <cusip>3140H3BU9</cusip>
        <identifiers>
          <isin value="US3140H3BU92"/>
        </identifiers>
        <balance>166198.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176603.050000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2047-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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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 BJ9920 FN 03/48 FIXED 4</title>
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          <isin value="US3140HCAW61"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2016131.310000</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>2048-03-01</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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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ9921 FN 03/48 FIXED 4</title>
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          <isin value="US3140HCAX45"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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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>2048-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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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 BK3266 FN 04/48 FIXED 4</title>
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          <isin value="US3140HGTY31"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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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>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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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 BM2003 FN 10/47 FIXED VAR</title>
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          <isin value="US3140J6GM33"/>
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        <balance>9535508.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</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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          <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 BM2007 FN 09/48 FIXED VAR</title>
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          <isin value="US3140J6GR20"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
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          <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 CA0133 FN 08/47 FIXED 4</title>
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          <isin value="US3140Q7EF04"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-01</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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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA1057 FN 01/48 FIXED 4</title>
        <cusip>3140Q8E76</cusip>
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          <isin value="US3140Q8E761"/>
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        <curCd>USD</curCd>
        <valUSD>201469.330000</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>
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        <securityLending>
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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 CA3084 FN 02/49 FIXED 4</title>
        <cusip>3140QANA4</cusip>
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          <isin value="US3140QANA48"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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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>2049-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
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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 FM1068 04/48 4</title>
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          <isin value="US3140X4FJ08"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2048-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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        <securityLending>
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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 MA0022 FN 04/29 FIXED 4.5</title>
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          <isin value="US31417YAY32"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31417YDA29"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0268 FN 12/29 FIXED 5</title>
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          <isin value="US31417YJN85"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0383 FN 04/30 FIXED 4.5</title>
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          <isin value="US31417YM954"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0765 FN 06/26 FIXED 4</title>
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          <isin value="US31417YZ758"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0833 FN 08/21 FIXED 3</title>
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          <isin value="US31417Y4T11"/>
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        <issuerCat>USGSE</issuerCat>
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          <maturityDt>2021-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0865 FN 10/21 FIXED 3</title>
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          <isin value="US31417Y6B84"/>
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        <balance>42950.110000</balance>
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        <curCd>USD</curCd>
        <valUSD>45143.080000</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>2021-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 01/21 VAR</title>
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          <isin value="US345397ZL06"/>
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        <balance>1400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1379212.420000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 08/20 3.157</title>
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          <isin value="US345397XK41"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 08/22 VAR</title>
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          <isin value="US345397YP29"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 09/20 VAR</title>
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          <isin value="US34540RAC07"/>
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        <curCd>USD</curCd>
        <valUSD>4265702.640000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 12/22 VAR</title>
        <cusip>ACI10JHM5</cusip>
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          <isin value="XS1767930826"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.068</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 3355</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3355 BF</title>
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        <identifiers>
          <isin value="US31397KC909"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.88475</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FREDDIE MAC 3360</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3360 FC</title>
        <cusip>31397KE31</cusip>
        <identifiers>
          <isin value="US31397KE319"/>
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        <curCd>USD</curCd>
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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>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.90475</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC 3368</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3368 AF</title>
        <cusip>31397KL82</cusip>
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          <isin value="US31397KL827"/>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.90475</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>FREDDIE MAC REMICS 3376</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3376 FD</title>
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        <balance>46794.560000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</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>FREDDIE MAC-3891</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3891 BF</title>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>FREMONT HOME LOAN TRUST 2006-C</name>
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          <isin value="US35729TAA07"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>FREMONT HOME LOAN TRUST 2006-E</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GENERAL MOTORS COMPANY</name>
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        <title>GENERAL MOTORS CO SR UNSECURED 08/20 VAR</title>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GLS AUTO RECEIVABLES TRUST 2019-1A</name>
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        <title>GLS AUTO RECEIVABLES TRUST GCAR 2019 1A A 144A</title>
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        <name>PIMCO FUNDS</name>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 5 JUMBOS</title>
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        <fairValLevel>2</fairValLevel>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 604550 GN 08/33 FIXED 5</title>
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          <isin value="US36200MTF04"/>
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        <balance>48898.440000</balance>
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        <curCd>USD</curCd>
        <valUSD>54987.540000</valUSD>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

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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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>16203.490000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US36296GRH64"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120644.600000</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>2038-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US36296JEM36"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107491.480000</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>
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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>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US36296QH516"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697914 GN 03/39 FIXED 5</title>
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          <isin value="US36296QK320"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698026 GN 01/39 FIXED 5</title>
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        <identifiers>
          <isin value="US36296QPK93"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31842.170000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698342 GN 05/39 FIXED 5</title>
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          <isin value="US36296QZF98"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1748646.720000</valUSD>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 701351 GN 02/39 FIXED 5</title>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

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          <maturityDt>2039-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>31006.580000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <maturityDt>2039-09-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33633.190000</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>2039-10-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 745045 GN 11/39 FIXED 5</title>
        <cusip>3620C0WE4</cusip>
        <identifiers>
          <isin value="US3620C0WE43"/>
        </identifiers>
        <balance>14443.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15980.750000</valUSD>
        <pctVal>0.0010658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 747724 GN 08/40 FIXED 5</title>
        <cusip>3620C3VR0</cusip>
        <identifiers>
          <isin value="US3620C3VR04"/>
        </identifiers>
        <balance>173073.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>189534.910000</valUSD>
        <pctVal>0.0126404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 748501 GN 06/40 FIXED 5</title>
        <cusip>3620C4RW2</cusip>
        <identifiers>
          <isin value="US3620C4RW28"/>
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        <balance>53752.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58864.470000</valUSD>
        <pctVal>0.0039258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 760397 GN 11/41 FIXED 5</title>
        <cusip>36176ARS0</cusip>
        <identifiers>
          <isin value="US36176ARS05"/>
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        <balance>48602.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53227.530000</valUSD>
        <pctVal>0.0035498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 771658 GN 04/42 FIXED 5</title>
        <cusip>36176PB39</cusip>
        <identifiers>
          <isin value="US36176PB390"/>
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        <balance>8091.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8861.330000</valUSD>
        <pctVal>0.0005910</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-04-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782387 GN 08/38 FIXED 5</title>
        <cusip>36241KUL0</cusip>
        <identifiers>
          <isin value="US36241KUL06"/>
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        <balance>53152.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60809.350000</valUSD>
        <pctVal>0.0040555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782468 GN 11/38 FIXED 5</title>
        <cusip>36241KW53</cusip>
        <identifiers>
          <isin value="US36241KW530"/>
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        <balance>172693.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>195918.530000</valUSD>
        <pctVal>0.0130661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782562 GN 02/39 FIXED 5</title>
        <cusip>36241KZ35</cusip>
        <identifiers>
          <isin value="US36241KZ350"/>
        </identifiers>
        <balance>1779736.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2036339.780000</valUSD>
        <pctVal>0.1358064</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782958 GN 05/40 FIXED 5</title>
        <cusip>36241LJB3</cusip>
        <identifiers>
          <isin value="US36241LJB36"/>
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        <balance>23185.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26494.100000</valUSD>
        <pctVal>0.0017669</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783314 GN 12/40 FIXED 5</title>
        <cusip>36241LVF0</cusip>
        <identifiers>
          <isin value="US36241LVF02"/>
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        <balance>41344.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47274.840000</valUSD>
        <pctVal>0.0031528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AL5265 GN 02/45 FIXED 3.5</title>
        <cusip>36184BZ67</cusip>
        <identifiers>
          <isin value="US36184BZ674"/>
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        <balance>145050.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153814.220000</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>2045-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <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>GOLDMAN SACHS GROUP INC</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>GOLDMAN SACHS GROUP INC SR UNSECURED 11/21 VAR</title>
        <cusip>38145GAF7</cusip>
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          <isin value="US38145GAF72"/>
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        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2808465.210000</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>2021-11-15</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WF</title>
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          <isin value="US38380VEU17"/>
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        <balance>1743622.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1731660.370000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.52263</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-7</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 7 AF2</title>
        <cusip>362334NB6</cusip>
        <identifiers>
          <isin value="US362334NB60"/>
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        <balance>8018668.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4608464.390000</valUSD>
        <pctVal>0.3073451</pctVal>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2007-4</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2007 4 A2</title>
        <cusip>3622EBAB4</cusip>
        <identifiers>
          <isin value="US3622EBAB42"/>
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        <curCd>USD</curCd>
        <valUSD>2991976.220000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-HE8</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 HE8 A2D</title>
        <cusip>3622M8AE6</cusip>
        <identifiers>
          <isin value="US3622M8AE61"/>
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        <balance>3800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2990475.740000</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>0.39825</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 2007-NC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 NC1 A1</title>
        <cusip>3622MGAA6</cusip>
        <identifiers>
          <isin value="US3622MGAA63"/>
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        <balance>6945341.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4108459.140000</valUSD>
        <pctVal>0.2739990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.29825</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSPA MONETIZATION TRUST</name>
        <lei>N/A</lei>
        <title>GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422</title>
        <cusip>36298GAA7</cusip>
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          <isin value="US36298GAA76"/>
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        <curCd>USD</curCd>
        <valUSD>962610.090000</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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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR6</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1</title>
        <cusip>362341RT8</cusip>
        <identifiers>
          <isin value="US362341RT83"/>
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        <balance>78069.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78093.900000</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>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.12146</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>GSRPM MORTGAGE LOAN TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>GSRPM MORTGAGE LOAN TRUST GSRPM 2006 1 M2 144A</title>
        <cusip>362334NW0</cusip>
        <identifiers>
          <isin value="US362334NW08"/>
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        <balance>4100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3826793.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.0845</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>HALCYON LOAN ADVISORS FUNDING 2014-3 LTD</name>
        <lei>N/A</lei>
        <title>HALCYON LOAN ADVISORS FUNDING HLA 2014 3A AR 144A</title>
        <cusip>40538FAQ6</cusip>
        <identifiers>
          <isin value="US40538FAQ63"/>
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        <balance>286157.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>285771.450000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <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"/>
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        <balance>690846.290000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2005-16</name>
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        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A</title>
        <cusip>41161PYZ0</cusip>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2007-4</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1</title>
        <cusip>41164YAB7</cusip>
        <identifiers>
          <isin value="US41164YAB74"/>
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        <balance>10643903.270000</balance>
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        <curCd>USD</curCd>
        <valUSD>9354905.300000</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>2047-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.39238</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HOMEBANC MORTGAGE TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>HOMEBANC MORTGAGE TRUST HMBT 2005 1 A2</title>
        <cusip>43739EAQ0</cusip>
        <identifiers>
          <isin value="US43739EAQ08"/>
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        <balance>1226593.220000</balance>
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        <curCd>USD</curCd>
        <valUSD>1061604.170000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.78825</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR</title>
        <cusip>404280BR9</cusip>
        <identifiers>
          <isin value="US404280BR94"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>992553.430000</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>2024-05-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.38563</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR</title>
        <cusip>404280CH0</cusip>
        <identifiers>
          <isin value="US404280CH04"/>
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        <balance>500000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>512404.170000</valUSD>
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        <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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      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR</title>
        <cusip>404280BX6</cusip>
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          <isin value="US404280BX62"/>
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        <balance>2400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2672844.650000</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>2026-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.292</annualizedRt>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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        <name>HSI ASSET SECUR CORP TRUST 2006-OPT1</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2006 OPT1 M2</title>
        <cusip>40430HDF2</cusip>
        <identifiers>
          <isin value="US40430HDF29"/>
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        <balance>21531000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18966545.940000</valUSD>
        <pctVal>1.2649060</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>0.55825</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>
        <name>IMPAC CMB TR 2004-10</name>
        <lei>N/A</lei>
        <title>IMPAC CMB TRUST IMM 2004 10 1A1</title>
        <cusip>45254NLJ4</cusip>
        <identifiers>
          <isin value="US45254NLJ45"/>
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        <balance>872458.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>835344.290000</valUSD>
        <pctVal>0.0557103</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>0.8245</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>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125</title>
        <cusip>45262BAA1</cusip>
        <identifiers>
          <isin value="US45262BAA17"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>311971.700000</valUSD>
        <pctVal>0.0208058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.125</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>
      <invstOrSec>
        <name>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5</title>
        <cusip>45262BAB9</cusip>
        <identifiers>
          <isin value="US45262BAB99"/>
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        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>321209.170000</valUSD>
        <pctVal>0.0214219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</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>INDYMAC INDX MTGE LOAN TRUST 2005-AR10</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR10 A1</title>
        <cusip>45660LKW8</cusip>
        <identifiers>
          <isin value="US45660LKW80"/>
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        <balance>212499.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>185985.880000</valUSD>
        <pctVal>0.0124037</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>0.4445</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>INEOS FINANCE PLC</name>
        <lei>2138002D68XDR4LZCG32</lei>
        <title>INEOS FINANCE PLC SR SECURED REGS 11/25 2.125</title>
        <cusip>ACI0YJHL2</cusip>
        <identifiers>
          <isin value="XS1577947440"/>
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        <balance>5000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>5363643.100000</valUSD>
        <pctVal>0.3577090</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>ISRAEL GOVT</name>
        <lei>213800T8ZHTFZIBYPE21</lei>
        <title>STATE OF ISRAEL SR UNSECURED 01/48 4.125</title>
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          <isin value="US46513YJJ82"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1242792.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-17</maturityDt>
          <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>IXIS REAL ESTATE CAPITAL TRUST 2006-HE1</name>
        <lei>N/A</lei>
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        <cusip>45071KDD3</cusip>
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          <isin value="US45071KDD37"/>
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        <balance>1010582.970000</balance>
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        <curCd>USD</curCd>
        <valUSD>557107.310000</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
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          <isin value="US46647PAT30"/>
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        <balance>5400000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.91788</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
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        <cusip>46647PAU0</cusip>
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          <isin value="US46647PAU03"/>
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        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2061027.830000</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>2024-07-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.797</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMORGAN CHASE + CO SR UNSECURED 07/24 VAR</title>
        <cusip>46647PAW6</cusip>
        <identifiers>
          <isin value="US46647PAW68"/>
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        <balance>4900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4910201.160000</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>2024-07-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.933</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE ACQI CORP 2006-CW1</name>
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        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW1 A5</title>
        <cusip>46628MAF3</cusip>
        <identifiers>
          <isin value="US46628MAF32"/>
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        <balance>2971135.210000</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>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4245</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-S3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2</title>
        <cusip>466247ZP1</cusip>
        <identifiers>
          <isin value="US466247ZP16"/>
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        <balance>13972.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10168.520000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</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>JP MORGAN MORTGAGE TRUST 2007-A1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A1</title>
        <cusip>46630GAR6</cusip>
        <identifiers>
          <isin value="US46630GAR65"/>
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        <balance>4170648.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4047551.680000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.96818</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>JP MORGAN MORTGAGE TRUST 2007-A1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1</title>
        <cusip>46630GAX3</cusip>
        <identifiers>
          <isin value="US46630GAX34"/>
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        <balance>296184.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>287775.240000</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>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.79044</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST-2005-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1</title>
        <cusip>466247UG6</cusip>
        <identifiers>
          <isin value="US466247UG61"/>
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        <balance>183983.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165916.050000</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>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.18671</annualizedRt>
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        <securityLending>
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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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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)</name>
        <lei>5493003STKEZ2S0RNU91</lei>
        <title>KRAFT HEINZ FOODS CO COMPANY GUAR 07/35 5</title>
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          <isin value="US50077LAL09"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110110.850000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</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>LEHMAN MORTGAGE TRUST 2006-7</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2006 7 1A2</title>
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        <identifiers>
          <isin value="US52520QAB05"/>
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        <balance>1949579.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1131603.200000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8345</annualizedRt>
          <isDefault>Y</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006 GP4</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 GP4 3A5</title>
        <cusip>525161AN5</cusip>
        <identifiers>
          <isin value="US525161AN53"/>
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        <balance>3402166.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3055831.920000</valUSD>
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        <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>0.4095</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR</title>
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        <identifiers>
          <isin value="US539439AU36"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2595372.400000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>LLOYDS BANKING GROUP PLC</title>
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          <currencyInfos>
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          <delta>XXXX</delta>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0808F5</cusip>
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          <isin value="XS1043552188"/>
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        <balance>332000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>421331.050000</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>2023-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>LLOYDS BANKING GROUP PLC</title>
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          <currencyInfos>
            <currencyInfo convRatio="1555.21" curCd="GBP"/>
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          <delta>XXXX</delta>
        </debtSec>
        <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 03/23 VAR</title>
        <cusip>53944YAK9</cusip>
        <identifiers>
          <isin value="US53944YAK91"/>
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        <balance>3200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3297675.650000</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>2023-03-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.858</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 06/21 VAR</title>
        <cusip>53944YAG8</cusip>
        <identifiers>
          <isin value="US53944YAG89"/>
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        <balance>3300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3314099.250000</valUSD>
        <pctVal>0.2210220</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-06-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.10638</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 08/23 4.05</title>
        <cusip>539439AS8</cusip>
        <identifiers>
          <isin value="US539439AS89"/>
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        <balance>3100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3373880.910000</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>2023-08-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.05</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>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC SR UNSECURED 08/28 4.55</title>
        <cusip>539439AT6</cusip>
        <identifiers>
          <isin value="US539439AT62"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1877260.900000</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>2028-08-16</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>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAD TR 2006-1</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A</title>
        <cusip>542514RH9</cusip>
        <identifiers>
          <isin value="US542514RH93"/>
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        <balance>6562280.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6311979.090000</valUSD>
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        <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>0.4045</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>LONG BEACH MORTGAGE LOAN TR 2005-2</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5</title>
        <cusip>542514KV5</cusip>
        <identifiers>
          <isin value="US542514KV50"/>
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        <balance>6830000.000000</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>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1595</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TRUST 2006-11</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A</title>
        <cusip>542512AA6</cusip>
        <identifiers>
          <isin value="US542512AA67"/>
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        <balance>2331383.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1686623.150000</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>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3445</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>LUMINENT MORTGAGE TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>LUMINENT MORTGAGE TRUST LUM 2006 3 22A1</title>
        <cusip>55027AAD2</cusip>
        <identifiers>
          <isin value="US55027AAD28"/>
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        <balance>17971006.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15338254.400000</valUSD>
        <pctVal>1.0229301</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.75135</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>MASTR ASSET BACKED SEC TR 2006-WMC3</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2006 WMC3 A3</title>
        <cusip>55291KAC1</cusip>
        <identifiers>
          <isin value="US55291KAC18"/>
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        <balance>12717033.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5567178.950000</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>0.26825</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>MASTR SPECIALIZED LOAN TRUST 2005-3</name>
        <lei>N/A</lei>
        <title>MASTR SPECIALIZED LOAN TRUST MASD 2005 3 M1 144A</title>
        <cusip>576436CP2</cusip>
        <identifiers>
          <isin value="US576436CP28"/>
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        <balance>3700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3571658.100000</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>0.91825</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>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>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>601474.810000</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>2021-10-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.31713</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>MERRILL LYNCH MORTGAGE INVEST TR 2005-A7</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1</title>
        <cusip>59020UH32</cusip>
        <identifiers>
          <isin value="US59020UH324"/>
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        <balance>212520.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191057.430000</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>4.06326</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>METROPOLITAN GOVERNMENT OF NASHVILLE &amp; DAVIDSON COUNTY CONVENTION CENTER AUTH</name>
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        <title>MET GOVT NASHVILLE   DAVIDSON METFAC 07/43 FIXED 6.731</title>
        <cusip>592125AM0</cusip>
        <identifiers>
          <isin value="US592125AM00"/>
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        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>152245.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.731</annualizedRt>
          <isDefault>N</isDefault>
          <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>MICRON TECHNOLOGY INC</name>
        <lei>B3DXGBC8GAIYWI2Z0172</lei>
        <title>MICRON TECHNOLOGY INC SR UNSECURED 02/29 5.327</title>
        <cusip>595112BN2</cusip>
        <identifiers>
          <isin value="US595112BN22"/>
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        <balance>3030000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3629227.130000</valUSD>
        <pctVal>0.2420383</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.327</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>MILL CITY MORTGAGE LOAN TRUST 2019-GS2</name>
        <lei>N/A</lei>
        <title>MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A</title>
        <cusip>59981TAC9</cusip>
        <identifiers>
          <isin value="US59981TAC99"/>
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        <balance>3731273.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3927498.050000</valUSD>
        <pctVal>0.2619304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-08-25</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2FP</title>
        <cusip>617526AB4</cusip>
        <identifiers>
          <isin value="US617526AB45"/>
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        <balance>2267825.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1527175.920000</valUSD>
        <pctVal>0.1018495</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2645</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>MORGAN STANLEY ABS CAPITAL I 2007-HE5</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B</title>
        <cusip>61753KAC0</cusip>
        <identifiers>
          <isin value="US61753KAC09"/>
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        <balance>4950488.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2489853.370000</valUSD>
        <pctVal>0.1660519</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.34825</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>MORGAN STANLEY MORTGAGE LOAN TRUST 2005-2AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2005 2AR A</title>
        <cusip>61745M4E0</cusip>
        <identifiers>
          <isin value="US61745M4E02"/>
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        <balance>1173293.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1149763.670000</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>2035-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.42825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2005-3AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2</title>
        <cusip>61745M4P5</cusip>
        <identifiers>
          <isin value="US61745M4P58"/>
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        <balance>546932.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>484140.030000</valUSD>
        <pctVal>0.0322880</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.38614</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>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2007-3XS</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 3XS 2A4S</title>
        <cusip>61752RAK8</cusip>
        <identifiers>
          <isin value="US61752RAK86"/>
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        <balance>485245.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>274674.400000</valUSD>
        <pctVal>0.0183184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.96312</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>MORGAN STANLEY MTGE LN TR 2006-7</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A3</title>
        <cusip>61749JAT3</cusip>
        <identifiers>
          <isin value="US61749JAT34"/>
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        <balance>4383735.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1844480.670000</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>Variable</couponKind>
          <annualizedRt>6.315</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>MORGAN STANLEY STRUCTURED TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY STRUCTURED TRUS MSST 2007 1 A3</title>
        <cusip>61755FAC9</cusip>
        <identifiers>
          <isin value="US61755FAC95"/>
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        <balance>7970132.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7824556.860000</valUSD>
        <pctVal>0.5218309</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>Floating</couponKind>
          <annualizedRt>0.39825</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>MOUNTAIN HAWK III CLO LTD 2014-3A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN HAWK CLO LTD MHAWK 2014 3A AR 144A</title>
        <cusip>62405CAN4</cusip>
        <identifiers>
          <isin value="US62405CAN48"/>
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        <balance>474345.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>472411.680000</valUSD>
        <pctVal>0.0315058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.33525</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 SR UNSECURED 144A 08/24 VAR</title>
        <cusip>63861VAC1</cusip>
        <identifiers>
          <isin value="US63861VAC19"/>
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        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3031774.060000</valUSD>
        <pctVal>0.2021933</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.363</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>NEW CENTURY HOME EQUITY LOAN TR 2005-1</name>
        <lei>N/A</lei>
        <title>NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3</title>
        <cusip>64352VKC4</cusip>
        <identifiers>
          <isin value="US64352VKC45"/>
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        <balance>1345740.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1208309.980000</valUSD>
        <pctVal>0.0805839</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>0.9645</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>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-3A</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 3A A1 144A</title>
        <cusip>64830KAA5</cusip>
        <identifiers>
          <isin value="US64830KAA51"/>
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        <balance>5552202.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6011475.940000</valUSD>
        <pctVal>0.4009139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.5</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>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>6655949.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6994960.150000</valUSD>
        <pctVal>0.4665039</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>NEXTERA ENERGY CAPITAL HOLDINGS INC</name>
        <lei>UMI46YPGBLUE4VGNNT48</lei>
        <title>NEXTERA ENERGY CAPITAL COMPANY GUAR 05/25 2.75</title>
        <cusip>65339KBQ2</cusip>
        <identifiers>
          <isin value="US65339KBQ22"/>
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        <balance>3700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4002347.650000</valUSD>
        <pctVal>0.2669223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-01</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>NISSAN MOTOR ACCEPTANCE CORPORATION</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
        <title>NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 07/22 2.65</title>
        <cusip>654740AZ2</cusip>
        <identifiers>
          <isin value="US654740AZ24"/>
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        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1182420.740000</valUSD>
        <pctVal>0.0788573</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-13</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>
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      </invstOrSec>
      <invstOrSec>
        <name>NISSAN MOTOR ACCEPTANCE CORPORATION</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
        <title>NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/21 1.9</title>
        <cusip>654740AS8</cusip>
        <identifiers>
          <isin value="US654740AS80"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>392959.260000</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>2021-09-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.9</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>NISSAN MOTOR ACCEPTANCE CORPORATION</name>
        <lei>7D6DIU2QXTUJRFNNJA49</lei>
        <title>NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/22 2.6</title>
        <cusip>654740BD0</cusip>
        <identifiers>
          <isin value="US654740BD03"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>489517.270000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.6</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>NOMURA HOME EQUITY LOAN INC 2006-HE1</name>
        <lei>N/A</lei>
        <title>NOMURA HOME EQUITY LOAN INC NHELI 2006 HE1 M1</title>
        <cusip>65536HCS5</cusip>
        <identifiers>
          <isin value="US65536HCS58"/>
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        <balance>1438759.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1425213.910000</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>Floating</couponKind>
          <annualizedRt>0.78325</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>OPTION ONE MORTGAGE LOAN TR 2005-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1</title>
        <cusip>68389FGK4</cusip>
        <identifiers>
          <isin value="US68389FGK49"/>
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        <balance>6559296.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6340735.140000</valUSD>
        <pctVal>0.4228727</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>0.94825</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>OPTION ONE MORTGAGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3</title>
        <cusip>68400DAE4</cusip>
        <identifiers>
          <isin value="US68400DAE40"/>
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        <balance>2658265.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1756855.240000</valUSD>
        <pctVal>0.1171672</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>0.30825</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2007-4</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1</title>
        <cusip>68403FAA4</cusip>
        <identifiers>
          <isin value="US68403FAA49"/>
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        <balance>1895847.200000</balance>
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        <curCd>USD</curCd>
        <valUSD>1463343.980000</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>0.38825</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2007-5</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1</title>
        <cusip>68403HAA0</cusip>
        <identifiers>
          <isin value="US68403HAA05"/>
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        <balance>2556923.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1808493.800000</valUSD>
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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>0.38825</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2007-CP1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1</title>
        <cusip>68402YAA4</cusip>
        <identifiers>
          <isin value="US68402YAA47"/>
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        <balance>3076991.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2700002.890000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.30825</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ORACLE CORPORATION</name>
        <lei>1Z4GXXU7ZHVWFCD8TV52</lei>
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        <identifiers>
          <isin value="US68389XBY04"/>
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        <balance>5200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6117059.620000</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>2060-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.85</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>PASADENA PUBLIC FINANCING AUTHORITY</name>
        <lei>N/A</lei>
        <title>PASADENA CA PUBLIC FING AUTH L PASGEN 03/43 FIXED 7.148</title>
        <cusip>702274AW1</cusip>
        <identifiers>
          <isin value="US702274AW10"/>
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        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4492419.000000</valUSD>
        <pctVal>0.2996058</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.148</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>PETROBRAS GLOBAL FINANCE BV</name>
        <lei>549300FNENFFSMO3GT38</lei>
        <title>PETROBRAS GLOBAL FINANCE COMPANY GUAR 144A 01/30 5.093</title>
        <cusip>71647NBF5</cusip>
        <identifiers>
          <isin value="US71647NBF50"/>
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        <balance>1166000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1163668.000000</valUSD>
        <pctVal>0.0776067</pctVal>
        <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>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ABBVIE INC</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>ABBVIE INC SR UNSECURED 11/21 3.375</title>
        <cusip>00287YBE8</cusip>
        <identifiers>
          <isin value="US00287YBE86"/>
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        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3002717.250000</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>2021-11-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</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>
        <name>ABBVIE INC</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>ABBVIE INC SR UNSECURED 11/22 2.9</title>
        <cusip>00287YAL3</cusip>
        <identifiers>
          <isin value="US00287YAL39"/>
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        <balance>3600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3778588.440000</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>2022-11-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.9</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>PRIME MORTGAGE TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>PRIME MORTGAGE TRUST PRIME 2006 1 2A7</title>
        <cusip>74161BAH8</cusip>
        <identifiers>
          <isin value="US74161BAH87"/>
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        <balance>979366.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>948992.790000</valUSD>
        <pctVal>0.0632897</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</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>
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      <invstOrSec>
        <name>ABBVIE INC</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>ABBVIE INC SR UNSECURED 144A 02/21 4.875</title>
        <cusip>00287YCD9</cusip>
        <identifiers>
          <isin value="US00287YCD94"/>
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        <balance>419000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>425764.650000</valUSD>
        <pctVal>0.0283949</pctVal>
        <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>4.875</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>PROVINCE OF BUENOS AIRES ARGENTINA</name>
        <lei>549300L6AYROPOTQ4L07</lei>
        <title>PROVINCIA DE BUENOS AIRE UNSECURED 05/22 VAR</title>
        <cusip>ACI0VF965</cusip>
        <identifiers>
          <isin value="ARPBUE3204J9"/>
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        <balance>5480000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="104.590000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>AR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-31</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>29.2219</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>ABBVIE INC</name>
        <lei>FR5LCKFTG8054YNNRU85</lei>
        <title>ABBVIE INC SR UNSECURED 144A 03/22 3.45</title>
        <cusip>00287YCF4</cusip>
        <identifiers>
          <isin value="US00287YCF43"/>
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        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1558954.020000</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>2022-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>PUBLIC POWER GENERATION AGENCY</name>
        <lei>N/A</lei>
        <title>PUBLIC PWR GENERATION AGY NE R PUBPWR 01/41 FIXED 7.242</title>
        <cusip>744434CW9</cusip>
        <identifiers>
          <isin value="US744434CW90"/>
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        <balance>90000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>132083.100000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.242</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>RAAC SERIES 2006-SP2</name>
        <lei>N/A</lei>
        <title>RAAC SERIES RAAC 2006 SP2 M1</title>
        <cusip>74919PAD1</cusip>
        <identifiers>
          <isin value="US74919PAD15"/>
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        <balance>1767572.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1754971.390000</valUSD>
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        <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>0.5245</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>RALI SERIES 2005-QO1 TRUST</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A2</title>
        <cusip>761118EP9</cusip>
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          <isin value="US761118EP94"/>
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        <balance>1416.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1273.290000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.00382</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      <invstOrSec>
        <name>RAS LAFFAN LIQUEFIED NATURAL GAS COMPANY LIMITED (II)</name>
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        <cusip>B0GF35II6</cusip>
        <identifiers>
          <isin value="USM8221WAA91"/>
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        <balance>16950.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17129.840000</valUSD>
        <pctVal>0.0011424</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>QA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2020-09-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.298</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>RENAISSANCE HOME EQUITY LOAN TR 2006-3</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3</title>
        <cusip>75971EAF3</cusip>
        <identifiers>
          <isin value="US75971EAF34"/>
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        <balance>6283502.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3296746.400000</valUSD>
        <pctVal>0.2198647</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.586</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2005-QA13</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1</title>
        <cusip>761118PE2</cusip>
        <identifiers>
          <isin value="US761118PE29"/>
        </identifiers>
        <balance>2602910.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2278283.560000</valUSD>
        <pctVal>0.1519420</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>Variable</couponKind>
          <annualizedRt>4.46404</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>RESIDENTIAL ACCREDIT LOANS 2005-QS10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 3A1</title>
        <cusip>761118CX4</cusip>
        <identifiers>
          <isin value="US761118CX47"/>
        </identifiers>
        <balance>3036418.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2130076.700000</valUSD>
        <pctVal>0.1420579</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>0.6845</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>RESIDENTIAL ACCREDIT LOANS 2006-QA8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2</title>
        <cusip>74922QAB8</cusip>
        <identifiers>
          <isin value="US74922QAB86"/>
        </identifiers>
        <balance>2373013.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2108239.450000</valUSD>
        <pctVal>0.1406015</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>0.3645</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2005-QA10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA10 A41</title>
        <cusip>761118GE2</cusip>
        <identifiers>
          <isin value="US761118GE20"/>
        </identifiers>
        <balance>300862.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>248481.700000</valUSD>
        <pctVal>0.0165716</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.99875</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>RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MII2</title>
        <cusip>76112BED8</cusip>
        <identifiers>
          <isin value="US76112BED82"/>
        </identifiers>
        <balance>6712000.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6077581.240000</valUSD>
        <pctVal>0.4053226</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.0595</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2007-A1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1</title>
        <cusip>761136AA8</cusip>
        <identifiers>
          <isin value="US761136AA85"/>
        </identifiers>
        <balance>4085063.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2338811.730000</valUSD>
        <pctVal>0.1559787</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>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>RESIDENTIAL ASSET SECURITIES 2005-EMX4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX4 M3</title>
        <cusip>76110W6B7</cusip>
        <identifiers>
          <isin value="US76110W6B77"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>868699.620000</valUSD>
        <pctVal>0.0579348</pctVal>
        <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>0.8745</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2005-KS11</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M3</title>
        <cusip>76110W7F7</cusip>
        <identifiers>
          <isin value="US76110W7F72"/>
        </identifiers>
        <balance>7786098.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7005287.070000</valUSD>
        <pctVal>0.4671926</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>0.6245</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2005-KS7</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2005 KS7 M4</title>
        <cusip>76110W3A2</cusip>
        <identifiers>
          <isin value="US76110W3A22"/>
        </identifiers>
        <balance>609347.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>610544.940000</valUSD>
        <pctVal>0.0407181</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>1.0545</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2006-KS1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 KS1 M1</title>
        <cusip>76113AAG6</cusip>
        <identifiers>
          <isin value="US76113AAG67"/>
        </identifiers>
        <balance>1973061.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1974468.920000</valUSD>
        <pctVal>0.1316801</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>RESIMAC BASTILLE TRUST SERIES 2018-1NC</name>
        <lei>N/A</lei>
        <title>RESIMAC RESI 2018 1NCA A1 144A</title>
        <cusip>76118VAA8</cusip>
        <identifiers>
          <isin value="US76118VAA89"/>
        </identifiers>
        <balance>1142143.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1135232.680000</valUSD>
        <pctVal>0.0757103</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-12-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.01375</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>REYNOLDS AMERICAN INC</name>
        <lei>02S2RPPVO9RP4NEU2740</lei>
        <title>REYNOLDS AMERICAN INC COMPANY GUAR 06/22 4</title>
        <cusip>761713BF2</cusip>
        <identifiers>
          <isin value="US761713BF23"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105702.590000</valUSD>
        <pctVal>0.0070495</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-12</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>RIO OIL FINANCE TRUST SERIES 2018-1</name>
        <lei>N/A</lei>
        <title>RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2</title>
        <cusip>76716XAC6</cusip>
        <identifiers>
          <isin value="US76716XAC65"/>
        </identifiers>
        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1714875.000000</valUSD>
        <pctVal>0.1143675</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.2</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>RIVERSIDE COMMUNITY COLLEGE DISTRICT</name>
        <lei>N/A</lei>
        <title>RIVERSIDE CA CMNTY CLG DIST RIVHGR 08/35 FIXED 6.971</title>
        <cusip>76886PEC3</cusip>
        <identifiers>
          <isin value="US76886PEC32"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100481.000000</valUSD>
        <pctVal>0.0067012</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.971</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>RIVERSIDE COMMUNITY COLLEGE DISTRICT</name>
        <lei>N/A</lei>
        <title>RIVERSIDE CA CMNTY CLG DIST RIVHGR 08/40 FIXED 7.021</title>
        <cusip>76886PED1</cusip>
        <identifiers>
          <isin value="US76886PED15"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100485.000000</valUSD>
        <pctVal>0.0067015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.021</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>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1979743.000000</valUSD>
        <pctVal>0.1320319</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>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="437.828" 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 JR SUBORDINA 12/49 VAR</title>
        <cusip>780099CJ4</cusip>
        <identifiers>
          <isin value="US780099CJ48"/>
        </identifiers>
        <balance>4200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4216800.000000</valUSD>
        <pctVal>0.2812244</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>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" 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 JR SUBORDINA 12/49 VAR</title>
        <cusip>780099CK1</cusip>
        <identifiers>
          <isin value="US780099CK11"/>
        </identifiers>
        <balance>2200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2433376.000000</valUSD>
        <pctVal>0.1622853</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-10</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>ROYAL BANK OF SCOTLAND GROUP PLC</name>
              <title>RBS GROUP</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" 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 05/29 VAR</title>
        <cusip>780097BG5</cusip>
        <identifiers>
          <isin value="US780097BG51"/>
        </identifiers>
        <balance>4800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5664960.190000</valUSD>
        <pctVal>0.3778043</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.892</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 06/24 VAR</title>
        <cusip>780097BH3</cusip>
        <identifiers>
          <isin value="US780097BH35"/>
        </identifiers>
        <balance>3100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3102701.930000</valUSD>
        <pctVal>0.2069236</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.84688</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 06/24 VAR</title>
        <cusip>780097BJ9</cusip>
        <identifiers>
          <isin value="US780097BJ90"/>
        </identifiers>
        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1957168.210000</valUSD>
        <pctVal>0.1305263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.519</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>ACE SECURITIES CORP 2006-NC1</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2006 NC1 M1</title>
        <cusip>004421UU5</cusip>
        <identifiers>
          <isin value="US004421UU52"/>
        </identifiers>
        <balance>18011000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16481576.120000</valUSD>
        <pctVal>1.0991798</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>0.78325</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>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5434775.000000</valUSD>
        <pctVal>0.3624529</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>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3875690.000000</valUSD>
        <pctVal>0.2584753</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 SR UNSECURED 11/24 VAR</title>
        <cusip>80281LAJ4</cusip>
        <identifiers>
          <isin value="US80281LAJ44"/>
        </identifiers>
        <balance>3800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4205615.760000</valUSD>
        <pctVal>0.2804785</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SANTANDER UK PLC</name>
        <lei>PTCQB104N23FMNK2RZ28</lei>
        <title>SANTANDER UK PLC SR UNSECURED 06/24 2.875</title>
        <cusip>80283LAX1</cusip>
        <identifiers>
          <isin value="US80283LAX10"/>
        </identifiers>
        <balance>6300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6721393.960000</valUSD>
        <pctVal>0.4482593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-18</maturityDt>
          <couponKind>Fixed</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>SASOL FINANCING USA LLC</name>
        <lei>549300XRB1PFMESFEL85</lei>
        <title>SASOL FINANCING USA LLC COMPANY GUAR 03/24 5.875</title>
        <cusip>80386WAA3</cusip>
        <identifiers>
          <isin value="US80386WAA36"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>447500.000000</valUSD>
        <pctVal>0.0298444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4</title>
        <cusip>M6320UAH2</cusip>
        <identifiers>
          <isin value="XS1791937441"/>
        </identifiers>
        <balance>2400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2666217.600000</valUSD>
        <pctVal>0.1778139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-17</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/49 5</title>
        <cusip>ACI121KG1</cusip>
        <identifiers>
          <isin value="XS1791939736"/>
        </identifiers>
        <balance>950000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1178224.200000</valUSD>
        <pctVal>0.0785775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-17</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>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/46 4.5</title>
        <cusip>M6320UAC3</cusip>
        <identifiers>
          <isin value="XS1508675508"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>461196.000000</valUSD>
        <pctVal>0.0307578</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-26</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>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"/>
        </identifiers>
        <balance>4877548.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4594950.650000</valUSD>
        <pctVal>0.3064438</pctVal>
        <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>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED REGS 05/25 3.625</title>
        <cusip>ACI1C5ZK6</cusip>
        <identifiers>
          <isin value="XS2004438458"/>
        </identifiers>
        <balance>5300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>5947253.380000</valUSD>
        <pctVal>0.3966308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D</title>
        <cusip>81377AAE2</cusip>
        <identifiers>
          <isin value="US81377AAE29"/>
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        <balance>1597361.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>887956.970000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-6</name>
        <lei>N/A</lei>
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          <isin value="US81744FCH82"/>
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        <balance>1250436.490000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.73075</annualizedRt>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SMALL BUSINESS ADMIN PART CERTS 2008-20L</name>
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          <isin value="US83162CSE48"/>
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        <curCd>USD</curCd>
        <valUSD>11403.360000</valUSD>
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        <assetCat>ABS-O</assetCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2028-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XIV LTD 2016-3A</name>
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          <isin value="US83609NAL47"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-23</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1</name>
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          <isin value="US83612TAA07"/>
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        <balance>4350978.940000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2037-06-25</maturityDt>
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      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5</name>
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      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>SPECIALTY UNDERWRITING &amp; RESIDENTIAL FINANCE TRUST SERIES 2006-AB3</name>
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          <isin value="US84751XAC65"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>SPRINGCASTLE FUNDING ASSET-BACKED NOTES 2019-AA</name>
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        <title>SPRINGCASTLE SPV SCFT 2019 AA A 144A</title>
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          <isin value="US85022WAL81"/>
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        <balance>7760846.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7859612.270000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
        <lei>N/A</lei>
        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/23 4.125</title>
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        <identifiers>
          <isin value="US00774MAF23"/>
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        <balance>2700000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>2641599.320000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-03</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.125</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>SPRINT CORP (SPRINT COMMUNICATIONS INC)</name>
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        <title>SPRINT COMMUNICATIONS COMPANY GUAR 11/22 6</title>
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          <isin value="US852061AS99"/>
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        <balance>900000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>950503.500000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>SPRINT CORPORATION</name>
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        <title>SPRINT CORP COMPANY GUAR 09/21 7.25</title>
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          <isin value="US85207UAE55"/>
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        <balance>300000.000000</balance>
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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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        <name>STANDARD CHARTERED PLC</name>
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        <title>STANDARD CHARTERED PLC SR UNSECURED 144A 09/22 VAR</title>
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        <curCd>USD</curCd>
        <valUSD>5113030.500000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>GB</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 2007-11</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1</title>
        <cusip>86364YAA2</cusip>
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        <curCd>USD</curCd>
        <valUSD>2758986.980000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.31825</annualizedRt>
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        <name>STRUCTURED ASSET INVST LN TR 2004-7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2004 7 M1</title>
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        <balance>1067331.010000</balance>
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        <curCd>USD</curCd>
        <valUSD>1060978.900000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.21825</annualizedRt>
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        <name>STRUCTURED ASSET INVST LN TR 2005-5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4</title>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.09825</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>STRUCTURED ASSET MTG INV INC 2005-AR2</name>
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        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1</title>
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          <isin value="US86359LJA89"/>
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        <name>TEXAS PUBLIC FINANCE AUTHORITY</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TEXTRON INC</name>
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      <invstOrSec>
        <name>TICP CLO I LTD 2015-1A</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TICP CLO III-2 LTD 2018-3R</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-HY2</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>TOYOTA MOTOR CREDIT CORPORATION</name>
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        <assetCat>LON</assetCat>
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        <fairValLevel>3</fairValLevel>
        <debtSec>
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        <name>UBS AG</name>
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          <isin value="CH0236733827"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>UBS AG</name>
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          <isin value="CH0244100266"/>
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        <issuerCat>CORP</issuerCat>
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        <name>UBS GROUP AG</name>
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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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        <name>UBS GROUP AG</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>UBS GROUP AG</name>
        <lei>549300SZJ9VS8SGXAN81</lei>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
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        <name>WASHINGTON MUTUAL 2006-AR16</name>
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        <name>WASHINGTON MUTUAL 2006-AR18</name>
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        <name>WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES TRUST 2007-HE1</name>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT</name>
        <lei>N/A</lei>
        <title>WASHINGTON ST CONVENTION CENTE WASFAC 07/40 FIXED 6.79</title>
        <cusip>93976AAH5</cusip>
        <identifiers>
          <isin value="US93976AAH59"/>
        </identifiers>
        <balance>2400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2899656.000000</valUSD>
        <pctVal>0.1933822</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.79</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 02/25 3</title>
        <cusip>94974BGH7</cusip>
        <identifiers>
          <isin value="US94974BGH78"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>970068.920000</valUSD>
        <pctVal>0.0646953</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-19</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>WP CAREY INC</name>
        <lei>54930042CRNE713E3Q67</lei>
        <title>WP CAREY INC SR UNSECURED 02/25 4</title>
        <cusip>92936UAC3</cusip>
        <identifiers>
          <isin value="US92936UAC36"/>
        </identifiers>
        <balance>5200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5434578.970000</valUSD>
        <pctVal>0.3624398</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-01</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>WPC EUROBOND BV</name>
        <lei>5493005XDMOLBARL5M14</lei>
        <title>WPC EUROBOND BV COMPANY GUAR 04/26 2.25</title>
        <cusip>ACI15F7Y3</cusip>
        <identifiers>
          <isin value="XS1843459600"/>
        </identifiers>
        <balance>5500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>6489645.060000</valUSD>
        <pctVal>0.4328037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-09</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>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>17600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ARS" exchangeRt="104.590000"/>
        <valUSD>181284.070000</valUSD>
        <pctVal>0.0120901</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>AMERICAN HOME MORTGAGE ASSETS 2007-3</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1</title>
        <cusip>026935AH9</cusip>
        <identifiers>
          <isin value="US026935AH97"/>
        </identifiers>
        <balance>862896.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>787954.050000</valUSD>
        <pctVal>0.0525498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.25</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>FIXED INC CLEARING CORP.REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="85748R009"/>
        </identifiers>
        <balance>1166000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1166000.000000</valUSD>
        <pctVal>0.0777622</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>1110300.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1189327.700000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HONDA FINANCE CORPORATION</name>
        <lei>B6Q2VFHD1797Q7NZ3E43</lei>
        <title>AMERICAN HONDA FINANCE CORP TERM LOAN</title>
        <cusip>934NVQII2</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="BLA03RKK3"/>
        </identifiers>
        <balance>2100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2089943.600000</valUSD>
        <pctVal>0.1393813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>LON</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2021-03-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.156</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>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLA004"/>
        </identifiers>
        <balance>-1605000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1605008.030000</valUSD>
        <pctVal>-0.1070403</pctVal>
        <payoffProfile>Short</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>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.1800000</repurchaseRt>
          <maturityDt>2020-07-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>1500000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>1521936.430000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </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>REVERSE REPO BANK OF AMERICA REVERSE REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLA004"/>
        </identifiers>
        <balance>-214187250.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-214205991.380000</valUSD>
        <pctVal>-14.2857031</pctVal>
        <payoffProfile>Short</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>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.2100000</repurchaseRt>
          <maturityDt>2020-07-22</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>181900000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>213188931.870000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </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>REVERSE REPO JPM CHASE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="913ZLQ009"/>
        </identifiers>
        <balance>-6426000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-6426032.130000</valUSD>
        <pctVal>-0.4285612</pctVal>
        <payoffProfile>Short</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>Reverse repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="ZBUT11V806EZRVTWT807" name="J.P. MORGAN SECURITIES LLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.1800000</repurchaseRt>
          <maturityDt>2020-07-02</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>5600000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>6380718.740000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </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>ABX.HE.AAA.06-2 SP BRC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC02J52"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-174083.720000</valUSD>
        <pctVal>-0.0116099</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>
              <indexBasketInfo>
                <indexName>ABX.HE.AAA.06-2</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.110000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2046-05-25</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-398058.550000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1865541.460000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>223974.830000</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>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EQKBBM6JN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
        <valUSD>26251.820000</valUSD>
        <pctVal>0.0017508</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>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>873448.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>800000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>26251.820000</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>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBSBCN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>-4150.390000</valUSD>
        <pctVal>-0.0002768</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>398344.950000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>42563158.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-4150.390000</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 RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DOKBB6BB8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>20155.700000</valUSD>
        <pctVal>0.0013442</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>223811.920000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>17396005.000000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>20155.700000</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 TRY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FHKBBTCBX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TRY" exchangeRt="6.883800"/>
        <valUSD>-236.520000</valUSD>
        <pctVal>-0.0000158</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>164350.000000</amtCurSold>
            <curSold>TRY</curSold>
            <amtCurPur>1129729.410000</amtCurPur>
            <curPur>TRY</curPur>
            <settlementDt>2020-07-21</settlementDt>
            <unrealizedAppr>-236.520000</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="20DCKBBNZWD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>503577.050000</valUSD>
        <pctVal>0.0335843</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>5375602.640000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>102087000.000000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>503577.050000</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 CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ELKBBRV56"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="7.098800"/>
        <valUSD>-37874.340000</valUSD>
        <pctVal>-0.0025259</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>29299023.790000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>4089472.230000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-37874.340000</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 JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBR8HG"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.930800"/>
        <valUSD>4156.650000</valUSD>
        <pctVal>0.0002772</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>42563158.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>398512.780000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>4156.650000</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 TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FHKBCD8QZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.104100"/>
        <valUSD>-3840.050000</valUSD>
        <pctVal>-0.0002561</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>204958208.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>7038400.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-3840.050000</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 GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBBNR36"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-1474.790000</valUSD>
        <pctVal>-0.0000984</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>1261640.060000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>1017000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-1474.790000</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="20FSKBBN9HB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
        <valUSD>-970.090000</valUSD>
        <pctVal>-0.0000647</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>2322000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>2610408.650000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>-970.090000</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 SGD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FSKBBN6WV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.393300"/>
        <valUSD>2546.360000</valUSD>
        <pctVal>0.0001698</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>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>3467000.000000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>2490881.020000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>2546.360000</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 GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBQ3LZ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-441039.970000</valUSD>
        <pctVal>-0.0294136</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>21224473.690000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>16773000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-441039.970000</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="20FJKBBPGGL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-29842.650000</valUSD>
        <pctVal>-0.0019902</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>1479590.310000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>1170000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-29842.650000</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 TRY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBBTX4K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TRY" exchangeRt="6.883800"/>
        <valUSD>-355.060000</valUSD>
        <pctVal>-0.0000237</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>196116.000000</amtCurSold>
            <curSold>TRY</curSold>
            <amtCurPur>1347585.170000</amtCurPur>
            <curPur>TRY</curPur>
            <settlementDt>2020-07-21</settlementDt>
            <unrealizedAppr>-355.060000</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>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20EQKBCNTPB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
        <valUSD>199727.450000</valUSD>
        <pctVal>0.0133201</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>73069871.720000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>13636382.110000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>199727.450000</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>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FGKBB2B12"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
        <valUSD>68886.690000</valUSD>
        <pctVal>0.0045942</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>157571438.000000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>2278723.310000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>68886.690000</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 TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBBWH9M"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.327300"/>
        <valUSD>-46208.030000</valUSD>
        <pctVal>-0.0030817</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>332489701.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>11291000.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>-46208.030000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERIQUEST MTGE SECURITIES INC 2003-AR2</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2003 AR2 M1</title>
        <cusip>03072SGX7</cusip>
        <identifiers>
          <isin value="US03072SGX71"/>
        </identifiers>
        <balance>873074.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>853319.060000</valUSD>
        <pctVal>0.0569091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.4595</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>3175DM419 CDX.O C 0.625 AUG20 0.625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA01154"/>
        </identifiers>
        <balance>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2132.120000</valUSD>
        <pctVal>-0.0001422</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>-172.120000</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>-3300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5810.410000</valUSD>
        <pctVal>-0.0003875</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>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1173.910000</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>-2600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1265.260000</valUSD>
        <pctVal>-0.0000844</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>554.740000</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>3175JJ691 SWAPTION AUG20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA00891"/>
        </identifiers>
        <balance>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3559.580000</valUSD>
        <pctVal>-0.0002374</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"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <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>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>80.420000</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>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3559.580000</valUSD>
        <pctVal>-0.0002374</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>
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            <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>
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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>
                  <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>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1844.420000</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>-2700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1417.690000</valUSD>
        <pctVal>-0.0000945</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</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>
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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>445.310000</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>3175JJ733 SWAPTION AUG20 0.6 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIA00867"/>
        </identifiers>
        <balance>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1470.200000</valUSD>
        <pctVal>-0.0000980</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>
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                      <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>
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                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <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>0.600000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>769.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </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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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI999086"/>
        </identifiers>
        <balance>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1470.200000</valUSD>
        <pctVal>-0.0000980</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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            <counterparties>
              <counterpartyName>BOFA SECURITIES, INC.</counterpartyName>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
                    <title>SWOP CDX IG34 (V1 ONLY) 5Y SP</title>
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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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                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <curCd>USD</curCd>
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            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>209.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
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          <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"/>
        </identifiers>
        <balance>-2900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3185.040000</valUSD>
        <pctVal>-0.0002124</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"/>
                    </identifiers>
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                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <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>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.150000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>874.960000</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>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2681.360000</valUSD>
        <pctVal>-0.0001788</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>
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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>1378.640000</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>-2600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5712.590000</valUSD>
        <pctVal>-0.0003810</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"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <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>
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                  </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>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-447.590000</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>3175ZZ325 CDX.O P 1.10 AUG20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI929661"/>
        </identifiers>
        <balance>-2700000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3432.460000</valUSD>
        <pctVal>-0.0002289</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</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>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-08-19</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>887.540000</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>3175ZZ804 SWAPTION SEP20 0.55 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI996322"/>
        </identifiers>
        <balance>-3300000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1605.910000</valUSD>
        <pctVal>-0.0001071</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>
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            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>CREDIT SUISSE SECURITIES (USA) LLC</counterpartyName>
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                  <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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                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
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                    <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>
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                  <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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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.550000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2255.090000</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 IG34 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ35K7BGZKB7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2870555.810000</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>
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                  <ticker value="CDX"/>
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              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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            <terminationDt>2025-06-21</terminationDt>
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT COP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FCKBB46RQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="COP" exchangeRt="3762.804000"/>
        <valUSD>-2477.010000</valUSD>
        <pctVal>-0.0001652</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>56418.210000</amtCurSold>
            <curSold>COP</curSold>
            <amtCurPur>202970165.900000</amtCurPur>
            <curPur>COP</curPur>
            <settlementDt>2020-07-17</settlementDt>
            <unrealizedAppr>-2477.010000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </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="20FMKBBNS4H"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
        <valUSD>-69990.810000</valUSD>
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        <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>
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            <amtCurSold>12165383.260000</amtCurSold>
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            <amtCurPur>1306000000.000000</amtCurPur>
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            <unrealizedAppr>-69990.810000</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>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FNKBBN9Z6"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="107.975000"/>
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        <pctVal>-0.0023386</pctVal>
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        <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>
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            <amtCurSold>3924855.460000</amtCurSold>
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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>BOUGHT KRW/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20ELKBBRV5D"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1199.085600"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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            <amtCurSold>323959.610000</amtCurSold>
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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>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DAKBCB226"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
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        <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>
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            <amtCurSold>3788789.000000</amtCurSold>
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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 ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="20DBKBB4F3J"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
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        <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>
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            <amtCurSold>1882290.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="20FDKBB5G74"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="MXN" exchangeRt="23.218000"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="20DTKBBR618"/>
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        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
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        <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">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="20ELKBBRHJ0"/>
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        <currencyConditional curCd="HKD" exchangeRt="7.753900"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>CREDIT SUISSE INTERNATIONAL</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>BOUGHT BRL/SOLD USD</title>
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          <other otherDesc="Internal ID" value="20FRKBB5NMV"/>
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        <currencyConditional curCd="BRL" exchangeRt="5.438100"/>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="20FRKBB5NQR"/>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            <amtCurSold>73069871.720000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ERAEMLT TRS EQUITY 1ML+101 *BULLET* BPS</title>
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          <other otherDesc="Internal ID" value="SWU00UP95"/>
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        <valUSD>-13912298.570000</valUSD>
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        <assetCat>DE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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            <unrealizedAppr>-13912298.570000</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>ERAEMLT TRS EQUITY 1ML+103 *BULLET* JPM</title>
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        <isRestrictedSec>N</isRestrictedSec>

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        <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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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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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>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="103.000000" pmntAmt="0.000000">
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        <securityLending>
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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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            <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>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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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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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-49049.400000</valUSD>
        <pctVal>-0.0032712</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>
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            </descRefInstrmnt>
            <expDate>2020-09-08</expDate>
            <notionalAmt>-5751284.160000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-49049.400000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="20FSKBBN8MQ"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
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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>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>1471366.570000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="20FHKBBPGZZ"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
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        <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>
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            <amtCurSold>26631049.310000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="20DNKBB5180"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
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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>
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            <amtCurSold>270865.770000</amtCurSold>
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        </derivativeInfo>
        <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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          <other otherDesc="Internal ID" value="20DOKBB5937"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
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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>
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            <amtCurSold>242614.490000</amtCurSold>
            <curSold>RUB</curSold>
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            <curPur>RUB</curPur>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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="20DQKBBS5NM"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="RUB" exchangeRt="71.304600"/>
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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>
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            <amtCurSold>86648.240000</amtCurSold>
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            <unrealizedAppr>5862.810000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </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="20ETKBB1K0D"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>-246192.600000</valUSD>
        <pctVal>-0.0164189</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>
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            <amtCurSold>43488000.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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="20FBKBBRGNS"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.807000"/>
        <valUSD>14860.610000</valUSD>
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        <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>
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            <amtCurSold>816000.000000</amtCurSold>
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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>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>-17805.900000</valUSD>
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        <assetCat>DFE</assetCat>
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        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>17800657.990000</amtCurSold>
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            <unrealizedAppr>-17805.900000</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>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBB1G7H"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>1337447.600000</amtCurSold>
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            <unrealizedAppr>12005.110000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CNY/SOLD USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="20FAKBBMM6G"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="7.096700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>3491006.840000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="20ETKBBSL12"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>906713.620000</amtCurSold>
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        <securityLending>
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      </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="20FMKBBNTS5"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
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        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>1577773.670000</amtCurSold>
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            <curPur>EUR</curPur>
            <settlementDt>2020-08-17</settlementDt>
            <unrealizedAppr>74.890000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.889200"/>
        <valUSD>1794.160000</valUSD>
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        <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>
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            <amtCurSold>2503869.850000</amtCurSold>
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            <amtCurPur>2228000.000000</amtCurPur>
            <curPur>EUR</curPur>
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            <unrealizedAppr>1794.160000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
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        <identifiers>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="INR" exchangeRt="76.146400"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>925057.490000</amtCurSold>
            <curSold>INR</curSold>
            <amtCurPur>70609638.180000</amtCurPur>
            <curPur>INR</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>2230.150000</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 TWD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBCHKHQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.327300"/>
        <valUSD>81632.510000</valUSD>
        <pctVal>0.0054442</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>11255575.520000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>332489701.000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2020-07-15</settlementDt>
            <unrealizedAppr>81632.510000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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          <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="20DBKBB4F14"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>190755.850000</valUSD>
        <pctVal>0.0127218</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>3044869.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>56183898.430000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>190755.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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          <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="20FAKBBZRWW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.449100"/>
        <valUSD>-2145.390000</valUSD>
        <pctVal>-0.0001431</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>134000.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>90328.030000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>-2145.390000</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 BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20BGKBB90FW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="5.475300"/>
        <valUSD>-74881.220000</valUSD>
        <pctVal>-0.0049939</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>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>2630000.000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>405457.490000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2021-01-05</settlementDt>
            <unrealizedAppr>-74881.220000</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 CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FDKBBPVVJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>12309.690000</valUSD>
        <pctVal>0.0008210</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>3712000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>2746546.580000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>12309.690000</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="20FJKBBPDXR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>51837.620000</valUSD>
        <pctVal>0.0034571</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>21794000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>16105167.020000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>51837.620000</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>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FTKBB1G1K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357500"/>
        <valUSD>-11997.460000</valUSD>
        <pctVal>-0.0008001</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>1832017.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>1337574.540000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-08-04</settlementDt>
            <unrealizedAppr>-11997.460000</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 TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FHKBCD8QP"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.104100"/>
        <valUSD>-28738.200000</valUSD>
        <pctVal>-0.0019166</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>230747316.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>7899600.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-28738.200000</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 TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FIKBCHNTN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="29.104100"/>
        <valUSD>-87980.640000</valUSD>
        <pctVal>-0.0058676</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
              <counterpartyLei>MP6I5ZYZBEU3UXPYFY54</counterpartyLei>
            </counterparties>
            <amtCurSold>332489701.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>11336164.370000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-09-16</settlementDt>
            <unrealizedAppr>-87980.640000</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>31754D4F8 ITRAXX.O P 2.50 EU32 JAN21 2.5 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEI797746"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2124.210000</valUSD>
        <pctVal>-0.0001417</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX ITRAXX MAIN32 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <isin value="EZ2YYTYF24Z9"/>
                    </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 MAIN32 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <isin value="EZ2YYTYF24Z9"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2024-12-20</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>2.500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2021-01-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-488.390000</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>3175429S9 ITRAXX.O P 1.1 SEP20 1.1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-3334.400000</valUSD>
        <pctVal>-0.0002224</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>802.180000</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>3175529F6 ITRAXX.O C 0.475 SEP20 0.475 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-935.220000</valUSD>
        <pctVal>-0.0000624</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>
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            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
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                    <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>
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                    <units>NC</units>
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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>
                        <isin value="EZNQX28JQNF1"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <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>0.480000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>251.650000</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>3175575A0 ITRAXX.O P 1.20 OCT20 1.2 PUT</title>
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        <identifiers>
          <isin value="EZM9H2WDCG13"/>
        </identifiers>
        <balance>-2200000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-4720.700000</valUSD>
        <pctVal>-0.0003148</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
                      <isin value="EZNQX28JQNF1"/>
                    </identifiers>
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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>
                        <isin value="EZNQX28JQNF1"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <pmntCurCd>EUR</pmntCurCd>
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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>841.370000</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>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-2100000.000000</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">
                  <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>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <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>0.500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-114.030000</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>3175589V8 ITRAXX.O P 1.20 OCT20 1.2 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZM9H2WDCG13"/>
        </identifiers>
        <balance>-2600000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-5579.010000</valUSD>
        <pctVal>-0.0003721</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
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            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</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>1.200000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-10-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>843.120000</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>3175599L8 ITRAXX.O C 0.50 SEP20 0.5 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-1414.100000</valUSD>
        <pctVal>-0.0000943</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</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>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
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                  <terminationDt>2025-06-20</terminationDt>
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                  <pmntCurCd>EUR</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>EUR</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>EUR</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>230.310000</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>3175599Q7 ITRAXX.O C 0.50 OCT20 0.5 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZM9H2WDCG13"/>
        </identifiers>
        <balance>-2600000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2706.050000</valUSD>
        <pctVal>-0.0001805</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
                    <counterpartyLei>7LTWFZYICNSX8D621K86</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>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <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>0.500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-10-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-370.730000</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>3175599W4 ITRAXX.O P SEP20 1.10 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-3334.400000</valUSD>
        <pctVal>-0.0002224</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>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</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>424.260000</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>3175699A1 SWAPTION SEP20 1 PUT</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZJB2XMF2XX8"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-4331.790000</valUSD>
        <pctVal>-0.0002889</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>Put</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>
                      <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>1.000000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-09-16</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-237.100000</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>3175ZY161 ITRAXX.O C 0.50 OCT20 0.5 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZM9H2WDCG13"/>
        </identifiers>
        <balance>-2200000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>-2289.740000</valUSD>
        <pctVal>-0.0001527</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>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</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>
                  <otherRecDesc fixedOrFloating="Other">Single Leg Swap</otherRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <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>0.500000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2020-10-21</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-435.720000</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 ITRAXX MAIN33 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZNQX28JQNF1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.890100"/>
        <valUSD>666287.620000</valUSD>
        <pctVal>0.0444357</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 33</issueTitle>
                <identifiers>
                  <ticker value="ITRX"/>
                </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>616660.190000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>35100000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>49627.430000</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 ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20DAKBB6KVQ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="17.364200"/>
        <valUSD>260096.390000</valUSD>
        <pctVal>0.0173462</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>5233393.000000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>95389813.050000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2020-07-08</settlementDt>
            <unrealizedAppr>260096.390000</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 CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="20FMKBBNTP9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.357600"/>
        <valUSD>42663.140000</valUSD>
        <pctVal>0.0028453</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>23891000.000000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>17640630.140000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2020-07-02</settlementDt>
            <unrealizedAppr>42663.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2006-M1</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 M1 A1</title>
        <cusip>04012MAM1</cusip>
        <identifiers>
          <isin value="US04012MAM10"/>
        </identifiers>
        <balance>3203892.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2713982.600000</valUSD>
        <pctVal>0.1809994</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>0.3345</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="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>
