<?xml version="1.0" encoding="UTF-8"?><edgarSubmission xmlns="http://www.sec.gov/edgar/nport" xmlns:com="http://www.sec.gov/edgar/common" xmlns:ncom="http://www.sec.gov/edgar/nportcommon" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
  <headerData>
    <submissionType>NPORT-P</submissionType>
    <isConfidential>false</isConfidential>
    <filerInfo>

      <filer>
        <issuerCredentials>
          <cik>0000810893</cik>
          <ccc>XXXXXXXX</ccc>
        </issuerCredentials>
      </filer>


      <seriesClassInfo>
        <seriesId>S000009844</seriesId>
        <classId>C000027272</classId>
      </seriesClassInfo>


    </filerInfo>
  </headerData>
  <formData>
    <genInfo>
      <regName>PIMCO Funds</regName>
      <regFileNumber>811-05028</regFileNumber>
      <regCik>0000810893</regCik>
      <regLei>5493003B5Y5GR0Y25Y76</regLei>
      <regStreet1>650 Newport Center Drive</regStreet1>
      <regCity>Newport Beach</regCity>
      <regStateConditional regCountry="US" regState="US-CA"/>
      <regZipOrPostalCode>92660</regZipOrPostalCode>
      <regPhone>(888) 877-4626</regPhone>
      <seriesName>PIMCO ABS and Short-Term Investments Portfolio</seriesName>
      <seriesId>S000009844</seriesId>
      <seriesLei>TQNOV3FW01CZTFL8YK48</seriesLei>
      <repPdEnd>2022-03-31</repPdEnd>
      <repPdDate>2021-06-30</repPdDate>
      <isFinalFiling>N</isFinalFiling>
    </genInfo>
    <fundInfo>
      <totAssets>7646311006.540000</totAssets>
      <totLiabs>2727377480.220000</totLiabs>
      <netAssets>4918933526.320000</netAssets>
      <assetsAttrMiscSec>0.000000</assetsAttrMiscSec>
      <assetsInvested>0.000000</assetsInvested>
      <amtPayOneYrBanksBorr>1914843.770000</amtPayOneYrBanksBorr>
      <amtPayOneYrCtrldComp>0.000000</amtPayOneYrCtrldComp>
      <amtPayOneYrOthAffil>0.000000</amtPayOneYrOthAffil>
      <amtPayOneYrOther>0.000000</amtPayOneYrOther>
      <amtPayAftOneYrBanksBorr>0.000000</amtPayAftOneYrBanksBorr>
      <amtPayAftOneYrCtrldComp>0.000000</amtPayAftOneYrCtrldComp>
      <amtPayAftOneYrOthAffil>0.000000</amtPayAftOneYrOthAffil>
      <amtPayAftOneYrOther>0.000000</amtPayAftOneYrOther>
      <delayDeliv>0.000000</delayDeliv>
      <standByCommit>0.000000</standByCommit>
      <liquidPref>0.000000</liquidPref>
      <cshNotRptdInCorD>110128470.510000</cshNotRptdInCorD>
      <curMetrics>
        <curMetric>
          <curCd>USD</curCd>
          <intrstRtRiskdv01 period10Yr="74730.208014" period1Yr="329034.643818" period30Yr="-209671.890622" period3Mon="53369.679414" period5Yr="215407.911130"/>
          <intrstRtRiskdv100 period10Yr="7988803.239808" period1Yr="44167964.591580" period30Yr="-17688408.325232" period3Mon="3833590.229774" period5Yr="29189978.977440"/>
        </curMetric>
      </curMetrics>
      <creditSprdRiskInvstGrade period10Yr="-27785.459900" period1Yr="347446.005900" period30Yr="-231155.534300" period3Mon="732505.455800" period5Yr="209598.894000"/>
      <creditSprdRiskNonInvstGrade period10Yr="36483.895000" period1Yr="170685.418400" period30Yr="2234.329000" period3Mon="342018.291600" period5Yr="188386.042400"/>
      <isNonCashCollateral>N</isNonCashCollateral>
      <returnInfo>
        <monthlyTotReturns>
          <monthlyTotReturn classId="C000027272" rtn1="0.31746" rtn2="0" rtn3="0.094937"/>
        </monthlyTotReturns>
        <monthlyReturnCats>
          <creditContracts>
            <mon1 netRealizedGain="106239.990000" netUnrealizedAppr="363738.460000"/>
            <mon2 netRealizedGain="138903.640000" netUnrealizedAppr="57536.450000"/>
            <mon3 netRealizedGain="158648.600000" netUnrealizedAppr="240036.920000"/>
            <swapCategory>
              <instrMon1 netRealizedGain="106239.990000" netUnrealizedAppr="363738.460000"/>
              <instrMon2 netRealizedGain="138903.640000" netUnrealizedAppr="57536.450000"/>
              <instrMon3 netRealizedGain="158648.600000" netUnrealizedAppr="240036.920000"/>
            </swapCategory>
          </creditContracts>
          <interestRtContracts>
            <mon1 netRealizedGain="2284789.200000" netUnrealizedAppr="-8289452.800000"/>
            <mon2 netRealizedGain="2577181.900000" netUnrealizedAppr="-4519113.650000"/>
            <mon3 netRealizedGain="846741.580000" netUnrealizedAppr="1083616.040000"/>
            <futureCategory>
              <instrMon1 netRealizedGain="2150429.500000" netUnrealizedAppr="-4238623.660000"/>
              <instrMon2 netRealizedGain="2299454.540000" netUnrealizedAppr="-3577584.810000"/>
              <instrMon3 netRealizedGain="0.000000" netUnrealizedAppr="532437.590000"/>
            </futureCategory>
            <optionCategory>
              <instrMon1 netRealizedGain="74179.700000" netUnrealizedAppr="581817.700000"/>
              <instrMon2 netRealizedGain="263839.860000" netUnrealizedAppr="-124653.380000"/>
              <instrMon3 netRealizedGain="153351.580000" netUnrealizedAppr="-16000.840000"/>
            </optionCategory>
            <swaptionCategory>
              <instrMon1 netRealizedGain="60180.000000" netUnrealizedAppr="22497.230000"/>
              <instrMon2 netRealizedGain="13887.500000" netUnrealizedAppr="347158.760000"/>
              <instrMon3 netRealizedGain="693390.000000" netUnrealizedAppr="-323682.090000"/>
            </swaptionCategory>
            <swapCategory>
              <instrMon1 netRealizedGain="0.000000" netUnrealizedAppr="-4655144.070000"/>
              <instrMon2 netRealizedGain="0.000000" netUnrealizedAppr="-1164034.220000"/>
              <instrMon3 netRealizedGain="0.000000" netUnrealizedAppr="890861.380000"/>
            </swapCategory>
          </interestRtContracts>
        </monthlyReturnCats>
        <othMon1 netRealizedGain="3223738.670000" netUnrealizedAppr="15456206.550000"/>
        <othMon2 netRealizedGain="4648143.150000" netUnrealizedAppr="-8811713.680000"/>
        <othMon3 netRealizedGain="848589.000000" netUnrealizedAppr="295571.270000"/>
      </returnInfo>
      <mon1Flow redemption="-32517592.000000" reinvestment="0.000000" sales="102841758.000000"/>
      <mon2Flow redemption="-51625921.820000" reinvestment="0.000000" sales="100974072.000000"/>
      <mon3Flow redemption="-60158658.830000" reinvestment="19754602.510000" sales="125992446.000000"/>

    </fundInfo>
    <invstOrSecs>
      <invstOrSec>
        <name>ASHFORD HOSPITALITY TRUST 2018-KEYS</name>
        <lei>N/A</lei>
        <title>ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS C 144A</title>
        <cusip>04410CAJ8</cusip>
        <identifiers>
          <isin value="US04410CAJ80"/>
        </identifiers>
        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2302129.340000</valUSD>
        <pctVal>0.0468014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.92288</annualizedRt>
          <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>CMBX.NA.AAA.9 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0C1D2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>889419.020000</valUSD>
        <pctVal>0.0180815</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA-9</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2058-09-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-5070111.270000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>81788820.560000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>5959530.290000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASHFORD HOSPITALITY TRUST 2018-KEYS</name>
        <lei>N/A</lei>
        <title>ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS D 144A</title>
        <cusip>04410CAL3</cusip>
        <identifiers>
          <isin value="US04410CAL37"/>
        </identifiers>
        <balance>3200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3090404.800000</valUSD>
        <pctVal>0.0628267</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82288</annualizedRt>
          <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>CMBX.NA.AAA.10 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0F525"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1100577.830000</valUSD>
        <pctVal>0.0223743</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.10</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2059-11-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-2202449.460000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>105850000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3303027.290000</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>CMBX.NA.AAA.10 SP JPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0G275"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>40550.340000</valUSD>
        <pctVal>0.0008244</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>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.10</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2059-11-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-73151.840000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>113702.180000</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>CMBX.NA.AAA.10 SP SAL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0FQP1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>639447.680000</valUSD>
        <pctVal>0.0129997</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>Signature Bank</counterpartyName>
              <counterpartyLei>VLP5AP0XK2GM6GKD1007</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.10</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2059-11-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-588086.310000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>61500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1227533.990000</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>CMBX.NA.AAA.11 SP DUB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0GMC2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>308390.540000</valUSD>
        <pctVal>0.0062695</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.11</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2054-11-19</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-286287.010000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>30000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>594677.550000</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>CMBX.NA.AAA.11 SP SAL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0GLU3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>566410.620000</valUSD>
        <pctVal>0.0115149</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>Signature Bank</counterpartyName>
              <counterpartyLei>VLP5AP0XK2GM6GKD1007</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.11</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2054-11-19</terminationDt>
            <upfrontPmnt>196705.730000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>55100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>369704.890000</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>CMBX.NA.AAA.12 SP FBF</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0HTH2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>36471.270000</valUSD>
        <pctVal>0.0007414</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.12</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2061-08-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-27946.360000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>64417.630000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CMBX.NA.AAA.12 SP MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0HTT6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>123090.550000</valUSD>
        <pctVal>0.0025024</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.12</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2061-08-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-37547.770000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>13500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>160638.320000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CMBX.NA.AAA.12 SP SAL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ4YGY9ZBMF1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>1194434.240000</valUSD>
        <pctVal>0.0242824</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>Signature Bank</counterpartyName>
              <counterpartyLei>VLP5AP0XK2GM6GKD1007</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.12</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2061-08-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-339336.180000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>131000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1533770.420000</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>CMBX.NA.AAA.13 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0J3X1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>219179.940000</valUSD>
        <pctVal>0.0044558</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CMBX.NA.AAA.13</issueTitle>
                <identifiers>
                  <ticker value="CMBX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2072-12-17</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-0.230000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>33800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>219180.170000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CMBX.NA.AAA.13 SP SAL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0K185"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>486346.010000</valUSD>
        <pctVal>0.0098872</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>Signature Bank</counterpartyName>
              <counterpartyLei>VLP5AP0XK2GM6GKD1007</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CMBX.NA.AAA.13</issueTitle>
                <identifiers>
                  <ticker value="CMBX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2072-12-17</terminationDt>
            <upfrontPmnt>300012.750000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>75000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>186333.260000</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>CMBX.NA.AAA.6 SP DUB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC04DQ8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>63403.070000</valUSD>
        <pctVal>0.0012890</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.6</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2063-05-12</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-375026.980000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>16045170.490000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>438430.050000</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>CMBX.NA.AAA.6 SP DUB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC743X7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>25757.500000</valUSD>
        <pctVal>0.0005236</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.6</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2063-05-12</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-141129.710000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6518350.510000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>166887.210000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CMBX.NA.AAA.6 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC722Y0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>660.460000</valUSD>
        <pctVal>0.0000134</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.6</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2063-05-12</terminationDt>
            <upfrontPmnt>898.940000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>167137.190000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-238.480000</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>CMBX.NA.AAA.6 SP JPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0CNN6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>82556.080000</valUSD>
        <pctVal>0.0016783</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>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.6</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2063-05-12</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-452338.790000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>20892149.080000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>534894.870000</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>CMBX.NA.AAA.6 SP MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC03R69"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>18492.570000</valUSD>
        <pctVal>0.0003759</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.6</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2063-05-12</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-101431.170000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4679841.390000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>119923.740000</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>CMBX.NA.AAA.7 SP MYC</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC04CS5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>23109.430000</valUSD>
        <pctVal>0.0004698</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>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.7</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2047-01-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-106050.920000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>3045728.660000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>129160.350000</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>CMBX.NA.AAA.8 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0ANY6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>16754.390000</valUSD>
        <pctVal>0.0003406</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.8</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2057-10-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-70627.470000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1650000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>87381.860000</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>CMBX.NA.AAA.8 SP JPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0AT79"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>725008.210000</valUSD>
        <pctVal>0.0147391</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>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>CMBX.NA.AAA.8</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2057-10-18</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-3276101.300000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>71400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4001109.510000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2002-NC1</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1</title>
        <cusip>04542BAZ5</cusip>
        <identifiers>
          <isin value="US04542BAZ58"/>
        </identifiers>
        <balance>323602.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>324433.500000</valUSD>
        <pctVal>0.0065956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2003-OPT1</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2003 OPT1 A3</title>
        <cusip>04542BDG4</cusip>
        <identifiers>
          <isin value="US04542BDG41"/>
        </identifiers>
        <balance>568698.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>554411.490000</valUSD>
        <pctVal>0.0112710</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2006-OPT3</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A1</title>
        <cusip>00075VAA9</cusip>
        <identifiers>
          <isin value="US00075VAA98"/>
        </identifiers>
        <balance>10070686.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7529423.460000</valUSD>
        <pctVal>0.1530702</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>0.3715</annualizedRt>
          <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>3175EQ856 OTC EPUT G2 2.5 102.296875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID03287"/>
        </identifiers>
        <balance>-5000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8567.000000</valUSD>
        <pctVal>-0.0001742</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>GNMA PASS THRU POOLS</issuerName>
                <issueTitle>GNMA II TBA 2.5% AUG 30YR JMBO</issueTitle>
                <identifiers>
                  <isin value="US21H0226892"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.300000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8229.880000</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>3175SR198 OTC EPUT G2 2.5 102.234375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID13534"/>
        </identifiers>
        <balance>-5500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-8974.900000</valUSD>
        <pctVal>-0.0001825</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>GNMA PASS THRU POOLS</issuerName>
                <issueTitle>GNMA II TBA 2.5% AUG 30YR JMBO</issueTitle>
                <identifiers>
                  <isin value="US21H0226892"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-12</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8642.290000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED SEC CORP HEQ LN 2001-HE2</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1</title>
        <cusip>04541GBN1</cusip>
        <identifiers>
          <isin value="US04541GBN16"/>
        </identifiers>
        <balance>111209.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107309.470000</valUSD>
        <pctVal>0.0021816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.59288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED SEC CORP HOME EQ 2003-HE2</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2003 HE2 M1</title>
        <cusip>04541GDS8</cusip>
        <identifiers>
          <isin value="US04541GDS84"/>
        </identifiers>
        <balance>32309.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32615.800000</valUSD>
        <pctVal>0.0006631</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.42288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED SEC CORP HOME EQ 2005-HE8</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M3</title>
        <cusip>04541GUQ3</cusip>
        <identifiers>
          <isin value="US04541GUQ36"/>
        </identifiers>
        <balance>35805000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35699787.010000</valUSD>
        <pctVal>0.7257627</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>0.7965</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED SEC HOME EQTY LN 2004-HE6</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2004 HE6 M1</title>
        <cusip>04541GLJ9</cusip>
        <identifiers>
          <isin value="US04541GLJ93"/>
        </identifiers>
        <balance>230540.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>230878.680000</valUSD>
        <pctVal>0.0046937</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0365</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ATLAS SENIOR LOAN FUND LTD 2017-8A</name>
        <lei>N/A</lei>
        <title>ATLAS SENIOR LOAN FUND LTD ATCLO 2017 8A A 144A</title>
        <cusip>04943AAC3</cusip>
        <identifiers>
          <isin value="US04943AAC36"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1000534.970000</valUSD>
        <pctVal>0.0203405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.53013</annualizedRt>
          <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>LBMLT 2003-3 M3 SP BOA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC32331"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>18290.440000</valUSD>
        <pctVal>0.0003718</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>BANK OF AMERICA CORPORATION</counterpartyName>
              <counterpartyLei>9DJT3UXIJIZJI4WXO774</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>LONG BEACH MORTGAGE LOAN TRUST 2003-3</issuerName>
                <issueTitle>LBMLT 2003-3 M3 1MLIB+350</issueTitle>
                <identifiers>
                  <isin value="US542514EC44"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="6.250000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2033-07-26</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>77602.070000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>18290.440000</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>SAIL 2004-10 M3 SP GST</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC04H76"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>13.050000</valUSD>
        <pctVal>0.0000003</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>STRUCTURED ASSET INVST LN TR 2004-10</issuerName>
                <issueTitle>SAIL 2004-10 M3 1MLIB+130</issueTitle>
                <identifiers>
                  <isin value="US86358EPE04"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.950000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2034-11-28</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-413.950000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>440.370000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>427.000000</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>317U221Y1 PIMCO SWAPTION 0.0176 PUT USD 202107</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP000VXS4"/>
        </identifiers>
        <balance>-1800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-32.760000</valUSD>
        <pctVal>-0.0000007</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.76000 07/09/21-10Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU019ZV1"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.76000 07/09/21-10Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.760000"/>
                  <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"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-07-09</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>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>13737.240000</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>317U237Y3 PIMCO SWAPTION 0.01776 PUT USD 20210</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP000VZS2"/>
        </identifiers>
        <balance>-1100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-14.850000</valUSD>
        <pctVal>-0.0000003</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
              <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.77600 07/09/21-10Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01A0O2"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.77600 07/09/21-10Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.776000"/>
                  <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"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-07-09</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>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8152.650000</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>317U559Y3 PIMCO SWAPTION 0.01905 PUT USD 20210</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0010776"/>
        </identifiers>
        <balance>-10100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17498.250000</valUSD>
        <pctVal>-0.0003557</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>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.90500 09/07/21-10Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01ALC5"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.90500 09/07/21-10Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.905000"/>
                  <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"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-09-07</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>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>31991.750000</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>317U560Y0 PIMCO SWAPTION 0.01405 CALL USD 2021</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0010792"/>
        </identifiers>
        <balance>-10100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-75929.780000</valUSD>
        <pctVal>-0.0015436</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>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.40500 09/07/21-10Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01ALD3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.40500 09/07/21-10Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.405000"/>
                  <terminationDt>2031-09-07</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>0.010000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-02</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-26439.780000</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>317U606Y6 PIMCO SWAPTION 0.016975 PUT USD 2021</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0010WN3"/>
        </identifiers>
        <balance>-4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10210.000000</valUSD>
        <pctVal>-0.0002076</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>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>IRS USD R 1.69750 08/13/21-10Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01ARJ4"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.69750 08/13/21-10Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.697500"/>
                  <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"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2031-08-13</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>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5190.000000</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>317U607Y5 PIMCO SWAPTION 0.012975 CALL USD 202</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0010WM5"/>
        </identifiers>
        <balance>-4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10991.600000</valUSD>
        <pctVal>-0.0002235</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>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>IRS USD R 1.29750 08/13/21-10Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01ARK1"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.29750 08/13/21-10Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.297500"/>
                  <terminationDt>2031-08-13</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>0.010000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4408.400000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U608Y4 PIMCO SWAPTION 0.02086 PUT USD 20210</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0010WL7"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6343.200000</valUSD>
        <pctVal>-0.0001290</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 2.08600 08/13/21-30Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01ARL9"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 2.08600 08/13/21-30Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.086000"/>
                  <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"/>
                    </rtResetTenors>
                  </floatingPmntDesc>
                  <terminationDt>2051-08-13</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>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>9031.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317U609Y3 PIMCO SWAPTION 0.01686 CALL USD 2021</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP0010WK9"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-19891.800000</valUSD>
        <pctVal>-0.0004044</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.68600 08/13/21-30Y CME</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU01ARN5"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DIR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <indexBasketInfo>
                      <indexName>IRS USD R 1.68600 08/13/21-30Y CME</indexName>
                      <indexIdentifier>N/A</indexIdentifier>
                      <narrativeDesc>N/A</narrativeDesc>
                    </indexBasketInfo>
                  </descRefInstrmnt>
                  <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
                    <rtResetTenors>
                      <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
                    </rtResetTenors>
                  </floatingRecDesc>
                  <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.686000"/>
                  <terminationDt>2051-08-13</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>0.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-11</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-4516.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-AHT</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MERRILL LYNCH BAMLL 2019 AHT A 144A</title>
        <cusip>05525DAA4</cusip>
        <identifiers>
          <isin value="US05525DAA46"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>901600.560000</valUSD>
        <pctVal>0.0183292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.273</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MERRILL LYNCH BAMLL 2019 RLJ A 144A</title>
        <cusip>05492HAA4</cusip>
        <identifiers>
          <isin value="US05492HAA41"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3495577.750000</valUSD>
        <pctVal>0.0710637</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.123</annualizedRt>
          <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>IRS USD 0.50000 06/16/21-5Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU017A59"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6141874.260000</valUSD>
        <pctVal>-0.1248619</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <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"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2026-06-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-7393818.620000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>275900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>1251944.360000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 0.50000 06/16/21-7Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU017A42"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6095056.440000</valUSD>
        <pctVal>-0.1239101</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.500000"/>
            <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"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2028-06-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-6977200.260000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>125534000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>882143.820000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA ALT LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA ALTERNATIVE LO BOAA 2007 1 3A26</title>
        <cusip>059496BF5</cusip>
        <identifiers>
          <isin value="US059496BF58"/>
        </identifiers>
        <balance>2071795.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2056560.300000</valUSD>
        <pctVal>0.0418091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</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>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 0.75000 06/16/21-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU017A18"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-20934628.600000</valUSD>
        <pctVal>-0.4255928</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.750000"/>
            <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"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2031-06-16</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-30356388.380000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>315622000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>9421759.780000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 0.92750 05/06/21-5Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01A5H2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5025.770000</valUSD>
        <pctVal>-0.0001022</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.927500"/>
            <terminationDt>2026-05-06</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-13887.500000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>10100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>8861.730000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.00000 06/17/20-2Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZC9QN5CQGX2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-315092.060000</valUSD>
        <pctVal>-0.0064057</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2022-06-17</terminationDt>
            <upfrontPmnt>442535.400000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>37900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-757627.460000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA COMM MRTG INC 2007-5</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA COMMERCIAL MOR BACM 2007 5 AJ</title>
        <cusip>05952CAH3</cusip>
        <identifiers>
          <isin value="US05952CAH34"/>
        </identifiers>
        <balance>43096787.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44528462.700000</valUSD>
        <pctVal>0.9052463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-02-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.01588</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>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.00000 12/16/20-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZTFF5LYN9B3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>343067.120000</valUSD>
        <pctVal>0.0069744</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <terminationDt>2030-12-16</terminationDt>
            <upfrontPmnt>40454.860000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>9102000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>302612.260000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.25000 06/16/21-30Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU0178Y9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>8155760.840000</valUSD>
        <pctVal>0.1658034</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.250000"/>
            <terminationDt>2051-06-16</terminationDt>
            <upfrontPmnt>13167798.390000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>65800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-5012037.550000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.25000 06/17/20-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZWFBCKW5586"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3633435.580000</valUSD>
        <pctVal>0.0738663</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.250000"/>
            <terminationDt>2030-06-17</terminationDt>
            <upfrontPmnt>13562788.920000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>320180000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-9929353.340000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.50000 06/21/17-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ499CTRXMK7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-333465.280000</valUSD>
        <pctVal>-0.0067792</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.500000"/>
            <terminationDt>2027-06-21</terminationDt>
            <upfrontPmnt>1178479.670000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>13600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1511944.950000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.50000 12/18/19-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ81ZNLGS404"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-149267.730000</valUSD>
        <pctVal>-0.0030346</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.500000"/>
            <terminationDt>2029-12-18</terminationDt>
            <upfrontPmnt>367060.600000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>11800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-516328.330000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.50000 12/18/19-2Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ5M8XH022F2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-34005.550000</valUSD>
        <pctVal>-0.0006913</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.500000"/>
            <terminationDt>2021-12-20</terminationDt>
            <upfrontPmnt>18306.010000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-52311.560000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.52400 01/19/21-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU017R69"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1360259.210000</valUSD>
        <pctVal>-0.0276535</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.524000"/>
            <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"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2051-01-19</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-186825.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>23500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1173434.210000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.75000 01/15/20-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ6QSRSXKSP7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1975057.620000</valUSD>
        <pctVal>-0.0401522</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.750000"/>
            <terminationDt>2030-01-15</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-587371.760000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>49400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1387685.860000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.75000 12/21/16-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ91QR837HN3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1574840.470000</valUSD>
        <pctVal>-0.0320159</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.750000"/>
            <terminationDt>2026-12-21</terminationDt>
            <upfrontPmnt>2399280.920000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>40500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-3974121.390000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.75000 12/21/16-10Y LCH</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ1MLR9KQRN3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2573171.420000</valUSD>
        <pctVal>-0.0523116</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>London Clearing house</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.750000"/>
            <terminationDt>2026-12-21</terminationDt>
            <upfrontPmnt>3695783.210000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>64900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-6268954.630000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2005-B</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 3M1</title>
        <cusip>05946XSG9</cusip>
        <identifiers>
          <isin value="US05946XSG96"/>
        </identifiers>
        <balance>486555.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>488000.930000</valUSD>
        <pctVal>0.0099209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.76838</annualizedRt>
          <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>IRS USD 1.96700 06/23/21-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01AWJ8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1000259.880000</valUSD>
        <pctVal>-0.0203349</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.967000"/>
            <terminationDt>2051-06-23</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-171750.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>22900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-828509.880000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 1.96800 06/23/21-30Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01AWK5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3030748.640000</valUSD>
        <pctVal>-0.0616139</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.968000"/>
            <terminationDt>2051-06-23</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-521640.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>69000000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-2509108.640000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.00000 02/12/20-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ8FRZHLYCL3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1725783.580000</valUSD>
        <pctVal>-0.0350845</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.000000"/>
            <terminationDt>2030-02-12</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-504953.870000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>28600000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1220829.710000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.00000 03/10/20-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZ9K238VZ9V4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-832947.630000</valUSD>
        <pctVal>-0.0169335</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.000000"/>
            <terminationDt>2030-03-11</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-13370.920000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>14100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-819576.710000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.00000 06/15/16-7Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00FLT8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1437394.770000</valUSD>
        <pctVal>-0.0292217</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.000000"/>
            <terminationDt>2023-06-15</terminationDt>
            <upfrontPmnt>434178.050000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>42500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1871572.820000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 2.00000 12/10/19-10Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="EZFHN06C9WH8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-800398.800000</valUSD>
        <pctVal>-0.0162718</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="2.000000"/>
            <terminationDt>2029-12-10</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-25145.620000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>14800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-775253.180000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>IRS USD 3.00000 06/19/19-7Y CME</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU00RZU4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-17789882.200000</valUSD>
        <pctVal>-0.3616614</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>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Chicago Mercantile Exchange</counterpartyName>
              <counterpartyLei>SNZ2OJLFK8MNNCLQOF39</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>USD-LIBOR-BBA-Bloomberg 3M</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 3M" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Month" rateTenorUnit="3" resetDt="Month" resetDtUnit="3"/>
              </rtResetTenors>
            </floatingRecDesc>
            <fixedPmntDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="3.000000"/>
            <terminationDt>2026-06-19</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-6234285.400000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>176400000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-11555596.800000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2006-H</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1</title>
        <cusip>05950PAA1</cusip>
        <identifiers>
          <isin value="US05950PAA12"/>
        </identifiers>
        <balance>1455033.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1441142.750000</valUSD>
        <pctVal>0.0292979</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81504</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>BANC OF AMERICA FUNDING CORP 2006-H</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1</title>
        <cusip>05950PAU7</cusip>
        <identifiers>
          <isin value="US05950PAU75"/>
        </identifiers>
        <balance>3556270.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2996711.280000</valUSD>
        <pctVal>0.0609220</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.47338</annualizedRt>
          <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 2006-I</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 5A1</title>
        <cusip>05951VAJ8</cusip>
        <identifiers>
          <isin value="US05951VAJ89"/>
        </identifiers>
        <balance>271397.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>247168.350000</valUSD>
        <pctVal>0.0050248</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82309</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>BANC OF AMERICA FUNDING CORP 2006-J</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1</title>
        <cusip>05951EAM9</cusip>
        <identifiers>
          <isin value="US05951EAM93"/>
        </identifiers>
        <balance>8124.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7800.630000</valUSD>
        <pctVal>0.0001586</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.34793</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>N/A</name>
        <lei>N/A</lei>
        <title>31750IA31 OTC EPUT FN 2.0 99.0234375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID21347"/>
        </identifiers>
        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7235.000000</valUSD>
        <pctVal>-0.0001471</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5265.000000</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>3175122I1 OTC EPUT FN 2.0 99.28125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID25579"/>
        </identifiers>
        <balance>-2250000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-9128.480000</valUSD>
        <pctVal>-0.0001856</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.280000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1769.960000</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>317513OU8 OTC ECAL FN 2.0 JUL21 101.2265625 CALL</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC71187"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1588.700000</valUSD>
        <pctVal>-0.0000323</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3489.430000</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>317522JH4 OTC ECAL FN 2.0 101.28125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID25561"/>
        </identifiers>
        <balance>-4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-16781.200000</valUSD>
        <pctVal>-0.0003412</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.280000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-5531.200000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175329I2 OTC ECAL FN 2.0 101.421875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC72508"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-899.100000</valUSD>
        <pctVal>-0.0000183</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.420000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3397.780000</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>3175352M3 OTC ECAL FN 2.0 101.203125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC79164"/>
        </identifiers>
        <balance>-4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6757.600000</valUSD>
        <pctVal>-0.0001374</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7929.900000</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>317541XL9 OTC ECAL FN 2.0 101.640625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC80352"/>
        </identifiers>
        <balance>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1161.440000</valUSD>
        <pctVal>-0.0000236</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.640000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7916.690000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317544HK3 OTC ECAL FN 2.0 101.21875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC81491"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1621.800000</valUSD>
        <pctVal>-0.0000330</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.220000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3456.330000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175473P0 OTC ECAL FN 2.5 103.84375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID24945"/>
        </identifiers>
        <balance>-900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1439.370000</valUSD>
        <pctVal>-0.0000293</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226914"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.840000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-173.740000</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>317547IZ2 OTC ECAL FN 2.0 101.328125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID24200"/>
        </identifiers>
        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7970.200000</valUSD>
        <pctVal>-0.0001620</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.330000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1563.950000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317555GU8 OTC ECAL FN 2.5 104.046875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC77721"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-69.400000</valUSD>
        <pctVal>-0.0000014</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226757"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.050000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1649.350000</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>317563S13 OTC ECAL FN 2.0 101.2265625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC70700"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2383.050000</valUSD>
        <pctVal>-0.0000484</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5292.730000</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>3175648Z8 OTC ECAL FN 2.0 101.0234375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID21354"/>
        </identifiers>
        <balance>-2000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10910.000000</valUSD>
        <pctVal>-0.0002218</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.020000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-2160.000000</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>317565TE9 OTC ECAL FN 2.0 101.421875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC72516"/>
        </identifiers>
        <balance>-3000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2697.300000</valUSD>
        <pctVal>-0.0000548</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.420000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>10427.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317566TH0 OTC ECAL FN 2.0 101.765625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC80527"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-247.800000</valUSD>
        <pctVal>-0.0000050</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.770000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2877.200000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317567FZ3 OTC ECAL FN 2.0 101.3125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID24192"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6081.750000</valUSD>
        <pctVal>-0.0001236</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.310000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1394.250000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317567PG4 OTC EPUT FN 2.0 99.640625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC76525"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>192.750000</valUSD>
        <pctVal>0.0000039</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.640000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8068.970000</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>3175684P5 OTC EPUT FN 2.5 102.375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC81509"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-114.900000</valUSD>
        <pctVal>-0.0000023</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226757"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.380000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4572.600000</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>317571057 OTC EPUT FN 2.0 99.6640625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC75873"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>336.750000</valUSD>
        <pctVal>0.0000068</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.660000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-13725.750000</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>317572CY9 OTC EPUT FN 2.5 101.84375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID24952"/>
        </identifiers>
        <balance>-900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2337.030000</valUSD>
        <pctVal>-0.0000475</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226914"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.840000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>264.530000</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>317572WL5 OTC ECAL FN 2.0 101.64453125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC80360"/>
        </identifiers>
        <balance>-2800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1143.800000</valUSD>
        <pctVal>-0.0000233</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.640000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8043.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317573NC3 OTC EPUT FN 2.5 102.1640625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC75899"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-66.150000</valUSD>
        <pctVal>-0.0000013</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226757"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.160000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5793.230000</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>317591AW5 OTC EPUT FN 2.5 102.046875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC77739"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-32.700000</valUSD>
        <pctVal>-0.0000007</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226757"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.050000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3404.800000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317593UM1 OTC EPUT FN 2.5 102.2109375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC75881"/>
        </identifiers>
        <balance>-1800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-89.640000</valUSD>
        <pctVal>-0.0000018</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226757"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.210000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6800.990000</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>317594562 OTC ECAL FN 2.0 101.296875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID21909"/>
        </identifiers>
        <balance>-1800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7424.280000</valUSD>
        <pctVal>-0.0001509</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206957"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.300000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1236.780000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING TRUST 2015-R5</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2015 R5 1A3 144A</title>
        <cusip>05990WAD2</cusip>
        <identifiers>
          <isin value="US05990WAD20"/>
        </identifiers>
        <balance>65289840.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61214010.750000</valUSD>
        <pctVal>1.2444570</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.22163</annualizedRt>
          <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>3175DB900 OTC EPUT FN 2.0 99.609375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC83612"/>
        </identifiers>
        <balance>-4000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-482.800000</valUSD>
        <pctVal>-0.0000098</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.610000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>16392.200000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA MORTGAGE SECURITIES 2003-K</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 K 1A1</title>
        <cusip>05948XZB0</cusip>
        <identifiers>
          <isin value="US05948XZB09"/>
        </identifiers>
        <balance>63317.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64383.870000</valUSD>
        <pctVal>0.0013089</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.37149</annualizedRt>
          <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>3175DB918 OTC EPUT FN 2.5 102.078125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC83620"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1207.800000</valUSD>
        <pctVal>-0.0000246</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.080000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3167.200000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175DB959 OTC EPUT FN 2.0 99.546875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC86086"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-159.600000</valUSD>
        <pctVal>-0.0000032</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.550000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5699.780000</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>3175DC056 OTC ECAL FN 2.5 103.609375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC90443"/>
        </identifiers>
        <balance>-2500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4873.250000</valUSD>
        <pctVal>-0.0000991</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.610000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2939.250000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175DC114 OTC ECAL FN 2.5 103.796875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC91243"/>
        </identifiers>
        <balance>-2500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3157.750000</valUSD>
        <pctVal>-0.0000642</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.800000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4361.780000</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>3175DC262 OTC EPUT FN 3.0 104.140625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID16412"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2440.200000</valUSD>
        <pctVal>-0.0000496</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 3.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0306864"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.140000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>137.930000</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>3175EQ849 OTC EPUT FN 2.5 102.296875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC91250"/>
        </identifiers>
        <balance>-2500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3655.250000</valUSD>
        <pctVal>-0.0000743</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>FIRST UNION NATIONAL BANK CHARLOTTE</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.300000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5231.470000</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>3175EQ864 OTC EPUT FN 2.5 102.34375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID03295"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2287.800000</valUSD>
        <pctVal>-0.0000465</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.340000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2809.860000</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>3175ER201 OTC EPUT FN 2.0 99.6875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID18046"/>
        </identifiers>
        <balance>-2500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5620.500000</valUSD>
        <pctVal>-0.0001143</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.690000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2387.310000</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>3175ER235 OTC EPUT FN 3.0 103.984375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID18590"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3528.900000</valUSD>
        <pctVal>-0.0000717</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 3.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0306948"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.980000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1041.410000</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>3175ER334 OTC EPUT FN 3.0 103.6953125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID19770"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2380.500000</valUSD>
        <pctVal>-0.0000484</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 3.0% SEP 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0306948"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.700000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-09-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2189.810000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ER342 OTC EPUT FN 2.0 99.1875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID19796"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2405.250000</valUSD>
        <pctVal>-0.0000489</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.190000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2633.810000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ER359 OTC EPUT FN 2.5 101.703125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID19812"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1331.850000</valUSD>
        <pctVal>-0.0000271</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.700000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1597.840000</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>3175SQ034 OTC EPUT FN 2.0 99.47265625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC83646"/>
        </identifiers>
        <balance>-3000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5816.700000</valUSD>
        <pctVal>-0.0001183</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.470000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>12816.110000</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>3175SQ042 OTC EPUT FN 2.0 100.47265625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC83638"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>6002.250000</valUSD>
        <pctVal>0.0001220</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.470000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-8060.250000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175SQ067 OTC EPUT FN 2.0 99.171875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC85484"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2380.800000</valUSD>
        <pctVal>-0.0000484</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.170000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7052.790000</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>3175SQ075 OTC EPUT FN 2.0 99.375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC85476"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-75.600000</valUSD>
        <pctVal>-0.0000015</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.380000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4143.150000</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>3175SR073 OTC EPUT FN 2.5 103.234375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC91235"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>9286.750000</valUSD>
        <pctVal>0.0001888</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-4971.060000</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>3175SR081 OTC EPUT FN 2.5 102.234375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC91268"/>
        </identifiers>
        <balance>-5000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-6915.500000</valUSD>
        <pctVal>-0.0001406</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.230000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8709.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175SR214 OTC EPUT FN 3.0 104.2578125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID14003"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2110.300000</valUSD>
        <pctVal>-0.0000429</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 3.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0306864"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.260000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>936.580000</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>3175SR255 OTC EPUT FN 2.5 102.5859375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID15059"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1912.000000</valUSD>
        <pctVal>-0.0000389</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.590000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1603.630000</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>3175SR313 OTC EPUT FN 2.0 99.9375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID18038"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2686.100000</valUSD>
        <pctVal>-0.0000546</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.940000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>517.030000</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>3175XG121 OTC EPUT FN 2.5 102.1015625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC83604"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1232.300000</valUSD>
        <pctVal>-0.0000251</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>102.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3142.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ZM381 OTC ECAL FN 2.0 101.3671875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC89676"/>
        </identifiers>
        <balance>-1900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5316.010000</valUSD>
        <pctVal>-0.0001081</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS &amp; CO. LLC</counterpartyName>
              <counterpartyLei>FOR8UP27PHTHYVLBNG30</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.370000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>992.580000</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>3175ZM654 OTC EPUT FN 2.0 100.21875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC81483"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-422.800000</valUSD>
        <pctVal>-0.0000086</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.220000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5670.950000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ZM811 OTC EPUT FN 2.0 99.671875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC83596"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-205.350000</valUSD>
        <pctVal>-0.0000042</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.670000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6239.960000</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>3175ZM829 OTC EPUT FN 2.0 100.15625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC84792"/>
        </identifiers>
        <balance>1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4730.550000</valUSD>
        <pctVal>0.0000962</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.160000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-9331.950000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ZM837 OTC EPUT FN 2.0 99.15625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC84800"/>
        </identifiers>
        <balance>-3000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4713.300000</valUSD>
        <pctVal>-0.0000958</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.160000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>14036.700000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ZM852 OTC EPUT FN 2.5 101.80078125</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC85500"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-959.900000</valUSD>
        <pctVal>-0.0000195</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.800000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3493.230000</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>3175ZM860 OTC EPUT FN 2.0 99.171875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC85468"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2380.800000</valUSD>
        <pctVal>-0.0000484</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.170000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>6877.010000</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>3175ZM878 OTC ECAL FN 2.0 101.375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC85492"/>
        </identifiers>
        <balance>-1000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1040.800000</valUSD>
        <pctVal>-0.0000212</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.380000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1615.450000</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>3175ZM886 OTC ECAL FN 2.0 101.546875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC86094"/>
        </identifiers>
        <balance>-500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-294.450000</valUSD>
        <pctVal>-0.0000060</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% JUL 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206791"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.550000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-07-07</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>877.430000</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>3175ZN017 OTC EPUT FN 2.5 101.984375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC89684"/>
        </identifiers>
        <balance>-1900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2120.210000</valUSD>
        <pctVal>-0.0000431</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.980000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4411.040000</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>3175ZN025 OTC ECAL FN 2.5 103.984375</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEIC89692"/>
        </identifiers>
        <balance>-1900000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1442.860000</valUSD>
        <pctVal>-0.0000293</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>J.P. MORGAN SECURITIES LLC</counterpartyName>
              <counterpartyLei>ZBUT11V806EZRVTWT807</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.5% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0226831"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>103.980000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>2416.520000</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>3175ZN223 OTC EPUT FN 2.0 99.40625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID13989"/>
        </identifiers>
        <balance>-5000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-9269.500000</valUSD>
        <pctVal>-0.0001884</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>99.410000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>12214.880000</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>3175ZN231 OTC ECAL FN 2.0 101.40625</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID13997"/>
        </identifiers>
        <balance>-5000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-13193.000000</valUSD>
        <pctVal>-0.0002682</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.410000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-1864.870000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175ZN488 OTC ECAL FN 2.0 101.1875</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="AEID19788"/>
        </identifiers>
        <balance>-1500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5402.250000</valUSD>
        <pctVal>-0.0001098</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="OPT">
            <counterparties>
              <counterpartyName>CITIGROUP INC.</counterpartyName>
              <counterpartyLei>6SHGI4ZSSLCXXQSBB395</counterpartyLei>
            </counterparties>
            <putOrCall>Call</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>UMBS PASS THRU POOLS</issuerName>
                <issueTitle>FNMA TBA 2.0% AUG 30YR</issueTitle>
                <identifiers>
                  <isin value="US01F0206874"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.190000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2021-08-05</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>-3058.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)SEP21 XCBT 20210921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYU1"/>
        </identifiers>
        <balance>-2270.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1660958.920000</valUSD>
        <pctVal>-0.0337666</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="ADI1TVMG2-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-09-21</expDate>
            <notionalAmt>-300579920.740000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1660958.920000</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 2YR NOTE (CBT) SEP21 XCBT 20210930</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TUU1"/>
        </identifiers>
        <balance>809.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-288562.210000</valUSD>
        <pctVal>-0.0058664</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1TWHC5-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-09-30</expDate>
            <notionalAmt>178242292.360000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-288562.210000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 5YR NOTE (CBT) SEP21 XCBT 20210930</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVU1"/>
        </identifiers>
        <balance>-172.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>58226.130000</valUSD>
        <pctVal>0.0011837</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="ADI1TWJQ2-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-09-30</expDate>
            <notionalAmt>-21221171.830000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>58226.130000</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) SEP21 XCBT 20210921</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USU1"/>
        </identifiers>
        <balance>488.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2277732.030000</valUSD>
        <pctVal>0.0463054</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
            <counterparties>
              <counterpartyName>Chicago Board of Trade</counterpartyName>
              <counterpartyLei>549300EX04Q2QBFQTQ27</counterpartyLei>
            </counterparties>
            <payOffProf>Long</payOffProf>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>UNITED STATES GOVT</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="ADI1TVLW8-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2021-09-21</expDate>
            <notionalAmt>78346875.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2277732.030000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2</name>
        <lei>N/A</lei>
        <title>THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 AS 144A</title>
        <cusip>05972AAC4</cusip>
        <identifiers>
          <isin value="US05972AAC45"/>
        </identifiers>
        <balance>2138312.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2138757.660000</valUSD>
        <pctVal>0.0434801</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.27288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCORP COMMERCIAL MORTGAGE TRUST 2017-CRE2</name>
        <lei>N/A</lei>
        <title>THE BANCORP COMMERCIAL MORTGAG BANC 2017 CRE2 B 144A</title>
        <cusip>05972AAE0</cusip>
        <identifiers>
          <isin value="US05972AAE01"/>
        </identifiers>
        <balance>7300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7310840.500000</valUSD>
        <pctVal>0.1486265</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.67288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCORP COMMERCIAL MORTGAGE TRUST 2019-CRE6</name>
        <lei>N/A</lei>
        <title>THE BANCORP COMMERCIAL MORTGAG BANC 2019 CRE6 A 144A</title>
        <cusip>05973BAA5</cusip>
        <identifiers>
          <isin value="US05973BAA52"/>
        </identifiers>
        <balance>335122.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>335240.920000</valUSD>
        <pctVal>0.0068153</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17448</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTG SEC 2005-3</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 3A1</title>
        <cusip>05949A6L9</cusip>
        <identifiers>
          <isin value="US05949A6L94"/>
        </identifiers>
        <balance>244875.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>240329.850000</valUSD>
        <pctVal>0.0048858</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>2.96047</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTG SEC 2005-I</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 I 2A1</title>
        <cusip>05949CHQ2</cusip>
        <identifiers>
          <isin value="US05949CHQ24"/>
        </identifiers>
        <balance>303917.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>310172.910000</valUSD>
        <pctVal>0.0063057</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>2.92583</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>BANK OF AMERICA MTGE SEC 2003-J</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 J 4A1</title>
        <cusip>05948XYQ8</cusip>
        <identifiers>
          <isin value="US05948XYQ86"/>
        </identifiers>
        <balance>13523.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13929.190000</valUSD>
        <pctVal>0.0002832</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.60175</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTGE SECURITIES 2004-E</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 2A6</title>
        <cusip>05949AHA1</cusip>
        <identifiers>
          <isin value="US05949AHA16"/>
        </identifiers>
        <balance>160584.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>164182.340000</valUSD>
        <pctVal>0.0033378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.76372</annualizedRt>
          <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 COMMERCIAL MORTGAGE SECURITIES LLC 2018-RRI</name>
        <lei>N/A</lei>
        <title>BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 RRI D 144A</title>
        <cusip>05492CAL1</cusip>
        <identifiers>
          <isin value="US05492CAL19"/>
        </identifiers>
        <balance>5419849.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5436400.920000</valUSD>
        <pctVal>0.1105199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.12288</annualizedRt>
          <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 COMMERCIAL MORTGAGE SECURITIES LLC 2018-RRI</name>
        <lei>N/A</lei>
        <title>BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 RRI E 144A</title>
        <cusip>05492CAN7</cusip>
        <identifiers>
          <isin value="US05492CAN74"/>
        </identifiers>
        <balance>35400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35616382.500000</valUSD>
        <pctVal>0.7240672</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.17288</annualizedRt>
          <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  MTGE SEC INC 1997-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A</title>
        <cusip>073914WC3</cusip>
        <identifiers>
          <isin value="US073914WC36"/>
        </identifiers>
        <balance>4571.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4706.240000</valUSD>
        <pctVal>0.0000957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.51779</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS  STRUC PROD INC 2007-R6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1</title>
        <cusip>07402FAA3</cusip>
        <identifiers>
          <isin value="US07402FAA30"/>
        </identifiers>
        <balance>2898056.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2484150.140000</valUSD>
        <pctVal>0.0505018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.22717</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  STRUC PROD INC 2007-R6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1</title>
        <cusip>07402FAC9</cusip>
        <identifiers>
          <isin value="US07402FAC95"/>
        </identifiers>
        <balance>3464407.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3045067.130000</valUSD>
        <pctVal>0.0619050</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.98574</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2003-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 3 B1</title>
        <cusip>07384MUW0</cusip>
        <identifiers>
          <isin value="US07384MUW09"/>
        </identifiers>
        <balance>114306.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106658.760000</valUSD>
        <pctVal>0.0021683</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>2.63416</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2004-2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A</title>
        <cusip>07384MN57</cusip>
        <identifiers>
          <isin value="US07384MN579"/>
        </identifiers>
        <balance>53576.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50114.750000</valUSD>
        <pctVal>0.0010188</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.66537</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2004-7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 7 1A1</title>
        <cusip>07384MX98</cusip>
        <identifiers>
          <isin value="US07384MX982"/>
        </identifiers>
        <balance>43884.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38002.640000</valUSD>
        <pctVal>0.0007726</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>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2005-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 6 3A1</title>
        <cusip>07387ADJ1</cusip>
        <identifiers>
          <isin value="US07387ADJ16"/>
        </identifiers>
        <balance>767551.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>779165.000000</valUSD>
        <pctVal>0.0158401</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>2.69004</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2007-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1</title>
        <cusip>073881AA2</cusip>
        <identifiers>
          <isin value="US073881AA25"/>
        </identifiers>
        <balance>348062.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>346329.280000</valUSD>
        <pctVal>0.0070407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.15643</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 ADJUST RT MTGE TR 2000-</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1</title>
        <cusip>07384MAA0</cusip>
        <identifiers>
          <isin value="US07384MAA09"/>
        </identifiers>
        <balance>29467.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29333.530000</valUSD>
        <pctVal>0.0005963</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78017</annualizedRt>
          <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 ADJUSTABLE RATE MORTGAGE TRUST 2003-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1</title>
        <cusip>07384MZS4</cusip>
        <identifiers>
          <isin value="US07384MZS42"/>
        </identifiers>
        <balance>34046.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34655.180000</valUSD>
        <pctVal>0.0007045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.30238</annualizedRt>
          <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 ADJUSTABLE RATE MORTGAGE TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 1 14A1</title>
        <cusip>07384MH70</cusip>
        <identifiers>
          <isin value="US07384MH704"/>
        </identifiers>
        <balance>53512.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52112.210000</valUSD>
        <pctVal>0.0010594</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.52332</annualizedRt>
          <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 ADJUSTABLE RATE MORTGAGE TRUST 2004-12</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 12 4A1</title>
        <cusip>07384M6Q0</cusip>
        <identifiers>
          <isin value="US07384M6Q01"/>
        </identifiers>
        <balance>144580.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>146272.570000</valUSD>
        <pctVal>0.0029737</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>2.88304</annualizedRt>
          <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 ADJUSTABLE RATE MORTGAGE TRUST 2005-12</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 22A1</title>
        <cusip>07387AGC3</cusip>
        <identifiers>
          <isin value="US07387AGC36"/>
        </identifiers>
        <balance>88394.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88449.640000</valUSD>
        <pctVal>0.0017981</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>2.33728</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 ALT-A TR 2005-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 3 4A3</title>
        <cusip>07386HSN2</cusip>
        <identifiers>
          <isin value="US07386HSN25"/>
        </identifiers>
        <balance>35794.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36400.320000</valUSD>
        <pctVal>0.0007400</pctVal>
        <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>2.50486</annualizedRt>
          <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 2003-5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2003 5 2A2</title>
        <cusip>07386HDM0</cusip>
        <identifiers>
          <isin value="US07386HDM07"/>
        </identifiers>
        <balance>225320.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232700.880000</valUSD>
        <pctVal>0.0047307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.59598</annualizedRt>
          <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 2005-10</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 10 24A1</title>
        <cusip>07386HZJ3</cusip>
        <identifiers>
          <isin value="US07386HZJ30"/>
        </identifiers>
        <balance>636052.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>636614.230000</valUSD>
        <pctVal>0.0129421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.66719</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 ALT-A TRUST 2005-5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1</title>
        <cusip>07386HUJ8</cusip>
        <identifiers>
          <isin value="US07386HUJ84"/>
        </identifiers>
        <balance>11038753.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9099109.030000</valUSD>
        <pctVal>0.1849813</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>Variable</couponKind>
          <annualizedRt>2.57844</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 ALT-A TRUST 2005-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 9 22A1</title>
        <cusip>07386HYB1</cusip>
        <identifiers>
          <isin value="US07386HYB13"/>
        </identifiers>
        <balance>1104311.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>827427.700000</valUSD>
        <pctVal>0.0168213</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>2.73022</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 ALT-A TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 1 21A1</title>
        <cusip>07386HB75</cusip>
        <identifiers>
          <isin value="US07386HB751"/>
        </identifiers>
        <balance>3522694.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2978842.550000</valUSD>
        <pctVal>0.0605587</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>2.92883</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 ALT-A TRUST 2006-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 4 21A1</title>
        <cusip>073871AN5</cusip>
        <identifiers>
          <isin value="US073871AN55"/>
        </identifiers>
        <balance>2039866.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1529386.070000</valUSD>
        <pctVal>0.0310918</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>2.7149</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 ALT-A TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2</title>
        <cusip>073873AK7</cusip>
        <identifiers>
          <isin value="US073873AK72"/>
        </identifiers>
        <balance>1109688.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>732652.290000</valUSD>
        <pctVal>0.0148945</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>3.38869</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 ARM TR 2004-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1</title>
        <cusip>07384MQ70</cusip>
        <identifiers>
          <isin value="US07384MQ705"/>
        </identifiers>
        <balance>313.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>303.170000</valUSD>
        <pctVal>0.0000062</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.12842</annualizedRt>
          <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 ARM TR 2004-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 11A2</title>
        <cusip>07384MZ96</cusip>
        <identifiers>
          <isin value="US07384MZ961"/>
        </identifiers>
        <balance>117894.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114361.780000</valUSD>
        <pctVal>0.0023249</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78589</annualizedRt>
          <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 ARM TRUST 2002-11</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2</title>
        <cusip>07384MSJ2</cusip>
        <identifiers>
          <isin value="US07384MSJ26"/>
        </identifiers>
        <balance>2220.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2070.810000</valUSD>
        <pctVal>0.0000421</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.82911</annualizedRt>
          <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 ASSET BACKED SECURITIES I TRUST 2005-HE4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M2</title>
        <cusip>073879TU2</cusip>
        <identifiers>
          <isin value="US073879TU24"/>
        </identifiers>
        <balance>509186.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>509876.400000</valUSD>
        <pctVal>0.0103656</pctVal>
        <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>1.0515</annualizedRt>
          <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 ASSET BACKED SECURITIES I TRUST 2006-AC4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC4 A1</title>
        <cusip>07388WAA4</cusip>
        <identifiers>
          <isin value="US07388WAA45"/>
        </identifiers>
        <balance>16012368.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14222090.910000</valUSD>
        <pctVal>0.2891296</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>0.3415</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2003-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1</title>
        <cusip>07384YGX8</cusip>
        <identifiers>
          <isin value="US07384YGX85"/>
        </identifiers>
        <balance>92777.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90720.190000</valUSD>
        <pctVal>0.0018443</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2003-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2</title>
        <cusip>07384YGY6</cusip>
        <identifiers>
          <isin value="US07384YGY68"/>
        </identifiers>
        <balance>56758.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56110.620000</valUSD>
        <pctVal>0.0011407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5915</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2003-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 M1</title>
        <cusip>07384YHA7</cusip>
        <identifiers>
          <isin value="US07384YHA73"/>
        </identifiers>
        <balance>404710.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>422757.900000</valUSD>
        <pctVal>0.0085945</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.7415</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2003-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 3 A2</title>
        <cusip>07384YLS3</cusip>
        <identifiers>
          <isin value="US07384YLS36"/>
        </identifiers>
        <balance>441986.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>438882.770000</valUSD>
        <pctVal>0.0089223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2715</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2003-AC5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC5 A1</title>
        <cusip>07384YMA1</cusip>
        <identifiers>
          <isin value="US07384YMA19"/>
        </identifiers>
        <balance>186649.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>195192.790000</valUSD>
        <pctVal>0.0039682</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-AC7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 AC7 A1</title>
        <cusip>07384YPH3</cusip>
        <identifiers>
          <isin value="US07384YPH35"/>
        </identifiers>
        <balance>25961.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26351.150000</valUSD>
        <pctVal>0.0005357</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Variable</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>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE10</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE10 M2</title>
        <cusip>073879X45</cusip>
        <identifiers>
          <isin value="US073879X453"/>
        </identifiers>
        <balance>1097245.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1079190.190000</valUSD>
        <pctVal>0.0219395</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>1.1415</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-HE3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE3 M5</title>
        <cusip>073879SA7</cusip>
        <identifiers>
          <isin value="US073879SA78"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2961056.400000</valUSD>
        <pctVal>0.0601971</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>2.2065</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2006-AC1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 21A1</title>
        <cusip>07387UCT6</cusip>
        <identifiers>
          <isin value="US07387UCT60"/>
        </identifiers>
        <balance>68980.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58714.000000</valUSD>
        <pctVal>0.0011936</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>Fixed</couponKind>
          <annualizedRt>5.5</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 2006-HE1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE1 1M3</title>
        <cusip>0738796R4</cusip>
        <identifiers>
          <isin value="US0738796R42"/>
        </identifiers>
        <balance>6137000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6111375.570000</valUSD>
        <pctVal>0.1242419</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>0.7815</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2006-HE6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE6 1A2</title>
        <cusip>07388UAB6</cusip>
        <identifiers>
          <isin value="US07388UAB61"/>
        </identifiers>
        <balance>4051247.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4045017.490000</valUSD>
        <pctVal>0.0822336</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>0.3915</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2006-SD3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2</title>
        <cusip>073888BF5</cusip>
        <identifiers>
          <isin value="US073888BF55"/>
        </identifiers>
        <balance>255508.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>254384.210000</valUSD>
        <pctVal>0.0051715</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>Fixed</couponKind>
          <annualizedRt>2.99348</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2007-HE6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 1A1</title>
        <cusip>07387YAA1</cusip>
        <identifiers>
          <isin value="US07387YAA10"/>
        </identifiers>
        <balance>2943032.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2959016.240000</valUSD>
        <pctVal>0.0601556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3415</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2007-HE7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A2</title>
        <cusip>07387VAD1</cusip>
        <identifiers>
          <isin value="US07387VAD10"/>
        </identifiers>
        <balance>3566515.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3230509.140000</valUSD>
        <pctVal>0.0656750</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>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <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 ASSET BACKED SECURITIES TRUST 2007-HE7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 3A2</title>
        <cusip>07387VAF6</cusip>
        <identifiers>
          <isin value="US07387VAF67"/>
        </identifiers>
        <balance>1830416.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1692683.940000</valUSD>
        <pctVal>0.0344116</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>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <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>533710.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>516153.080000</valUSD>
        <pctVal>0.0104932</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>0.4115</annualizedRt>
          <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 ASSETBACKED SEC 2001-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2001 3 A2</title>
        <cusip>07384YBM7</cusip>
        <identifiers>
          <isin value="US07384YBM75"/>
        </identifiers>
        <balance>14499.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14349.270000</valUSD>
        <pctVal>0.0002917</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8915</annualizedRt>
          <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 ASSETBACKED SEC 2003-S</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD1 A</title>
        <cusip>07384YKL9</cusip>
        <identifiers>
          <isin value="US07384YKL91"/>
        </identifiers>
        <balance>287294.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>282564.590000</valUSD>
        <pctVal>0.0057444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <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 ASSETBACKED SEC 2004-AC3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2004 AC3 A2</title>
        <cusip>073879BN7</cusip>
        <identifiers>
          <isin value="US073879BN72"/>
        </identifiers>
        <balance>287899.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>296443.520000</valUSD>
        <pctVal>0.0060266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Variable</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>BEAR STEARNS ASSETBACKED SEC 2005-C</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2</title>
        <cusip>073879V21</cusip>
        <identifiers>
          <isin value="US073879V218"/>
        </identifiers>
        <balance>50733.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49008.810000</valUSD>
        <pctVal>0.0009963</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5915</annualizedRt>
          <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 ASSETBACKED SEC 2006-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 4 M1</title>
        <cusip>07389LAD1</cusip>
        <identifiers>
          <isin value="US07389LAD10"/>
        </identifiers>
        <balance>4128000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3738745.700000</valUSD>
        <pctVal>0.0760072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.6415</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 ASSETBK SEC 2005-AQ2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1</title>
        <cusip>0738792V9</cusip>
        <identifiers>
          <isin value="US0738792V99"/>
        </identifiers>
        <balance>419328.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>418929.330000</valUSD>
        <pctVal>0.0085167</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>0.8265</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 ASSETBK SECU INC 2002-</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A1</title>
        <cusip>07384YEM4</cusip>
        <identifiers>
          <isin value="US07384YEM49"/>
        </identifiers>
        <balance>13886.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13834.850000</valUSD>
        <pctVal>0.0002813</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7515</annualizedRt>
          <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 ASSETBK SECU INC 2002-</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A2</title>
        <cusip>07384YEN2</cusip>
        <identifiers>
          <isin value="US07384YEN22"/>
        </identifiers>
        <balance>44436.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44488.970000</valUSD>
        <pctVal>0.0009044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BELLA VISTA MORTGAGE TRUST 2004-2</name>
        <lei>N/A</lei>
        <title>BELLA VISTA MORTGAGE TRUST BVMBS 2004 2 A1</title>
        <cusip>07820QAY1</cusip>
        <identifiers>
          <isin value="US07820QAY17"/>
        </identifiers>
        <balance>2733158.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2071879.900000</valUSD>
        <pctVal>0.0421205</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>0.8315</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>BELLA VISTA MORTGAGE TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1</title>
        <cusip>07820QCD5</cusip>
        <identifiers>
          <isin value="US07820QCD51"/>
        </identifiers>
        <balance>2033548.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1497148.610000</valUSD>
        <pctVal>0.0304364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.59338</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>BLUEMOUNTAIN CLO LTD 2015-2</name>
        <lei>N/A</lei>
        <title>BLUEMOUNTAIN CLO LTD BLUEM 2015 2A A1R 144A</title>
        <cusip>09628BAL2</cusip>
        <identifiers>
          <isin value="US09628BAL27"/>
        </identifiers>
        <balance>861998.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>862637.390000</valUSD>
        <pctVal>0.0175371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.11975</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BNC MORTGAGE LOAN TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>BNC MORTGAGE LOAN TRUST BNCMT 2007 3 A1</title>
        <cusip>05568QAA3</cusip>
        <identifiers>
          <isin value="US05568QAA31"/>
        </identifiers>
        <balance>86187503.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82630976.140000</valUSD>
        <pctVal>1.6798555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BXMT 2020-FL3 LTD</name>
        <lei>N/A</lei>
        <title>BXMT LTD BXMT 2020 FL3 A 144A</title>
        <cusip>05608XAA0</cusip>
        <identifiers>
          <isin value="US05608XAA00"/>
        </identifiers>
        <balance>23500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23634672.630000</valUSD>
        <pctVal>0.4804837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.52448</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2015-3A</name>
        <lei>N/A</lei>
        <title>CARLYLE GLOBAL MARKET STRATEGI CGMS 2015 3A A1R 144A</title>
        <cusip>14311MAN6</cusip>
        <identifiers>
          <isin value="US14311MAN65"/>
        </identifiers>
        <balance>1233822.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1234199.330000</valUSD>
        <pctVal>0.0250908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.184</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CARMAX AUTO OWNER TRUST 2020-3</name>
        <lei>N/A</lei>
        <title>CARMAX AUTO OWNER TRUST CARMX 2020 3 A2A</title>
        <cusip>14315FAB3</cusip>
        <identifiers>
          <isin value="US14315FAB31"/>
        </identifiers>
        <balance>1057410.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1058355.000000</valUSD>
        <pctVal>0.0215159</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.49</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CARVANA AUTO RECEIVABLES TRUST 2019-3A</name>
        <lei>N/A</lei>
        <title>CARVANA AUTO RECEIVABLES TRUST CRVNA 2019 3A B 144A</title>
        <cusip>14686XAD1</cusip>
        <identifiers>
          <isin value="US14686XAD12"/>
        </identifiers>
        <balance>18000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18172569.600000</valUSD>
        <pctVal>0.3694413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.51</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CATAMARAN CLO LTD 2016-1A</name>
        <lei>N/A</lei>
        <title>CATAMARAN CLO LTD CRMN 2016 1A A1R 144A</title>
        <cusip>14900AAJ8</cusip>
        <identifiers>
          <isin value="US14900AAJ88"/>
        </identifiers>
        <balance>10696651.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10710308.630000</valUSD>
        <pctVal>0.2177364</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.27975</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CBAM 2018-5 LTD 5A</name>
        <lei>N/A</lei>
        <title>CBAM CLO MANAGEMENT CBAM 2018 5A A 144A</title>
        <cusip>12481QAC9</cusip>
        <identifiers>
          <isin value="US12481QAC96"/>
        </identifiers>
        <balance>48800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48838608.610000</valUSD>
        <pctVal>0.9928699</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20975</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CDC MORTGAGE CAPITAL TRUST 2002-HE1</name>
        <lei>N/A</lei>
        <title>CDC MORTGAGE CAPITAL TRUST CDCMC 2002 HE1 A</title>
        <cusip>12506YAF6</cusip>
        <identifiers>
          <isin value="US12506YAF60"/>
        </identifiers>
        <balance>8353.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8313.390000</valUSD>
        <pctVal>0.0001690</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CDC MORTGAGE CAPITAL TRUST 2002-HE2</name>
        <lei>N/A</lei>
        <title>CDC MORTGAGE CAPITAL TRUST CDCMC 2002 HE2 M1</title>
        <cusip>12506YAL3</cusip>
        <identifiers>
          <isin value="US12506YAL39"/>
        </identifiers>
        <balance>109172.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110860.720000</valUSD>
        <pctVal>0.0022538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CENTEX HOME EQUITY 2004-C</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2004 C M1</title>
        <cusip>152314KR0</cusip>
        <identifiers>
          <isin value="US152314KR07"/>
        </identifiers>
        <balance>344503.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>338798.220000</valUSD>
        <pctVal>0.0068876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CENTEX HOME EQUITY 2004-D</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2004 D MF1</title>
        <cusip>152314LM0</cusip>
        <identifiers>
          <isin value="US152314LM01"/>
        </identifiers>
        <balance>665828.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>691780.950000</valUSD>
        <pctVal>0.0140636</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.66</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CENTEX HOME EQUITY 2004-D</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2004 D MV2</title>
        <cusip>152314LR9</cusip>
        <identifiers>
          <isin value="US152314LR97"/>
        </identifiers>
        <balance>81987.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>82754.560000</valUSD>
        <pctVal>0.0016824</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1265</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>CHASE FUND MTGE LN ASSET-BACKED 2003-3</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 1M1</title>
        <cusip>161546FH4</cusip>
        <identifiers>
          <isin value="US161546FH49"/>
        </identifiers>
        <balance>1084.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1081.070000</valUSD>
        <pctVal>0.0000220</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.537</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE FUND MTGE LN ASSET-BACKED 2003-3</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 3 2A2</title>
        <cusip>161546FM3</cusip>
        <identifiers>
          <isin value="US161546FM34"/>
        </identifiers>
        <balance>482.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>474.900000</valUSD>
        <pctVal>0.0000097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE FUNDING MTGE LN ASSET-BKD 2003-5</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2M1</title>
        <cusip>161546GS9</cusip>
        <identifiers>
          <isin value="US161546GS94"/>
        </identifiers>
        <balance>3190227.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3114687.130000</valUSD>
        <pctVal>0.0633204</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>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE FUNDING MTGE LN ASSET-BKD 2003-6</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 6 2A2</title>
        <cusip>161546HH2</cusip>
        <identifiers>
          <isin value="US161546HH21"/>
        </identifiers>
        <balance>1677.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1640.860000</valUSD>
        <pctVal>0.0000334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORGAGE FINANCE CORP 2005-A1</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 3A1</title>
        <cusip>16162WPJ2</cusip>
        <identifiers>
          <isin value="US16162WPJ26"/>
        </identifiers>
        <balance>760622.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>748870.310000</valUSD>
        <pctVal>0.0152242</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>2.99958</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>CHESAPEAKE FUNDING II LLC 2020-1A</name>
        <lei>N/A</lei>
        <title>CHESAPEAKE FUNDING II LLC CFII 2020 1A A1 144A</title>
        <cusip>165183CJ1</cusip>
        <identifiers>
          <isin value="US165183CJ15"/>
        </identifiers>
        <balance>1014961.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1020832.720000</valUSD>
        <pctVal>0.0207531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.87</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>CHESAPEAKE FUNDING II LLC 2020-1A</name>
        <lei>N/A</lei>
        <title>CHESAPEAKE FUNDING II LLC CFII 2020 1A A2 144A</title>
        <cusip>165183CK8</cusip>
        <identifiers>
          <isin value="US165183CK87"/>
        </identifiers>
        <balance>1014961.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1020805.320000</valUSD>
        <pctVal>0.0207526</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.72288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHEVY CHASE MTGE FUNDING CORP 2004-1A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A</title>
        <cusip>16678RAV9</cusip>
        <identifiers>
          <isin value="US16678RAV96"/>
        </identifiers>
        <balance>472582.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>475238.580000</valUSD>
        <pctVal>0.0096614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.74203</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CIT GROUP HOME EQUITY LOAN TRUS 2002-2</name>
        <lei>N/A</lei>
        <title>CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 2 MV1</title>
        <cusip>12558MBC5</cusip>
        <identifiers>
          <isin value="US12558MBC55"/>
        </identifiers>
        <balance>176678.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176118.080000</valUSD>
        <pctVal>0.0035804</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-C1</name>
        <lei>N/A</lei>
        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 C1 A4</title>
        <cusip>17290YAR9</cusip>
        <identifiers>
          <isin value="US17290YAR99"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>756989.240000</valUSD>
        <pctVal>0.0153893</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.209</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MORTGAGE TRUST 2016-GC37</name>
        <lei>N/A</lei>
        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2016 GC37 AAB</title>
        <cusip>17290XAU4</cusip>
        <identifiers>
          <isin value="US17290XAU46"/>
        </identifiers>
        <balance>20724365.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21759442.300000</valUSD>
        <pctVal>0.4423610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.098</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR</name>
        <lei>N/A</lei>
        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR A 144A</title>
        <cusip>17326MAA0</cusip>
        <identifiers>
          <isin value="US17326MAA09"/>
        </identifiers>
        <balance>9200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9205303.800000</valUSD>
        <pctVal>0.1871402</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.903</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MORTGAGE TRUST 2018-TBR</name>
        <lei>N/A</lei>
        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2018 TBR B 144A</title>
        <cusip>17326MAG7</cusip>
        <identifiers>
          <isin value="US17326MAG78"/>
        </identifiers>
        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1802342.520000</valUSD>
        <pctVal>0.0366409</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.223</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2004-HYB4</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2004 HYB4 AA</title>
        <cusip>17307GMC9</cusip>
        <identifiers>
          <isin value="US17307GMC95"/>
        </identifiers>
        <balance>105477.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110115.690000</valUSD>
        <pctVal>0.0022386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4215</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2006-AMC1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AMC1 A2B</title>
        <cusip>17309PAB2</cusip>
        <identifiers>
          <isin value="US17309PAB22"/>
        </identifiers>
        <balance>12256816.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11255264.550000</valUSD>
        <pctVal>0.2288151</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>0.4115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2013-A</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2013 A B1 144A</title>
        <cusip>17320XAC8</cusip>
        <identifiers>
          <isin value="US17320XAC83"/>
        </identifiers>
        <balance>819532.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>812414.460000</valUSD>
        <pctVal>0.0165161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.08315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2019-C</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 C A1 144A</title>
        <cusip>17328GAA1</cusip>
        <identifiers>
          <isin value="US17328GAA13"/>
        </identifiers>
        <balance>563806.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>566279.900000</valUSD>
        <pctVal>0.0115122</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.228</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2005-WF2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF6A</title>
        <cusip>17307GVL9</cusip>
        <identifiers>
          <isin value="US17307GVL93"/>
        </identifiers>
        <balance>1713678.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1717317.300000</valUSD>
        <pctVal>0.0349124</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>Variable</couponKind>
          <annualizedRt>6.129</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2005-WF2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 AF6B</title>
        <cusip>17307GVM7</cusip>
        <identifiers>
          <isin value="US17307GVM76"/>
        </identifiers>
        <balance>308548.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>309785.890000</valUSD>
        <pctVal>0.0062978</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>Variable</couponKind>
          <annualizedRt>6.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2005-WF2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 WF2 MV3</title>
        <cusip>17307GVY1</cusip>
        <identifiers>
          <isin value="US17307GVY15"/>
        </identifiers>
        <balance>14951.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14970.600000</valUSD>
        <pctVal>0.0003043</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>1.0365</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2006-AR6</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR6 2A3</title>
        <cusip>17309RAJ1</cusip>
        <identifiers>
          <isin value="US17309RAJ14"/>
        </identifiers>
        <balance>7049299.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6896037.790000</valUSD>
        <pctVal>0.1401938</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>0.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2006-SHL1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 SHL1 M1 144A</title>
        <cusip>17309UAB1</cusip>
        <identifiers>
          <isin value="US17309UAB17"/>
        </identifiers>
        <balance>1505418.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1502191.000000</valUSD>
        <pctVal>0.0305390</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A2 144A</title>
        <cusip>17311XAT2</cusip>
        <identifiers>
          <isin value="US17311XAT28"/>
        </identifiers>
        <balance>16042637.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14875174.940000</valUSD>
        <pctVal>0.3024065</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>0.2315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-AMC2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3A</title>
        <cusip>17311XAA3</cusip>
        <identifiers>
          <isin value="US17311XAA37"/>
        </identifiers>
        <balance>140182.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118218.980000</valUSD>
        <pctVal>0.0024033</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>0.1715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TR INC 2007-WFH3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M2</title>
        <cusip>17313CAE9</cusip>
        <identifiers>
          <isin value="US17313CAE93"/>
        </identifiers>
        <balance>8198000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7602368.570000</valUSD>
        <pctVal>0.1545532</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>0.3615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-11</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A</title>
        <cusip>17307GW53</cusip>
        <identifiers>
          <isin value="US17307GW530"/>
        </identifiers>
        <balance>5910.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5994.490000</valUSD>
        <pctVal>0.0001219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.47</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-11</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A</title>
        <cusip>17307GW79</cusip>
        <identifiers>
          <isin value="US17307GW795"/>
        </identifiers>
        <balance>15085.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15272.110000</valUSD>
        <pctVal>0.0003105</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>2.53</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-11</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A3</title>
        <cusip>17307GW95</cusip>
        <identifiers>
          <isin value="US17307GW951"/>
        </identifiers>
        <balance>682155.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>686690.290000</valUSD>
        <pctVal>0.0139601</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>2.52</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-12</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 12 2A1 144A</title>
        <cusip>17307GY69</cusip>
        <identifiers>
          <isin value="US17307GY692"/>
        </identifiers>
        <balance>147159.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138142.590000</valUSD>
        <pctVal>0.0028084</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>0.8915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2A</title>
        <cusip>17307GTJ7</cusip>
        <identifiers>
          <isin value="US17307GTJ75"/>
        </identifiers>
        <balance>139198.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>144252.560000</valUSD>
        <pctVal>0.0029326</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>2.99583</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MTGE LOAN TRUST INC 2005-6</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A3</title>
        <cusip>17307GXR4</cusip>
        <identifiers>
          <isin value="US17307GXR46"/>
        </identifiers>
        <balance>571238.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>582082.020000</valUSD>
        <pctVal>0.0118335</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>1.86</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITYLINE COMMERCIAL MORTGAGE TRUST 2016-CLNE</name>
        <lei>N/A</lei>
        <title>CITYLINE COMMERCIAL MORTGAGE T CLMT 2016 CLNE A 144A</title>
        <cusip>178772AA7</cusip>
        <identifiers>
          <isin value="US178772AA73"/>
        </identifiers>
        <balance>800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>827977.280000</valUSD>
        <pctVal>0.0168325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.8707</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLLEGE AVE STUDENT LOANS LLC 2018-A</name>
        <lei>N/A</lei>
        <title>COLLEGE AVE STUDENT LOANS CASL 2018 A A1 144A</title>
        <cusip>19423DAA8</cusip>
        <identifiers>
          <isin value="US19423DAA81"/>
        </identifiers>
        <balance>5924848.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5972511.390000</valUSD>
        <pctVal>0.1214188</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLLEGE AVE STUDENT LOANS LLC 2018-A</name>
        <lei>N/A</lei>
        <title>COLLEGE AVE STUDENT LOANS CASL 2018 A A2 144A</title>
        <cusip>19423DAB6</cusip>
        <identifiers>
          <isin value="US19423DAB64"/>
        </identifiers>
        <balance>8084950.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8524393.020000</valUSD>
        <pctVal>0.1732976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.13</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLLEGE AVE STUDENT LOANS LLC 2019-A</name>
        <lei>N/A</lei>
        <title>COLLEGE AVE STUDENT LOANS CASL 2019 A A2 144A</title>
        <cusip>19421UAB0</cusip>
        <identifiers>
          <isin value="US19421UAB08"/>
        </identifiers>
        <balance>14211707.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14695684.120000</valUSD>
        <pctVal>0.2987575</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-28</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.28</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLLEGE AVE STUDENT LOANS LLC 2021-A</name>
        <lei>N/A</lei>
        <title>COLLEGE AVE STUDENT LOANS CASL 2021 A A1 144A</title>
        <cusip>19424KAA1</cusip>
        <identifiers>
          <isin value="US19424KAA16"/>
        </identifiers>
        <balance>9434460.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9529571.880000</valUSD>
        <pctVal>0.1937325</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COLLEGE AVE STUDENT LOANS LLC 2021-A</name>
        <lei>N/A</lei>
        <title>COLLEGE AVE STUDENT LOANS CASL 2021 A A2 144A</title>
        <cusip>19424KAB9</cusip>
        <identifiers>
          <isin value="US19424KAB98"/>
        </identifiers>
        <balance>15816594.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15795344.560000</valUSD>
        <pctVal>0.3211132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.6</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>COLONY AMERICAN FINANCE LTD 2020 3</name>
        <lei>N/A</lei>
        <title>COLONY AMERICAN FINANCE LTD CAFL 2020 3 A 144A</title>
        <cusip>21873CAA1</cusip>
        <identifiers>
          <isin value="US21873CAA18"/>
        </identifiers>
        <balance>18355836.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18205968.420000</valUSD>
        <pctVal>0.3701202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.358</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMM MORTGAGE TRUST 2016-787S</name>
        <lei>N/A</lei>
        <title>COMM MORTGAGE TRUST COMM 2016 787S A 144A</title>
        <cusip>12635WAA5</cusip>
        <identifiers>
          <isin value="US12635WAA53"/>
        </identifiers>
        <balance>3800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4120962.060000</valUSD>
        <pctVal>0.0837776</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.545</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COMM MORTGAGE TRUST 2019-GC44</name>
        <lei>N/A</lei>
        <title>COMM MORTGAGE TRUST COMM 2019 GC44 A5</title>
        <cusip>12655TBM0</cusip>
        <identifiers>
          <isin value="US12655TBM09"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1077203.600000</valUSD>
        <pctVal>0.0218991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95</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>COMMUNITY PROGRAM LOAN TRUST-1987-A</name>
        <lei>N/A</lei>
        <title>COMMUNITY PROGRAM LOAN TRUST CPLT 1987 A A5</title>
        <cusip>204012AE8</cusip>
        <identifiers>
          <isin value="US204012AE81"/>
        </identifiers>
        <balance>21396.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21457.820000</valUSD>
        <pctVal>0.0004362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-01</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>CONSECO FINANCE SECURITIZATION 2000-3</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A</title>
        <cusip>20846QDJ4</cusip>
        <identifiers>
          <isin value="US20846QDJ40"/>
        </identifiers>
        <balance>22998304.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8837622.700000</valUSD>
        <pctVal>0.1796654</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-12-01</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>8.26</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALT LOAN TRUST 2006-OA17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A</title>
        <cusip>12668PAA0</cusip>
        <identifiers>
          <isin value="US12668PAA03"/>
        </identifiers>
        <balance>8371158.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7327618.480000</valUSD>
        <pctVal>0.1489676</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.28838</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>COUNTRYWIDE ALTERNATIVE LN TR 2004-J6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 J6 2A1</title>
        <cusip>12667FRG2</cusip>
        <identifiers>
          <isin value="US12667FRG27"/>
        </identifiers>
        <balance>61862.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63894.690000</valUSD>
        <pctVal>0.0012990</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-14</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2</title>
        <cusip>12667GCC5</cusip>
        <identifiers>
          <isin value="US12667GCC50"/>
        </identifiers>
        <balance>110058.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92518.950000</valUSD>
        <pctVal>0.0018809</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-44</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 1A1</title>
        <cusip>12667G3L5</cusip>
        <identifiers>
          <isin value="US12667G3L51"/>
        </identifiers>
        <balance>3254142.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2630034.080000</valUSD>
        <pctVal>0.0534676</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-44</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 44 2A1</title>
        <cusip>12667G3S0</cusip>
        <identifiers>
          <isin value="US12667G3S05"/>
        </identifiers>
        <balance>567549.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>483523.180000</valUSD>
        <pctVal>0.0098298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-51</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 1A1</title>
        <cusip>12668ACG8</cusip>
        <identifiers>
          <isin value="US12668ACG85"/>
        </identifiers>
        <balance>237380.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>228407.840000</valUSD>
        <pctVal>0.0046434</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.731</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 3A1</title>
        <cusip>12668AGW9</cusip>
        <identifiers>
          <isin value="US12668AGW99"/>
        </identifiers>
        <balance>932914.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>906537.100000</valUSD>
        <pctVal>0.0184295</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>0.6715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A2</title>
        <cusip>12668AHF5</cusip>
        <identifiers>
          <isin value="US12668AHF57"/>
        </identifiers>
        <balance>1907175.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1765177.740000</valUSD>
        <pctVal>0.0358854</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>1.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-61</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1</title>
        <cusip>12668AVP7</cusip>
        <identifiers>
          <isin value="US12668AVP73"/>
        </identifiers>
        <balance>480990.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>479149.720000</valUSD>
        <pctVal>0.0097409</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>0.6515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-76</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1</title>
        <cusip>12668BDE0</cusip>
        <identifiers>
          <isin value="US12668BDE02"/>
        </identifiers>
        <balance>676047.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>644165.040000</valUSD>
        <pctVal>0.0130956</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>1.1163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-82</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 82 A1</title>
        <cusip>12668A5X9</cusip>
        <identifiers>
          <isin value="US12668A5X98"/>
        </identifiers>
        <balance>97845.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84604.440000</valUSD>
        <pctVal>0.0017200</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>0.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-J4</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J4 M2</title>
        <cusip>12667GNH2</cusip>
        <identifiers>
          <isin value="US12667GNH29"/>
        </identifiers>
        <balance>1975935.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1974821.480000</valUSD>
        <pctVal>0.0401474</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>1.0515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-2CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 2CB A14</title>
        <cusip>12668BLY7</cusip>
        <identifiers>
          <isin value="US12668BLY73"/>
        </identifiers>
        <balance>77039.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49941.430000</valUSD>
        <pctVal>0.0010153</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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>COUNTRYWIDE ALTERNATIVE LN TR 2006-OA19</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA19 A1</title>
        <cusip>12668RAA6</cusip>
        <identifiers>
          <isin value="US12668RAA68"/>
        </identifiers>
        <balance>1796599.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1409251.250000</valUSD>
        <pctVal>0.0286495</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>0.27338</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>COUNTRYWIDE ALTERNATIVE LN TR 2006-OC6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC6 2A2A</title>
        <cusip>23243DAC4</cusip>
        <identifiers>
          <isin value="US23243DAC48"/>
        </identifiers>
        <balance>898423.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1034815.460000</valUSD>
        <pctVal>0.0210374</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>0.4115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A13</title>
        <cusip>02149HAN0</cusip>
        <identifiers>
          <isin value="US02149HAN08"/>
        </identifiers>
        <balance>312111.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>245419.810000</valUSD>
        <pctVal>0.0049893</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>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 6 A4</title>
        <cusip>02150AAD3</cusip>
        <identifiers>
          <isin value="US02150AAD37"/>
        </identifiers>
        <balance>423320.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340124.650000</valUSD>
        <pctVal>0.0069146</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-OA2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA2 1A1</title>
        <cusip>02149LAA9</cusip>
        <identifiers>
          <isin value="US02149LAA98"/>
        </identifiers>
        <balance>3253347.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2867020.390000</valUSD>
        <pctVal>0.0582854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9563</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>COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A1B</title>
        <cusip>02150PAB4</cusip>
        <identifiers>
          <isin value="US02150PAB40"/>
        </identifiers>
        <balance>596014.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>575076.570000</valUSD>
        <pctVal>0.0116911</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>0.2915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TRUST 9CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 9CB 1A5</title>
        <cusip>12667GEP4</cusip>
        <identifiers>
          <isin value="US12667GEP46"/>
        </identifiers>
        <balance>207880.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191268.700000</valUSD>
        <pctVal>0.0038884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5915</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>COUNTRYWIDE ALTERNATIVE LOAN 2005-27</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A3</title>
        <cusip>12667GL92</cusip>
        <identifiers>
          <isin value="US12667GL923"/>
        </identifiers>
        <balance>3134121.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3082277.580000</valUSD>
        <pctVal>0.0626615</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>1.89386</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B</title>
        <cusip>02147DAB7</cusip>
        <identifiers>
          <isin value="US02147DAB73"/>
        </identifiers>
        <balance>329152.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319319.470000</valUSD>
        <pctVal>0.0064916</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4715</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>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B</title>
        <cusip>02146YAD8</cusip>
        <identifiers>
          <isin value="US02146YAD85"/>
        </identifiers>
        <balance>655825.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>520906.600000</valUSD>
        <pctVal>0.0105898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.29338</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>COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1A</title>
        <cusip>02151WAA0</cusip>
        <identifiers>
          <isin value="US02151WAA09"/>
        </identifiers>
        <balance>8743044.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8046032.670000</valUSD>
        <pctVal>0.1635727</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.4963</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2007-OA11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA11 A1B</title>
        <cusip>02151WAT9</cusip>
        <identifiers>
          <isin value="US02151WAT99"/>
        </identifiers>
        <balance>4793756.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4383010.550000</valUSD>
        <pctVal>0.0891049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3663</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>COUNTRYWIDE ALTERNATIVE LOAN TR 2003-J3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J3 2A1</title>
        <cusip>12669FFD0</cusip>
        <identifiers>
          <isin value="US12669FFD06"/>
        </identifiers>
        <balance>18579.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18918.860000</valUSD>
        <pctVal>0.0003846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Fixed</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>COUNTRYWIDE ALTERNATIVE LOAN TR 2005-16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 16 A3</title>
        <cusip>12667GME0</cusip>
        <identifiers>
          <isin value="US12667GME07"/>
        </identifiers>
        <balance>1704040.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1598585.610000</valUSD>
        <pctVal>0.0324986</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>0.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J11 1A16</title>
        <cusip>12668ART4</cusip>
        <identifiers>
          <isin value="US12668ART42"/>
        </identifiers>
        <balance>894500.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>700704.800000</valUSD>
        <pctVal>0.0142451</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>Fixed</couponKind>
          <annualizedRt>5.5</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>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1</title>
        <cusip>126694A32</cusip>
        <identifiers>
          <isin value="US126694A329"/>
        </identifiers>
        <balance>298763.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>254549.220000</valUSD>
        <pctVal>0.0051749</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.51338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 1A1</title>
        <cusip>02147CAA1</cusip>
        <identifiers>
          <isin value="US02147CAA18"/>
        </identifiers>
        <balance>3372775.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3077004.690000</valUSD>
        <pctVal>0.0625543</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-22</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A</title>
        <cusip>12666BAA3</cusip>
        <identifiers>
          <isin value="US12666BAA35"/>
        </identifiers>
        <balance>7181584.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6784152.250000</valUSD>
        <pctVal>0.1379192</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>0.2315</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>COUNTRYWIDE ASSET-BACKED CERT 2002-BC3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2002 BC3 M1</title>
        <cusip>126671RE8</cusip>
        <identifiers>
          <isin value="US126671RE89"/>
        </identifiers>
        <balance>165640.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>162975.240000</valUSD>
        <pctVal>0.0033132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2004-2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2004 2 M2</title>
        <cusip>1266714A1</cusip>
        <identifiers>
          <isin value="US1266714A17"/>
        </identifiers>
        <balance>309976.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>310161.990000</valUSD>
        <pctVal>0.0063055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2004-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 1A2</title>
        <cusip>126673AX0</cusip>
        <identifiers>
          <isin value="US126673AX00"/>
        </identifiers>
        <balance>17865.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17567.000000</valUSD>
        <pctVal>0.0003571</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2004-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 2A5</title>
        <cusip>126673BR2</cusip>
        <identifiers>
          <isin value="US126673BR23"/>
        </identifiers>
        <balance>337793.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>336297.010000</valUSD>
        <pctVal>0.0068368</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2004-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2004 6 M2</title>
        <cusip>126673BD3</cusip>
        <identifiers>
          <isin value="US126673BD37"/>
        </identifiers>
        <balance>1663586.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1647963.170000</valUSD>
        <pctVal>0.0335024</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>1.0665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2004-9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2004 9 MF1</title>
        <cusip>126673GB2</cusip>
        <identifiers>
          <isin value="US126673GB26"/>
        </identifiers>
        <balance>3094580.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3151142.840000</valUSD>
        <pctVal>0.0640615</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</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>COUNTRYWIDE ASSET-BACKED CERT 2005-10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 MV5</title>
        <cusip>126670AZ1</cusip>
        <identifiers>
          <isin value="US126670AZ19"/>
        </identifiers>
        <balance>9500000.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9304905.160000</valUSD>
        <pctVal>0.1891651</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>1.0515</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>COUNTRYWIDE ASSET-BACKED CERT 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV3</title>
        <cusip>126670DC9</cusip>
        <identifiers>
          <isin value="US126670DC96"/>
        </identifiers>
        <balance>2588875.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2588690.530000</valUSD>
        <pctVal>0.0526271</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>0.8865</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-14</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M4</title>
        <cusip>126670LS5</cusip>
        <identifiers>
          <isin value="US126670LS56"/>
        </identifiers>
        <balance>5499999.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5371897.290000</valUSD>
        <pctVal>0.1092086</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>Floating</couponKind>
          <annualizedRt>1.1865</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>COUNTRYWIDE ASSET-BACKED CERT 2006-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 11 2AV</title>
        <cusip>12666TAG1</cusip>
        <identifiers>
          <isin value="US12666TAG13"/>
        </identifiers>
        <balance>12388984.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12245281.940000</valUSD>
        <pctVal>0.2489418</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-13</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 2AV</title>
        <cusip>23242EAG4</cusip>
        <identifiers>
          <isin value="US23242EAG44"/>
        </identifiers>
        <balance>14368971.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14249293.700000</valUSD>
        <pctVal>0.2896826</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>0.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-13</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 3AV3</title>
        <cusip>23242EAK5</cusip>
        <identifiers>
          <isin value="US23242EAK55"/>
        </identifiers>
        <balance>6868469.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6757287.050000</valUSD>
        <pctVal>0.1373730</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>0.3415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 1A</title>
        <cusip>12666VAA9</cusip>
        <identifiers>
          <isin value="US12666VAA98"/>
        </identifiers>
        <balance>2826841.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2799070.680000</valUSD>
        <pctVal>0.0569040</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-24</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A4</title>
        <cusip>23243HAE1</cusip>
        <identifiers>
          <isin value="US23243HAE18"/>
        </identifiers>
        <balance>18740000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17992219.650000</valUSD>
        <pctVal>0.3657748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3115</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>COUNTRYWIDE ASSET-BACKED CERT 2006-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 3 M2</title>
        <cusip>126670WD6</cusip>
        <identifiers>
          <isin value="US126670WD68"/>
        </identifiers>
        <balance>14975000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14640217.400000</valUSD>
        <pctVal>0.2976299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6765</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>COUNTRYWIDE ASSET-BACKED CERT 2006-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 6 1A1M</title>
        <cusip>126670ZJ0</cusip>
        <identifiers>
          <isin value="US126670ZJ02"/>
        </identifiers>
        <balance>2179819.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2176081.520000</valUSD>
        <pctVal>0.0442389</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>0.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1</title>
        <cusip>126697AA9</cusip>
        <identifiers>
          <isin value="US126697AA90"/>
        </identifiers>
        <balance>925336.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>910549.260000</valUSD>
        <pctVal>0.0185111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A</title>
        <cusip>126671ZD1</cusip>
        <identifiers>
          <isin value="US126671ZD15"/>
        </identifiers>
        <balance>178109.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>176202.020000</valUSD>
        <pctVal>0.0035821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M6</title>
        <cusip>1266737E6</cusip>
        <identifiers>
          <isin value="US1266737E65"/>
        </identifiers>
        <balance>552574.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>553379.790000</valUSD>
        <pctVal>0.0112500</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>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-7</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 7 2A4</title>
        <cusip>232422AE5</cusip>
        <identifiers>
          <isin value="US232422AE52"/>
        </identifiers>
        <balance>10583963.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10327956.710000</valUSD>
        <pctVal>0.2099633</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5915</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>COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 8 2A3</title>
        <cusip>12669WAE6</cusip>
        <identifiers>
          <isin value="US12669WAE66"/>
        </identifiers>
        <balance>336402.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>334680.140000</valUSD>
        <pctVal>0.0068039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-13</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV2</title>
        <cusip>126670HK7</cusip>
        <identifiers>
          <isin value="US126670HK76"/>
        </identifiers>
        <balance>6475000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6338893.560000</valUSD>
        <pctVal>0.1288672</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>Floating</couponKind>
          <annualizedRt>0.7815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-15</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 15 2AV3</title>
        <cusip>126670MG0</cusip>
        <identifiers>
          <isin value="US126670MG00"/>
        </identifiers>
        <balance>226215.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>225875.560000</valUSD>
        <pctVal>0.0045920</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>Floating</couponKind>
          <annualizedRt>0.4615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 1AF4</title>
        <cusip>126670QU5</cusip>
        <identifiers>
          <isin value="US126670QU57"/>
        </identifiers>
        <balance>307817.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>309695.920000</valUSD>
        <pctVal>0.0062960</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.047</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>COUNTRYWIDE ASSET-BACKED CERTS 2005-17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 17 MV2</title>
        <cusip>126670RE0</cusip>
        <identifiers>
          <isin value="US126670RE07"/>
        </identifiers>
        <balance>50400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48943500.480000</valUSD>
        <pctVal>0.9950023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2001-HYB1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1</title>
        <cusip>12669B2X9</cusip>
        <identifiers>
          <isin value="US12669B2X97"/>
        </identifiers>
        <balance>1708.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1726.340000</valUSD>
        <pctVal>0.0000351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.01268</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2003-58</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2003 58 2A2</title>
        <cusip>12669FDH3</cusip>
        <identifiers>
          <isin value="US12669FDH38"/>
        </identifiers>
        <balance>9480.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9820.040000</valUSD>
        <pctVal>0.0001996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57795</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2003-58</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2003 58 M</title>
        <cusip>12669E6K7</cusip>
        <identifiers>
          <isin value="US12669E6K76"/>
        </identifiers>
        <balance>13342.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12850.870000</valUSD>
        <pctVal>0.0002613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.53816</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2003-60</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2003 60 1A1</title>
        <cusip>12669FJC8</cusip>
        <identifiers>
          <isin value="US12669FJC86"/>
        </identifiers>
        <balance>30287.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30728.160000</valUSD>
        <pctVal>0.0006247</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.241</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2003-HYB1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2003 HYB1 1A1</title>
        <cusip>12669DC89</cusip>
        <identifiers>
          <isin value="US12669DC891"/>
        </identifiers>
        <balance>8670.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8388.690000</valUSD>
        <pctVal>0.0001705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90487</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2003-HYB2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2003 HYB2 1A1</title>
        <cusip>12669D2Y3</cusip>
        <identifiers>
          <isin value="US12669D2Y35"/>
        </identifiers>
        <balance>52281.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53997.930000</valUSD>
        <pctVal>0.0010978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.99742</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 12 11A2</title>
        <cusip>12669FN66</cusip>
        <identifiers>
          <isin value="US12669FN661"/>
        </identifiers>
        <balance>124506.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>124610.260000</valUSD>
        <pctVal>0.0025333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.99244</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 12 12A1</title>
        <cusip>12669FN82</cusip>
        <identifiers>
          <isin value="US12669FN828"/>
        </identifiers>
        <balance>154408.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153105.110000</valUSD>
        <pctVal>0.0031126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.95752</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>COUNTRYWIDE HOME LOANS 2004-16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4B</title>
        <cusip>12669FY31</cusip>
        <identifiers>
          <isin value="US12669FY312"/>
        </identifiers>
        <balance>93395.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71650.540000</valUSD>
        <pctVal>0.0014566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-25</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 25 1A5</title>
        <cusip>12669GKC4</cusip>
        <identifiers>
          <isin value="US12669GKC41"/>
        </identifiers>
        <balance>490082.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>470702.460000</valUSD>
        <pctVal>0.0095692</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>0.7915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-25</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1</title>
        <cusip>12669GKF7</cusip>
        <identifiers>
          <isin value="US12669GKF71"/>
        </identifiers>
        <balance>59308.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55708.890000</valUSD>
        <pctVal>0.0011325</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>0.7715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-25</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 25 2A2</title>
        <cusip>12669GKG5</cusip>
        <identifiers>
          <isin value="US12669GKG54"/>
        </identifiers>
        <balance>84725.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79213.580000</valUSD>
        <pctVal>0.0016104</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>0.8715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-HYB9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1</title>
        <cusip>12669GHG9</cusip>
        <identifiers>
          <isin value="US12669GHG91"/>
        </identifiers>
        <balance>84546.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85705.300000</valUSD>
        <pctVal>0.0017424</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>2.6648</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 11 3A2</title>
        <cusip>12669GUN9</cusip>
        <identifiers>
          <isin value="US12669GUN95"/>
        </identifiers>
        <balance>22523.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2921.470000</valUSD>
        <pctVal>0.0000594</pctVal>
        <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>2.5752</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>COUNTRYWIDE HOME LOANS 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1</title>
        <cusip>12669GUX7</cusip>
        <identifiers>
          <isin value="US12669GUX77"/>
        </identifiers>
        <balance>28296.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23240.300000</valUSD>
        <pctVal>0.0004725</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>0.6915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1</title>
        <cusip>12669GPN5</cusip>
        <identifiers>
          <isin value="US12669GPN50"/>
        </identifiers>
        <balance>511062.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>455115.030000</valUSD>
        <pctVal>0.0092523</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>0.7315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1</title>
        <cusip>12669GPR6</cusip>
        <identifiers>
          <isin value="US12669GPR64"/>
        </identifiers>
        <balance>1117646.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1110449.500000</valUSD>
        <pctVal>0.0225750</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>0.7315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1</title>
        <cusip>12669GTV3</cusip>
        <identifiers>
          <isin value="US12669GTV31"/>
        </identifiers>
        <balance>20023.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19360.410000</valUSD>
        <pctVal>0.0003936</pctVal>
        <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>0.6715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-HYB9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A</title>
        <cusip>126670JY5</cusip>
        <identifiers>
          <isin value="US126670JY52"/>
        </identifiers>
        <balance>89869.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>79869.190000</valUSD>
        <pctVal>0.0016237</pctVal>
        <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>
          <annualizedRt>2.19525</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>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"/>
        </identifiers>
        <balance>153474.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154146.430000</valUSD>
        <pctVal>0.0031337</pctVal>
        <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>
          <annualizedRt>2.10925</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>COUNTRYWIDE HOME LOANS 2006-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 3 1A1</title>
        <cusip>126694YJ1</cusip>
        <identifiers>
          <isin value="US126694YJ13"/>
        </identifiers>
        <balance>12176433.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11419467.490000</valUSD>
        <pctVal>0.2321533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2007-18</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 18 1A1</title>
        <cusip>12544JAA4</cusip>
        <identifiers>
          <isin value="US12544JAA43"/>
        </identifiers>
        <balance>126397.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97922.700000</valUSD>
        <pctVal>0.0019907</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-11-25</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>CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2020 2A A 144A</title>
        <cusip>22535MAA7</cusip>
        <identifiers>
          <isin value="US22535MAA71"/>
        </identifiers>
        <balance>8400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8504613.600000</valUSD>
        <pctVal>0.1728955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.37</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT ACCEPTANCE AUTO LOAN TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>CREDIT ACCEPTANCE AUTO LOAN TR CAALT 2020 2A B 144A</title>
        <cusip>22535MAC3</cusip>
        <identifiers>
          <isin value="US22535MAC38"/>
        </identifiers>
        <balance>5200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5301894.000000</valUSD>
        <pctVal>0.1077854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.93</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT BASED ASSET SRVC &amp; SEC 2006-CB3</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4</title>
        <cusip>12489WQX5</cusip>
        <identifiers>
          <isin value="US12489WQX55"/>
        </identifiers>
        <balance>6173494.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5980654.180000</valUSD>
        <pctVal>0.1215844</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE ABS TRUST 2020-AT1</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE ABS TRUST CSABS 2020 AT1 A 144A</title>
        <cusip>22551XAA2</cusip>
        <identifiers>
          <isin value="US22551XAA28"/>
        </identifiers>
        <balance>11275263.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11290890.070000</valUSD>
        <pctVal>0.2295394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.61</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>CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A</title>
        <cusip>22540VK43</cusip>
        <identifiers>
          <isin value="US22540VK434"/>
        </identifiers>
        <balance>85494.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81848.540000</valUSD>
        <pctVal>0.0016639</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.713714</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2003-AR28</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR28 2A1</title>
        <cusip>22541QT85</cusip>
        <identifiers>
          <isin value="US22541QT854"/>
        </identifiers>
        <balance>135642.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134276.230000</valUSD>
        <pctVal>0.0027298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.09296</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2005-1R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2005 1R 2A5 144A</title>
        <cusip>22546MAQ9</cusip>
        <identifiers>
          <isin value="US22546MAQ96"/>
        </identifiers>
        <balance>247384.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217758.280000</valUSD>
        <pctVal>0.0044269</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
        </identifiers>
        <balance>241301.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>207294.210000</valUSD>
        <pctVal>0.0042142</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-13R</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2011 13R 5A2 144A</title>
        <cusip>12646ADL3</cusip>
        <identifiers>
          <isin value="US12646ADL35"/>
        </identifiers>
        <balance>4765364.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4050927.290000</valUSD>
        <pctVal>0.0823538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-27</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.14268</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RP10 A1 144A</title>
        <cusip>12597FAC4</cusip>
        <identifiers>
          <isin value="US12597FAC41"/>
        </identifiers>
        <balance>816202.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>821629.500000</valUSD>
        <pctVal>0.0167034</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-12-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.02342</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL8</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL8 A1 144A</title>
        <cusip>12596YAC4</cusip>
        <identifiers>
          <isin value="US12596YAC49"/>
        </identifiers>
        <balance>413953.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>417151.000000</valUSD>
        <pctVal>0.0084805</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.322</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RPL9</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2019 RPL9 A1 144A</title>
        <cusip>12654WAC7</cusip>
        <identifiers>
          <isin value="US12654WAC73"/>
        </identifiers>
        <balance>816656.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>823947.660000</valUSD>
        <pctVal>0.0167505</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.9799</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-NET</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2020 NET A 144A</title>
        <cusip>126438AA8</cusip>
        <identifiers>
          <isin value="US126438AA86"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1240289.760000</valUSD>
        <pctVal>0.0252146</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.2569</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 M2 144A</title>
        <cusip>126405AE9</cusip>
        <identifiers>
          <isin value="US126405AE99"/>
        </identifiers>
        <balance>9794500.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9894630.150000</valUSD>
        <pctVal>0.2011540</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL4</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL4 M3 144A</title>
        <cusip>126405AF6</cusip>
        <identifiers>
          <isin value="US126405AF64"/>
        </identifiers>
        <balance>7373425.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7622163.070000</valUSD>
        <pctVal>0.1549556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT-BASED ASSET SER SEC 2001-CB4</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2001 CB4 1A1</title>
        <cusip>12489WDY7</cusip>
        <identifiers>
          <isin value="US12489WDY75"/>
        </identifiers>
        <balance>155580.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155761.680000</valUSD>
        <pctVal>0.0031666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CREDIT-BASED ASSET SERV &amp; SEC 2004-CB4</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2004 CB4 A5</title>
        <cusip>12489WJP0</cusip>
        <identifiers>
          <isin value="US12489WJP05"/>
        </identifiers>
        <balance>276077.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280114.470000</valUSD>
        <pctVal>0.0056946</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.78</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>CREDIT-BASED ASSET SERVICING AND SECURITIZATION LLC 2006-CB4</name>
        <lei>N/A</lei>
        <title>CREDIT BASED ASSET SERVICING A CBASS 2006 CB4 AV3</title>
        <cusip>12498QAC0</cusip>
        <identifiers>
          <isin value="US12498QAC06"/>
        </identifiers>
        <balance>6052995.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4947054.670000</valUSD>
        <pctVal>0.1005717</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTG SEC 2003-1</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 1 1A1</title>
        <cusip>2254W0FJ9</cusip>
        <identifiers>
          <isin value="US2254W0FJ95"/>
        </identifiers>
        <balance>14067.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14513.030000</valUSD>
        <pctVal>0.0002950</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2001-HE17</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1</title>
        <cusip>22540A7A0</cusip>
        <identifiers>
          <isin value="US22540A7A01"/>
        </identifiers>
        <balance>7464.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7282.500000</valUSD>
        <pctVal>0.0001481</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2003-8</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 1A1</title>
        <cusip>22541NT58</cusip>
        <identifiers>
          <isin value="US22541NT588"/>
        </identifiers>
        <balance>8074.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8314.930000</valUSD>
        <pctVal>0.0001690</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2003-AR15</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1</title>
        <cusip>22541QCT7</cusip>
        <identifiers>
          <isin value="US22541QCT76"/>
        </identifiers>
        <balance>198192.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199796.970000</valUSD>
        <pctVal>0.0040618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.73576</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2003-AR18</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR18 2A3</title>
        <cusip>22541QFC1</cusip>
        <identifiers>
          <isin value="US22541QFC15"/>
        </identifiers>
        <balance>6080.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6296.370000</valUSD>
        <pctVal>0.0001280</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14773</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2003-AR24</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR24 2A4</title>
        <cusip>22541QUN0</cusip>
        <identifiers>
          <isin value="US22541QUN05"/>
        </identifiers>
        <balance>82352.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81163.230000</valUSD>
        <pctVal>0.0016500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.66218</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2004-AR8</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 AR8 8M1</title>
        <cusip>22541SXR4</cusip>
        <identifiers>
          <isin value="US22541SXR48"/>
        </identifiers>
        <balance>884106.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>974060.850000</valUSD>
        <pctVal>0.0198023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2415</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>CS FIRST BOSTON MTGE SEC CORP 2004-CF2</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2004 CF2 2A2 144A</title>
        <cusip>22541SE87</cusip>
        <identifiers>
          <isin value="US22541SE878"/>
        </identifiers>
        <balance>3382.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3382.620000</valUSD>
        <pctVal>0.0000688</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2005-10</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 10 5A6</title>
        <cusip>225470EH2</cusip>
        <identifiers>
          <isin value="US225470EH27"/>
        </identifiers>
        <balance>181815.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167712.780000</valUSD>
        <pctVal>0.0034095</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>Fixed</couponKind>
          <annualizedRt>5.5</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>CS FIRST BOSTON MTGE SEC. CORP 2002-AR33</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 AR33 3A2</title>
        <cusip>22541NXW4</cusip>
        <identifiers>
          <isin value="US22541NXW46"/>
        </identifiers>
        <balance>29453.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26493.040000</valUSD>
        <pctVal>0.0005386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.35629</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSFB MORTGAGE SECURITIES CORP 2005-5</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 5 4A1</title>
        <cusip>225458UE6</cusip>
        <identifiers>
          <isin value="US225458UE67"/>
        </identifiers>
        <balance>228947.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>246057.860000</valUSD>
        <pctVal>0.0050023</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>Fixed</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>CSMC 2020-FACT TRUST</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT A 144A</title>
        <cusip>126395AA0</cusip>
        <identifiers>
          <isin value="US126395AA04"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1005508.400000</valUSD>
        <pctVal>0.0204416</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.423</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSMC 2021-RPL2 TRUST</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M1 144A</title>
        <cusip>12656TAD0</cusip>
        <identifiers>
          <isin value="US12656TAD00"/>
        </identifiers>
        <balance>5626018.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6051957.350000</valUSD>
        <pctVal>0.1230339</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSMC 2021-RPL2 TRUST</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M2 144A</title>
        <cusip>12656TAE8</cusip>
        <identifiers>
          <isin value="US12656TAE82"/>
        </identifiers>
        <balance>3775397.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4109565.320000</valUSD>
        <pctVal>0.0835459</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CSMC 2021-RPL2 TRUST</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 M3 144A</title>
        <cusip>12656TAF5</cusip>
        <identifiers>
          <isin value="US12656TAF57"/>
        </identifiers>
        <balance>3343098.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3519752.310000</valUSD>
        <pctVal>0.0715552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.49405</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CVS PASS-THROUGH TRUST</name>
        <lei>N/A</lei>
        <title>CVS PASS THROUGH TRUST PASS THRU CE 01/28 5.88</title>
        <cusip>126650BC3</cusip>
        <identifiers>
          <isin value="US126650BC35"/>
        </identifiers>
        <balance>883634.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1015995.420000</valUSD>
        <pctVal>0.0206548</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.88</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CWHEQ REVOLVING HOME EQUITY LOAN TRUST SERIES 2006-A</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME EQUITY LOAN T CWHEL 2006 A A</title>
        <cusip>126685CE4</cusip>
        <identifiers>
          <isin value="US126685CE49"/>
        </identifiers>
        <balance>1000839.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>994185.520000</valUSD>
        <pctVal>0.0202114</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.26288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES INC 2007-AR1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A2</title>
        <cusip>25151RAB0</cusip>
        <identifiers>
          <isin value="US25151RAB06"/>
        </identifiers>
        <balance>5494213.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5186720.310000</valUSD>
        <pctVal>0.1054440</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>Floating</couponKind>
          <annualizedRt>0.2715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DRB PRIME STUDENT LOAN TRUST 2015-D</name>
        <lei>N/A</lei>
        <title>DRB PRIME STUDENT LOAN TRUST DRB 2015 D A1 144A</title>
        <cusip>23341KAA3</cusip>
        <identifiers>
          <isin value="US23341KAA34"/>
        </identifiers>
        <balance>2391946.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2391946.720000</valUSD>
        <pctVal>0.0486273</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.791</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DRIVE AUTO RECEIVABLES TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>DRIVE AUTO RECEIVABLES TRUST DRIVE 2020 2 A3</title>
        <cusip>26208VAD8</cusip>
        <identifiers>
          <isin value="US26208VAD82"/>
        </identifiers>
        <balance>11800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11826198.360000</valUSD>
        <pctVal>0.2404220</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.83</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DRYDEN 36 SENIOR LOAN FUND 2014-36A</name>
        <lei>N/A</lei>
        <title>DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A</title>
        <cusip>26249KAZ4</cusip>
        <identifiers>
          <isin value="US26249KAZ49"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1201599.610000</valUSD>
        <pctVal>0.0244281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DRYDEN XXV SENIOR LOAN FUND 2012-25A</name>
        <lei>N/A</lei>
        <title>DRYDEN SENIOR LOAN FUND DRSLF 2012 25A ARR 144A</title>
        <cusip>26250JAS9</cusip>
        <identifiers>
          <isin value="US26250JAS96"/>
        </identifiers>
        <balance>31758112.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31751761.350000</valUSD>
        <pctVal>0.6455009</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.08375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2006-AR1</name>
        <lei>N/A</lei>
        <title>DSLA MORTGAGE LOAN TRUST DSLA 2006 AR1 2A1A</title>
        <cusip>23332UGM0</cusip>
        <identifiers>
          <isin value="US23332UGM09"/>
        </identifiers>
        <balance>425147.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414035.970000</valUSD>
        <pctVal>0.0084172</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0563</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EARNEST STUDENT LOAN PROGRAM LLC 2016-C</name>
        <lei>N/A</lei>
        <title>EARNEST STUDENT LOAN PROGRAM L EARN 2016 C A2 144A</title>
        <cusip>27034LAB2</cusip>
        <identifiers>
          <isin value="US27034LAB27"/>
        </identifiers>
        <balance>424022.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>424022.620000</valUSD>
        <pctVal>0.0086202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ECMC GROUP STUDENT LOAN TRUST 2020-2A</name>
        <lei>N/A</lei>
        <title>ECMC GROUP STUDENT LOAN TRUST ECMC 2020 2A A 144A</title>
        <cusip>26829HAA4</cusip>
        <identifiers>
          <isin value="US26829HAA41"/>
        </identifiers>
        <balance>9305722.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9411748.910000</valUSD>
        <pctVal>0.1913372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ECMC GROUP STUDENT LOAN TRUST 2020-3A</name>
        <lei>N/A</lei>
        <title>ECMC GROUP STUDENT LOAN TRUST ECMC 2020 3A A1B 144A</title>
        <cusip>26833BAB9</cusip>
        <identifiers>
          <isin value="US26833BAB99"/>
        </identifiers>
        <balance>12995399.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13199447.850000</valUSD>
        <pctVal>0.2683396</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ELLINGTON LOAN ACQUISITION TRUST 2007-2</name>
        <lei>N/A</lei>
        <title>ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A2D 144A</title>
        <cusip>288547AE2</cusip>
        <identifiers>
          <isin value="US288547AE21"/>
        </identifiers>
        <balance>2069000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2074714.580000</valUSD>
        <pctVal>0.0421781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EMCM MORTGAGE LOAN TRUST 2003-A</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2003 A A2 144A</title>
        <cusip>268668BU3</cusip>
        <identifiers>
          <isin value="US268668BU33"/>
        </identifiers>
        <balance>201414.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202649.710000</valUSD>
        <pctVal>0.0041198</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENCORE CREDIT RECEIVABLES TR 2005-1</name>
        <lei>N/A</lei>
        <title>ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2</title>
        <cusip>126673VQ2</cusip>
        <identifiers>
          <isin value="US126673VQ20"/>
        </identifiers>
        <balance>420964.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>415426.090000</valUSD>
        <pctVal>0.0084455</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>0.7815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENCORE CREDIT RECEIVABLES TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M4</title>
        <cusip>126673J45</cusip>
        <identifiers>
          <isin value="US126673J456"/>
        </identifiers>
        <balance>10000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10025696.000000</valUSD>
        <pctVal>0.2038185</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>1.0215</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EQUIFIRST MORTGAGE LOAN TRUST</name>
        <lei>N/A</lei>
        <title>EQUIFIRST MORTGAGE LOAN TRUST EMLT 2003 2 2A2</title>
        <cusip>29445FAG3</cusip>
        <identifiers>
          <isin value="US29445FAG37"/>
        </identifiers>
        <balance>159272.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166074.850000</valUSD>
        <pctVal>0.0033762</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EQUITY ONE ABS INC 2004-3</name>
        <lei>N/A</lei>
        <title>EQUITY ONE ABS INC EQABS 2004 3 AV2</title>
        <cusip>294751EY4</cusip>
        <identifiers>
          <isin value="US294751EY48"/>
        </identifiers>
        <balance>3875.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3681.460000</valUSD>
        <pctVal>0.0000748</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EXETER AUTOMOBILE RECEIVABLES TRUST 2018-1A</name>
        <lei>N/A</lei>
        <title>EXETER AUTOMOBILE RECEIVABLES EART 2018 1A D 144A</title>
        <cusip>301656AG9</cusip>
        <identifiers>
          <isin value="US301656AG92"/>
        </identifiers>
        <balance>6339414.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6455641.740000</valUSD>
        <pctVal>0.1312407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.53</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EXTENDED STAY AMERICA TRUST 2021-ESH</name>
        <lei>N/A</lei>
        <title>EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A</title>
        <cusip>30227FAA8</cusip>
        <identifiers>
          <isin value="US30227FAA84"/>
        </identifiers>
        <balance>46900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47149071.830000</valUSD>
        <pctVal>0.9585222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.155</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1993-165</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1993 165 FH</title>
        <cusip>31359D5Q2</cusip>
        <identifiers>
          <isin value="US31359D5Q29"/>
        </identifiers>
        <balance>986.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>998.010000</valUSD>
        <pctVal>0.0000203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 1995-2</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1995 2 Z</title>
        <cusip>31359LMW2</cusip>
        <identifiers>
          <isin value="US31359LMW27"/>
        </identifiers>
        <balance>1799.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1977.850000</valUSD>
        <pctVal>0.0000402</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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>FANNIE MAE 2001-61</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 61 FH</title>
        <cusip>313921R26</cusip>
        <identifiers>
          <isin value="US313921R265"/>
        </identifiers>
        <balance>1368.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1381.710000</valUSD>
        <pctVal>0.0000281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2001-62</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2001 62 FC</title>
        <cusip>31392ADL9</cusip>
        <identifiers>
          <isin value="US31392ADL98"/>
        </identifiers>
        <balance>24875.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25193.040000</valUSD>
        <pctVal>0.0005122</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2002-25</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 25 FX</title>
        <cusip>31392C6T6</cusip>
        <identifiers>
          <isin value="US31392C6T69"/>
        </identifiers>
        <balance>3176.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3250.470000</valUSD>
        <pctVal>0.0000661</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2002-71</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2002 71 A</title>
        <cusip>31392FDZ7</cusip>
        <identifiers>
          <isin value="US31392FDZ71"/>
        </identifiers>
        <balance>433000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>520834.830000</valUSD>
        <pctVal>0.0105884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</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>FANNIE MAE 2003-11</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 11 EF</title>
        <cusip>31392HPP2</cusip>
        <identifiers>
          <isin value="US31392HPP28"/>
        </identifiers>
        <balance>36222.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36439.780000</valUSD>
        <pctVal>0.0007408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2003-116</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 116 KL</title>
        <cusip>31393T5D4</cusip>
        <identifiers>
          <isin value="US31393T5D45"/>
        </identifiers>
        <balance>62663.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68944.450000</valUSD>
        <pctVal>0.0014016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</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>FANNIE MAE 2003-55</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 55 CD</title>
        <cusip>31393CPD9</cusip>
        <identifiers>
          <isin value="US31393CPD91"/>
        </identifiers>
        <balance>1414.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1458.750000</valUSD>
        <pctVal>0.0000297</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-06-25</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>FANNIE MAE 2006-15</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 15 FC</title>
        <cusip>31395BVE0</cusip>
        <identifiers>
          <isin value="US31395BVE00"/>
        </identifiers>
        <balance>10678.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10637.720000</valUSD>
        <pctVal>0.0002163</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.22163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE 2007-73</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 73 A1</title>
        <cusip>31396V4Q8</cusip>
        <identifiers>
          <isin value="US31396V4Q81"/>
        </identifiers>
        <balance>815206.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>801154.500000</valUSD>
        <pctVal>0.0162872</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <annualizedRt>0.15163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMIC-1997-76</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1997 76 FN</title>
        <cusip>31359QT20</cusip>
        <identifiers>
          <isin value="US31359QT207"/>
        </identifiers>
        <balance>953.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>955.140000</valUSD>
        <pctVal>0.0000194</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.48175</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2019-62</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2019 62 SN</title>
        <cusip>3136B62S1</cusip>
        <identifiers>
          <isin value="US3136B62S11"/>
        </identifiers>
        <balance>771801.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>151212.500000</valUSD>
        <pctVal>0.0030741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.9085</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE WHOLE LOAN</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 1998 W2 A8</title>
        <cusip>31359UPD1</cusip>
        <identifiers>
          <isin value="US31359UPD18"/>
        </identifiers>
        <balance>13616.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14965.250000</valUSD>
        <pctVal>0.0003042</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE WHOLE LOAN 2001-W1</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2001 W1 AV1</title>
        <cusip>31359S2J8</cusip>
        <identifiers>
          <isin value="US31359S2J86"/>
        </identifiers>
        <balance>65723.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64238.190000</valUSD>
        <pctVal>0.0013059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1991-143</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1991 143 F</title>
        <cusip>31358JP62</cusip>
        <identifiers>
          <isin value="US31358JP624"/>
        </identifiers>
        <balance>41.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41.370000</valUSD>
        <pctVal>0.0000008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1991-163</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1991 163 FA</title>
        <cusip>31358KD54</cusip>
        <identifiers>
          <isin value="US31358KD545"/>
        </identifiers>
        <balance>21.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21.880000</valUSD>
        <pctVal>0.0000004</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1991-99</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1991 99 J</title>
        <cusip>31358HP74</cusip>
        <identifiers>
          <isin value="US31358HP743"/>
        </identifiers>
        <balance>37.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37.720000</valUSD>
        <pctVal>0.0000008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</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>FANNIE MAE-1992-123</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1992 123 Z</title>
        <cusip>31358N4F6</cusip>
        <identifiers>
          <isin value="US31358N4F65"/>
        </identifiers>
        <balance>2103.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2154.620000</valUSD>
        <pctVal>0.0000438</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</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>FANNIE MAE-1992-177</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1992 177 F</title>
        <cusip>31358QD85</cusip>
        <identifiers>
          <isin value="US31358QD856"/>
        </identifiers>
        <balance>580.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>583.060000</valUSD>
        <pctVal>0.0000119</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1992-30</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1992 30 F</title>
        <cusip>31358LV94</cusip>
        <identifiers>
          <isin value="US31358LV941"/>
        </identifiers>
        <balance>47.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47.850000</valUSD>
        <pctVal>0.0000010</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1992-73</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1992 73 F</title>
        <cusip>31358MZ80</cusip>
        <identifiers>
          <isin value="US31358MZ809"/>
        </identifiers>
        <balance>615.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>614.860000</valUSD>
        <pctVal>0.0000125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1993-149</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1993 149 FE</title>
        <cusip>31359B6W2</cusip>
        <identifiers>
          <isin value="US31359B6W24"/>
        </identifiers>
        <balance>2265.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2278.610000</valUSD>
        <pctVal>0.0000463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1993-247</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1993 247 FE</title>
        <cusip>31359FP77</cusip>
        <identifiers>
          <isin value="US31359FP778"/>
        </identifiers>
        <balance>2856.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2878.220000</valUSD>
        <pctVal>0.0000585</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1993-247</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1993 247 FG</title>
        <cusip>31359FP93</cusip>
        <identifiers>
          <isin value="US31359FP935"/>
        </identifiers>
        <balance>3570.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3594.410000</valUSD>
        <pctVal>0.0000731</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-2005-74</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 74 DZ</title>
        <cusip>31394FDX0</cusip>
        <identifiers>
          <isin value="US31394FDX06"/>
        </identifiers>
        <balance>1826103.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2474364.430000</valUSD>
        <pctVal>0.0503029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</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>FANNIE MAE-G92-23</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR G92 23 F</title>
        <cusip>31358MPZ1</cusip>
        <identifiers>
          <isin value="US31358MPZ13"/>
        </identifiers>
        <balance>9.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9.550000</valUSD>
        <pctVal>0.0000002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-T19</name>
        <lei>N/A</lei>
        <title>FANNIEMAE GRANTOR TRUST FNGT 2002 T19 A2</title>
        <cusip>31392GVR3</cusip>
        <identifiers>
          <isin value="US31392GVR37"/>
        </identifiers>
        <balance>4196.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5012.050000</valUSD>
        <pctVal>0.0001019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE GRANTOR TRUST 2002-T5</name>
        <lei>N/A</lei>
        <title>FANNIEMAE GRANTOR TRUST FNGT 2002 T5 A1</title>
        <cusip>31392CXY5</cusip>
        <identifiers>
          <isin value="US31392CXY55"/>
        </identifiers>
        <balance>1899.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1891.570000</valUSD>
        <pctVal>0.0000385</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES KC01</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS KC01 X1</title>
        <cusip>3137BNNA8</cusip>
        <identifiers>
          <isin value="US3137BNNA86"/>
        </identifiers>
        <balance>31779446.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167919.420000</valUSD>
        <pctVal>0.0034137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.554139</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1B2723 FH 01/35 FLOATING VAR</title>
        <cusip>3128JM4H7</cusip>
        <identifiers>
          <isin value="US3128JM4H70"/>
        </identifiers>
        <balance>5477.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5482.760000</valUSD>
        <pctVal>0.0001115</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.112</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1G0038 FH 01/35 FLOATING VAR</title>
        <cusip>3128NCBF0</cusip>
        <identifiers>
          <isin value="US3128NCBF02"/>
        </identifiers>
        <balance>4185.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4330.430000</valUSD>
        <pctVal>0.0000880</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.052</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1G0053 FH 02/35 FLOATING VAR</title>
        <cusip>3128NCBW3</cusip>
        <identifiers>
          <isin value="US3128NCBW35"/>
        </identifiers>
        <balance>4961.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5139.390000</valUSD>
        <pctVal>0.0001045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.053</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1G0104 FH 02/35 FLOATING VAR</title>
        <cusip>3128NCDH4</cusip>
        <identifiers>
          <isin value="US3128NCDH40"/>
        </identifiers>
        <balance>2071.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2089.550000</valUSD>
        <pctVal>0.0000425</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1G1748 FH 09/35 FLOATING VAR</title>
        <cusip>3128QJ5H5</cusip>
        <identifiers>
          <isin value="US3128QJ5H54"/>
        </identifiers>
        <balance>1539.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1553.970000</valUSD>
        <pctVal>0.0000316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.465</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1J0533 FH 07/37 FLOATING VAR</title>
        <cusip>3128LUSW7</cusip>
        <identifiers>
          <isin value="US3128LUSW77"/>
        </identifiers>
        <balance>6421.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6496.130000</valUSD>
        <pctVal>0.0001321</pctVal>
        <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>Floating</couponKind>
          <annualizedRt>2.236</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR</title>
        <cusip>3128NHK36</cusip>
        <identifiers>
          <isin value="US3128NHK362"/>
        </identifiers>
        <balance>4414.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4623.280000</valUSD>
        <pctVal>0.0000940</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.974</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 420212 FH 08/31 FLOATING VAR</title>
        <cusip>31346AGV1</cusip>
        <identifiers>
          <isin value="US31346AGV17"/>
        </identifiers>
        <balance>14605.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16700.970000</valUSD>
        <pctVal>0.0003395</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.768</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 780370 FH 04/33 FLOATING VAR</title>
        <cusip>31342AMT3</cusip>
        <identifiers>
          <isin value="US31342AMT33"/>
        </identifiers>
        <balance>1674.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1668.760000</valUSD>
        <pctVal>0.0000339</pctVal>
        <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>Floating</couponKind>
          <annualizedRt>2.348</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 780870 FH 09/33 FLOATING VAR</title>
        <cusip>31342A6F1</cusip>
        <identifiers>
          <isin value="US31342A6F15"/>
        </identifiers>
        <balance>13957.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14818.800000</valUSD>
        <pctVal>0.0003013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.416</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 780967 FH 10/33 FLOATING VAR</title>
        <cusip>31349SCC5</cusip>
        <identifiers>
          <isin value="US31349SCC52"/>
        </identifiers>
        <balance>345.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>345.490000</valUSD>
        <pctVal>0.0000070</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.581</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 781086 FH 12/33 FLOATING VAR</title>
        <cusip>31349SF32</cusip>
        <identifiers>
          <isin value="US31349SF328"/>
        </identifiers>
        <balance>16295.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16345.500000</valUSD>
        <pctVal>0.0003323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.355</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 781294 FH 03/34 FLOATING VAR</title>
        <cusip>31349SNK5</cusip>
        <identifiers>
          <isin value="US31349SNK59"/>
        </identifiers>
        <balance>12032.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12839.310000</valUSD>
        <pctVal>0.0002610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.355</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 781418 FH 04/34 FLOATING VAR</title>
        <cusip>31349SSF1</cusip>
        <identifiers>
          <isin value="US31349SSF10"/>
        </identifiers>
        <balance>8286.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8416.970000</valUSD>
        <pctVal>0.0001711</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>Floating</couponKind>
          <annualizedRt>2.355</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 782645 FH 02/36 FLOATING VAR</title>
        <cusip>31349T5E7</cusip>
        <identifiers>
          <isin value="US31349T5E79"/>
        </identifiers>
        <balance>4863.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4874.540000</valUSD>
        <pctVal>0.0000991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.52</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 782785 FH 10/34 FLOATING VAR</title>
        <cusip>31349UCW6</cusip>
        <identifiers>
          <isin value="US31349UCW62"/>
        </identifiers>
        <balance>10191.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10923.510000</valUSD>
        <pctVal>0.0002221</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.253</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 782804 FH 11/34 FLOATING VAR</title>
        <cusip>31349UDH8</cusip>
        <identifiers>
          <isin value="US31349UDH86"/>
        </identifiers>
        <balance>8164.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8722.780000</valUSD>
        <pctVal>0.0001773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.362</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 782837 FH 11/34 FLOATING VAR</title>
        <cusip>31349UEJ3</cusip>
        <identifiers>
          <isin value="US31349UEJ34"/>
        </identifiers>
        <balance>15156.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16194.380000</valUSD>
        <pctVal>0.0003292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 783022 FH 02/35 FLOATING VAR</title>
        <cusip>31349ULB2</cusip>
        <identifiers>
          <isin value="US31349ULB25"/>
        </identifiers>
        <balance>11859.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12680.990000</valUSD>
        <pctVal>0.0002578</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 783026 FH 02/35 FLOATING VAR</title>
        <cusip>31349ULF3</cusip>
        <identifiers>
          <isin value="US31349ULF39"/>
        </identifiers>
        <balance>10480.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11244.040000</valUSD>
        <pctVal>0.0002286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.233</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 785601 FH 02/26 FLOATING VAR</title>
        <cusip>31348SGJ7</cusip>
        <identifiers>
          <isin value="US31348SGJ78"/>
        </identifiers>
        <balance>424.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>426.050000</valUSD>
        <pctVal>0.0000087</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.429</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 786252 FH 03/28 FLOATING VAR</title>
        <cusip>31348S5M2</cusip>
        <identifiers>
          <isin value="US31348S5M24"/>
        </identifiers>
        <balance>3122.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3128.230000</valUSD>
        <pctVal>0.0000636</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>Floating</couponKind>
          <annualizedRt>2.261</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 786472 FH 09/28 FLOATING VAR</title>
        <cusip>31295KFM1</cusip>
        <identifiers>
          <isin value="US31295KFM18"/>
        </identifiers>
        <balance>2734.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2734.850000</valUSD>
        <pctVal>0.0000556</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>Floating</couponKind>
          <annualizedRt>2.348</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 789299 FH 04/32 FLOATING VAR</title>
        <cusip>31295NKL1</cusip>
        <identifiers>
          <isin value="US31295NKL19"/>
        </identifiers>
        <balance>63884.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64370.260000</valUSD>
        <pctVal>0.0013086</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.333</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 789692 FH 08/32 FLOATING VAR</title>
        <cusip>31295NXV5</cusip>
        <identifiers>
          <isin value="US31295NXV53"/>
        </identifiers>
        <balance>374.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>375.670000</valUSD>
        <pctVal>0.0000076</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 845441 FH 08/23 FLOATING VAR</title>
        <cusip>31288VBJ7</cusip>
        <identifiers>
          <isin value="US31288VBJ70"/>
        </identifiers>
        <balance>2258.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2276.100000</valUSD>
        <pctVal>0.0000463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.72</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 845601 FH 11/23 FLOATING VAR</title>
        <cusip>31288VGJ2</cusip>
        <identifiers>
          <isin value="US31288VGJ26"/>
        </identifiers>
        <balance>165.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166.120000</valUSD>
        <pctVal>0.0000034</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.365</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 846869 FH 03/30 FLOATING VAR</title>
        <cusip>3128HDT25</cusip>
        <identifiers>
          <isin value="US3128HDT257"/>
        </identifiers>
        <balance>3269.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3285.280000</valUSD>
        <pctVal>0.0000668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.54</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847003 FH 03/32 FLOATING VAR</title>
        <cusip>3128HDX87</cusip>
        <identifiers>
          <isin value="US3128HDX879"/>
        </identifiers>
        <balance>19650.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19715.270000</valUSD>
        <pctVal>0.0004008</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.579</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972068 FH 05/26 FLOATING VAR</title>
        <cusip>31336CJM6</cusip>
        <identifiers>
          <isin value="US31336CJM64"/>
        </identifiers>
        <balance>4976.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5032.070000</valUSD>
        <pctVal>0.0001023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.339</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 972164 FH 01/35 FLOATING VAR</title>
        <cusip>31336CMM2</cusip>
        <identifiers>
          <isin value="US31336CMM28"/>
        </identifiers>
        <balance>4897.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5218.270000</valUSD>
        <pctVal>0.0001061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.462</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08721 FG 09/46 FIXED 3</title>
        <cusip>3128MJYT1</cusip>
        <identifiers>
          <isin value="US3128MJYT11"/>
        </identifiers>
        <balance>54249.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57145.300000</valUSD>
        <pctVal>0.0011617</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08773 FG 08/47 FIXED 3</title>
        <cusip>3128MJ2F6</cusip>
        <identifiers>
          <isin value="US3128MJ2F66"/>
        </identifiers>
        <balance>36044.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37993.480000</valUSD>
        <pctVal>0.0007724</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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08787 FG 11/47 FIXED 3</title>
        <cusip>3128MJ2V1</cusip>
        <identifiers>
          <isin value="US3128MJ2V17"/>
        </identifiers>
        <balance>60790.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63816.960000</valUSD>
        <pctVal>0.0012974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08799 FG 02/48 FIXED 3</title>
        <cusip>3128MJ3H1</cusip>
        <identifiers>
          <isin value="US3128MJ3H14"/>
        </identifiers>
        <balance>15962096.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16694054.110000</valUSD>
        <pctVal>0.3393836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08803 FG 03/48 FIXED 3</title>
        <cusip>3128MJ3M0</cusip>
        <identifiers>
          <isin value="US3128MJ3M09"/>
        </identifiers>
        <balance>1722369.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1798868.760000</valUSD>
        <pctVal>0.0365703</pctVal>
        <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>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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q41914 FG 07/46 FIXED 3.5</title>
        <cusip>3132WFDU0</cusip>
        <identifiers>
          <isin value="US3132WFDU01"/>
        </identifiers>
        <balance>81616.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87744.580000</valUSD>
        <pctVal>0.0017838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q43413 FG 10/46 FIXED 3</title>
        <cusip>3132WGYK7</cusip>
        <identifiers>
          <isin value="US3132WGYK72"/>
        </identifiers>
        <balance>558289.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>588108.240000</valUSD>
        <pctVal>0.0119560</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL Q54011 FG 02/48 FIXED 3.5</title>
        <cusip>3132XWN56</cusip>
        <identifiers>
          <isin value="US3132XWN564"/>
        </identifiers>
        <balance>136927.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>146509.140000</valUSD>
        <pctVal>0.0029785</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QA1173 FR 07/49 FIXED 4</title>
        <cusip>31334XJS9</cusip>
        <identifiers>
          <isin value="US31334XJS99"/>
        </identifiers>
        <balance>6483.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6904.220000</valUSD>
        <pctVal>0.0001404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-07-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL QA3399 FR 10/49 FIXED 4</title>
        <cusip>31339SX42</cusip>
        <identifiers>
          <isin value="US31339SX421"/>
        </identifiers>
        <balance>11184.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11908.360000</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>2049-10-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RA3827 FR 05/50 FIXED 4</title>
        <cusip>3133KKHC6</cusip>
        <identifiers>
          <isin value="US3133KKHC62"/>
        </identifiers>
        <balance>15009.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16031.790000</valUSD>
        <pctVal>0.0003259</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5002 FR 07/39 FIXED 4</title>
        <cusip>3133KYRX9</cusip>
        <identifiers>
          <isin value="US3133KYRX93"/>
        </identifiers>
        <balance>5023431.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5348923.100000</valUSD>
        <pctVal>0.1087415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-07-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL RB5008 FR 08/39 FIXED 4</title>
        <cusip>3133KYR50</cusip>
        <identifiers>
          <isin value="US3133KYR509"/>
        </identifiers>
        <balance>4197549.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4469110.460000</valUSD>
        <pctVal>0.0908553</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD0251 FR 06/49 FIXED 4</title>
        <cusip>3132DMH40</cusip>
        <identifiers>
          <isin value="US3132DMH403"/>
        </identifiers>
        <balance>20100.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21406.100000</valUSD>
        <pctVal>0.0004352</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL SD8070 FR 06/50 FIXED 4</title>
        <cusip>3132DV6F7</cusip>
        <identifiers>
          <isin value="US3132DV6F76"/>
        </identifiers>
        <balance>329661.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>352558.290000</valUSD>
        <pctVal>0.0071674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-06-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZM6429 FR 05/48 FIXED 4</title>
        <cusip>3131Y1EA4</cusip>
        <identifiers>
          <isin value="US3131Y1EA40"/>
        </identifiers>
        <balance>204939.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218863.800000</valUSD>
        <pctVal>0.0044494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZM6811 FR 06/48 FIXED 4</title>
        <cusip>3131Y1R85</cusip>
        <identifiers>
          <isin value="US3131Y1R850"/>
        </identifiers>
        <balance>22434.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23945.690000</valUSD>
        <pctVal>0.0004868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZS4714 FR 04/47 FIXED 4</title>
        <cusip>3132A5GX7</cusip>
        <identifiers>
          <isin value="US3132A5GX78"/>
        </identifiers>
        <balance>912230.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>980409.130000</valUSD>
        <pctVal>0.0199313</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZS4718 FR 05/47 FIXED 4</title>
        <cusip>3132A5G33</cusip>
        <identifiers>
          <isin value="US3132A5G331"/>
        </identifiers>
        <balance>914496.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>982350.170000</valUSD>
        <pctVal>0.0199708</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZT1897 FR 04/39 FIXED 4</title>
        <cusip>3132AEDA1</cusip>
        <identifiers>
          <isin value="US3132AEDA10"/>
        </identifiers>
        <balance>375648.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>404943.970000</valUSD>
        <pctVal>0.0082324</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-01</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>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL ZT1914 FR 12/48 FIXED 4</title>
        <cusip>3132AEDT0</cusip>
        <identifiers>
          <isin value="US3132AEDT01"/>
        </identifiers>
        <balance>2189313.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2332905.940000</valUSD>
        <pctVal>0.0474271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</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>FHLMC STRUCTURED PASS THROUGH SEC T-63</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1</title>
        <cusip>31395M2F5</cusip>
        <identifiers>
          <isin value="US31395M2F53"/>
        </identifiers>
        <balance>10057.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10146.460000</valUSD>
        <pctVal>0.0002063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.34833</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THROUGH T-21</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 21 A</title>
        <cusip>3133TMGL4</cusip>
        <identifiers>
          <isin value="US3133TMGL46"/>
        </identifiers>
        <balance>292.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291.230000</valUSD>
        <pctVal>0.0000059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THRU SEC T-32</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1</title>
        <cusip>3133TSQG1</cusip>
        <identifiers>
          <isin value="US3133TSQG11"/>
        </identifiers>
        <balance>43558.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42563.550000</valUSD>
        <pctVal>0.0008653</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THRU SEC T-57</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1</title>
        <cusip>31394JD87</cusip>
        <identifiers>
          <isin value="US31394JD872"/>
        </identifiers>
        <balance>355697.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>433555.660000</valUSD>
        <pctVal>0.0088140</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THRU SEC T-61</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1</title>
        <cusip>31395A3J2</cusip>
        <identifiers>
          <isin value="US31395A3J20"/>
        </identifiers>
        <balance>348512.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>359828.650000</valUSD>
        <pctVal>0.0073152</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC STRUCTURED PASS THRU SEC T-62</name>
        <lei>N/A</lei>
        <title>FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1</title>
        <cusip>31395HHV5</cusip>
        <identifiers>
          <isin value="US31395HHV50"/>
        </identifiers>
        <balance>1587237.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1631204.800000</valUSD>
        <pctVal>0.0331618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC-GNMA 18</name>
        <lei>N/A</lei>
        <title>FHLMC GNMA FHG 18 A</title>
        <cusip>3133T0S47</cusip>
        <identifiers>
          <isin value="US3133T0S475"/>
        </identifiers>
        <balance>50437.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50640.020000</valUSD>
        <pctVal>0.0010295</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75026</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M1</title>
        <cusip>32027NXD8</cusip>
        <identifiers>
          <isin value="US32027NXD82"/>
        </identifiers>
        <balance>509434.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>509660.530000</valUSD>
        <pctVal>0.0103612</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>0.8115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LN ASSET BC 2005-FFH4</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FFH4 M2</title>
        <cusip>32027NXE6</cusip>
        <identifiers>
          <isin value="US32027NXE65"/>
        </identifiers>
        <balance>23487000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23104772.560000</valUSD>
        <pctVal>0.4697110</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>0.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN 2005-FF11</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF11 M2</title>
        <cusip>362341YG8</cusip>
        <identifiers>
          <isin value="US362341YG89"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1888922.430000</valUSD>
        <pctVal>0.0384011</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>0.7665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN 2006-FF18</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1</title>
        <cusip>32029AAA5</cusip>
        <identifiers>
          <isin value="US32029AAA51"/>
        </identifiers>
        <balance>46966932.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45455578.990000</valUSD>
        <pctVal>0.9240942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN 2006-FF18</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A2B</title>
        <cusip>32029AAC1</cusip>
        <identifiers>
          <isin value="US32029AAC18"/>
        </identifiers>
        <balance>12829149.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11926861.390000</valUSD>
        <pctVal>0.2424684</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN ABS 2006-FF15</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A1</title>
        <cusip>32028GAA3</cusip>
        <identifiers>
          <isin value="US32028GAA31"/>
        </identifiers>
        <balance>51193353.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48188242.130000</valUSD>
        <pctVal>0.9796482</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>0.2115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN ABS 2006-FF15</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A6</title>
        <cusip>32028GAF2</cusip>
        <identifiers>
          <isin value="US32028GAF28"/>
        </identifiers>
        <balance>25256000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22852103.610000</valUSD>
        <pctVal>0.4645744</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>0.4015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN ABS 2006-FF9</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A3</title>
        <cusip>320276AE8</cusip>
        <identifiers>
          <isin value="US320276AE86"/>
        </identifiers>
        <balance>16711011.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16440965.140000</valUSD>
        <pctVal>0.3342384</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST FRANKLIN MTG LOAN ASSET 2004-FF6</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FF6 M2</title>
        <cusip>32027NKK6</cusip>
        <identifiers>
          <isin value="US32027NKK62"/>
        </identifiers>
        <balance>2409748.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2457564.710000</valUSD>
        <pctVal>0.0499613</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.9665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST HORIZON ALT MTG SEC 2005-AA5</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA5 2A1</title>
        <cusip>32051GPM1</cusip>
        <identifiers>
          <isin value="US32051GPM14"/>
        </identifiers>
        <balance>6017419.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5895024.590000</valUSD>
        <pctVal>0.1198436</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>2.51034</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>FIRST HORIZON ALT MTGE SEC 2004-AA1</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA1 A1</title>
        <cusip>32051D3G5</cusip>
        <identifiers>
          <isin value="US32051D3G58"/>
        </identifiers>
        <balance>1111914.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1136385.190000</valUSD>
        <pctVal>0.0231023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.17894</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST HORIZON ALT MTGE SEC 2004-AA3</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1</title>
        <cusip>32051D6B3</cusip>
        <identifiers>
          <isin value="US32051D6B35"/>
        </identifiers>
        <balance>587100.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>583353.330000</valUSD>
        <pctVal>0.0118593</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.33333</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST HORIZON ALT MTGE SEC 2005-AA1</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1</title>
        <cusip>32051GGD1</cusip>
        <identifiers>
          <isin value="US32051GGD16"/>
        </identifiers>
        <balance>114711.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89058.360000</valUSD>
        <pctVal>0.0018105</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>2.93271</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>FIRST NLC TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>FIRST NLC TRUST FNLC 2007 1 A2 144A</title>
        <cusip>32115BAB6</cusip>
        <identifiers>
          <isin value="US32115BAB62"/>
        </identifiers>
        <balance>31001300.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20248431.340000</valUSD>
        <pctVal>0.4116427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRST NLC TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>FIRST NLC TRUST FNLC 2007 1 A4 144A</title>
        <cusip>32115BAD2</cusip>
        <identifiers>
          <isin value="US32115BAD29"/>
        </identifiers>
        <balance>1693343.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1127683.590000</valUSD>
        <pctVal>0.0229254</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIRSTKEY HOMES 2020-SFR1 TRUST</name>
        <lei>N/A</lei>
        <title>FIRSTKEY HOMES 2020 SFR1 TRUST FKH 2020 SFR1 A 144A</title>
        <cusip>33767MAA3</cusip>
        <identifiers>
          <isin value="US33767MAA36"/>
        </identifiers>
        <balance>3096413.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3099856.150000</valUSD>
        <pctVal>0.0630189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.339</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FLAGSHIP CREDIT AUTO TRUST 2020-3</name>
        <lei>N/A</lei>
        <title>FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 A 144A</title>
        <cusip>33844TAA5</cusip>
        <identifiers>
          <isin value="US33844TAA51"/>
        </identifiers>
        <balance>719415.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>721511.240000</valUSD>
        <pctVal>0.0146680</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 064729 FN 10/27 FLOATING VAR</title>
        <cusip>31362L4N7</cusip>
        <identifiers>
          <isin value="US31362L4N79"/>
        </identifiers>
        <balance>668.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>683.530000</valUSD>
        <pctVal>0.0000139</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 083490 FN 10/28 FLOATING VAR</title>
        <cusip>31363AXT5</cusip>
        <identifiers>
          <isin value="US31363AXT59"/>
        </identifiers>
        <balance>2295.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2305.320000</valUSD>
        <pctVal>0.0000469</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.625</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 158706 FN 06/22 FIXED 8.5</title>
        <cusip>31366UGP5</cusip>
        <identifiers>
          <isin value="US31366UGP57"/>
        </identifiers>
        <balance>209.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>210.490000</valUSD>
        <pctVal>0.0000043</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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 253348 FN 06/30 FIXED 8.5</title>
        <cusip>31371JL51</cusip>
        <identifiers>
          <isin value="US31371JL519"/>
        </identifiers>
        <balance>3868.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4313.060000</valUSD>
        <pctVal>0.0000877</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>8.5</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 254283 FN 11/30 FIXED 8.5</title>
        <cusip>31371KM81</cusip>
        <identifiers>
          <isin value="US31371KM812"/>
        </identifiers>
        <balance>3586.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3628.650000</valUSD>
        <pctVal>0.0000738</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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 254855 FN 09/33 FLOATING VAR</title>
        <cusip>31371LBY4</cusip>
        <identifiers>
          <isin value="US31371LBY48"/>
        </identifiers>
        <balance>6860.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6923.370000</valUSD>
        <pctVal>0.0001407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 313770 FN 11/25 FIXED VAR</title>
        <cusip>31374GQX8</cusip>
        <identifiers>
          <isin value="US31374GQX87"/>
        </identifiers>
        <balance>7.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7.440000</valUSD>
        <pctVal>0.0000002</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>8.5</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 315987 FN 05/25 FLOATING VAR</title>
        <cusip>31374J6Y2</cusip>
        <identifiers>
          <isin value="US31374J6Y24"/>
        </identifiers>
        <balance>1610.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1613.020000</valUSD>
        <pctVal>0.0000328</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>Floating</couponKind>
          <annualizedRt>1.977</annualizedRt>
          <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 323890 FN 05/36 FLOATING VAR</title>
        <cusip>31374TXT1</cusip>
        <identifiers>
          <isin value="US31374TXT14"/>
        </identifiers>
        <balance>5462.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5631.420000</valUSD>
        <pctVal>0.0001145</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>Floating</couponKind>
          <annualizedRt>3.835</annualizedRt>
          <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 488340 FN 03/29 FLOATING VAR</title>
        <cusip>31382PPZ4</cusip>
        <identifiers>
          <isin value="US31382PPZ44"/>
        </identifiers>
        <balance>4413.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4416.190000</valUSD>
        <pctVal>0.0000898</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-01</maturityDt>
          <couponKind>Floating</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 535332 FN 04/30 FIXED VAR</title>
        <cusip>31384VVZ2</cusip>
        <identifiers>
          <isin value="US31384VVZ20"/>
        </identifiers>
        <balance>4110.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4848.790000</valUSD>
        <pctVal>0.0000986</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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 535598 FN 10/40 FLOATING VAR</title>
        <cusip>31384V7K2</cusip>
        <identifiers>
          <isin value="US31384V7K23"/>
        </identifiers>
        <balance>15201.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15362.580000</valUSD>
        <pctVal>0.0003123</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>Floating</couponKind>
          <annualizedRt>1.518</annualizedRt>
          <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 555715 FN 07/33 FLOATING VAR</title>
        <cusip>31385XK48</cusip>
        <identifiers>
          <isin value="US31385XK488"/>
        </identifiers>
        <balance>3939.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4109.710000</valUSD>
        <pctVal>0.0000835</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.403</annualizedRt>
          <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 555817 FN 09/33 FLOATING VAR</title>
        <cusip>31385XPA9</cusip>
        <identifiers>
          <isin value="US31385XPA99"/>
        </identifiers>
        <balance>3542.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3569.580000</valUSD>
        <pctVal>0.0000726</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.451</annualizedRt>
          <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 557382 FN 03/30 FLOATING VAR</title>
        <cusip>31386AFX9</cusip>
        <identifiers>
          <isin value="US31386AFX90"/>
        </identifiers>
        <balance>2925.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2930.480000</valUSD>
        <pctVal>0.0000596</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.255</annualizedRt>
          <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 582305 FN 09/30 FLOATING VAR</title>
        <cusip>31387E3N5</cusip>
        <identifiers>
          <isin value="US31387E3N56"/>
        </identifiers>
        <balance>13684.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13672.880000</valUSD>
        <pctVal>0.0002780</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.245</annualizedRt>
          <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 609590 FN 10/31 FLOATING VAR</title>
        <cusip>31388NF76</cusip>
        <identifiers>
          <isin value="US31388NF764"/>
        </identifiers>
        <balance>4283.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4300.760000</valUSD>
        <pctVal>0.0000874</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.845</annualizedRt>
          <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 612041 FN 04/32 FIXED 8.5</title>
        <cusip>31388Q5A3</cusip>
        <identifiers>
          <isin value="US31388Q5A36"/>
        </identifiers>
        <balance>3206.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3223.090000</valUSD>
        <pctVal>0.0000655</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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 612514 FN 05/33 FLOATING VAR</title>
        <cusip>31388RN78</cusip>
        <identifiers>
          <isin value="US31388RN785"/>
        </identifiers>
        <balance>11115.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11272.090000</valUSD>
        <pctVal>0.0002292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.965</annualizedRt>
          <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 626489 FN 01/31 FIXED 8.5</title>
        <cusip>31389H7A0</cusip>
        <identifiers>
          <isin value="US31389H7A07"/>
        </identifiers>
        <balance>216.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>217.500000</valUSD>
        <pctVal>0.0000044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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 628831 FN 03/32 FLOATING VAR</title>
        <cusip>31389LSU4</cusip>
        <identifiers>
          <isin value="US31389LSU43"/>
        </identifiers>
        <balance>2985.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3000.820000</valUSD>
        <pctVal>0.0000610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.015</annualizedRt>
          <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 629100 FN 04/32 FLOATING VAR</title>
        <cusip>31389L3H0</cusip>
        <identifiers>
          <isin value="US31389L3H06"/>
        </identifiers>
        <balance>11369.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11359.540000</valUSD>
        <pctVal>0.0002309</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-01</maturityDt>
          <couponKind>Floating</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 652339 FN 09/32 FLOATING VAR</title>
        <cusip>31390PV87</cusip>
        <identifiers>
          <isin value="US31390PV879"/>
        </identifiers>
        <balance>12616.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12597.230000</valUSD>
        <pctVal>0.0002561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 658481 FN 09/33 FLOATING VAR</title>
        <cusip>31390WRA2</cusip>
        <identifiers>
          <isin value="US31390WRA26"/>
        </identifiers>
        <balance>15215.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15297.060000</valUSD>
        <pctVal>0.0003110</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.663</annualizedRt>
          <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 664885 FN 10/32 FLOATING VAR</title>
        <cusip>31391EUJ8</cusip>
        <identifiers>
          <isin value="US31391EUJ80"/>
        </identifiers>
        <balance>7000.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7005.600000</valUSD>
        <pctVal>0.0001424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.243</annualizedRt>
          <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 676823 FN 11/32 FLOATING VAR</title>
        <cusip>31391T4G0</cusip>
        <identifiers>
          <isin value="US31391T4G05"/>
        </identifiers>
        <balance>15691.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15847.320000</valUSD>
        <pctVal>0.0003222</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>Floating</couponKind>
          <annualizedRt>2.244</annualizedRt>
          <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 689306 FN 02/33 FLOATING VAR</title>
        <cusip>31400JYB9</cusip>
        <identifiers>
          <isin value="US31400JYB96"/>
        </identifiers>
        <balance>47404.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48003.360000</valUSD>
        <pctVal>0.0009759</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>Floating</couponKind>
          <annualizedRt>1.589</annualizedRt>
          <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 694287 FN 03/33 FLOATING VAR</title>
        <cusip>31400QJ87</cusip>
        <identifiers>
          <isin value="US31400QJ879"/>
        </identifiers>
        <balance>843.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>848.320000</valUSD>
        <pctVal>0.0000172</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>Floating</couponKind>
          <annualizedRt>1.951</annualizedRt>
          <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 701043 FN 04/33 FLOATING VAR</title>
        <cusip>31400XZG6</cusip>
        <identifiers>
          <isin value="US31400XZG68"/>
        </identifiers>
        <balance>4536.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4550.960000</valUSD>
        <pctVal>0.0000925</pctVal>
        <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>Floating</couponKind>
          <annualizedRt>1.88</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 701305 FN 06/33 FLOATING VAR</title>
        <cusip>31400YDJ2</cusip>
        <identifiers>
          <isin value="US31400YDJ29"/>
        </identifiers>
        <balance>63425.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63657.500000</valUSD>
        <pctVal>0.0012941</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.91</annualizedRt>
          <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 725187 FN 07/33 FLOATING VAR</title>
        <cusip>31402CUL4</cusip>
        <identifiers>
          <isin value="US31402CUL44"/>
        </identifiers>
        <balance>3862.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3889.040000</valUSD>
        <pctVal>0.0000791</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.932</annualizedRt>
          <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 735448 FN 03/35 FLOATING VAR</title>
        <cusip>31402RBR9</cusip>
        <identifiers>
          <isin value="US31402RBR93"/>
        </identifiers>
        <balance>3429.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3628.130000</valUSD>
        <pctVal>0.0000738</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.076</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735466 FN 03/35 FLOATING VAR</title>
        <cusip>31402RCB3</cusip>
        <identifiers>
          <isin value="US31402RCB33"/>
        </identifiers>
        <balance>6176.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6352.020000</valUSD>
        <pctVal>0.0001291</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.67</annualizedRt>
          <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 735653 FN 10/44 FLOATING VAR</title>
        <cusip>31402RH69</cusip>
        <identifiers>
          <isin value="US31402RH695"/>
        </identifiers>
        <balance>5455.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5573.740000</valUSD>
        <pctVal>0.0001133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.318</annualizedRt>
          <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 735654 FN 10/44 FLOATING VAR</title>
        <cusip>31402RH77</cusip>
        <identifiers>
          <isin value="US31402RH778"/>
        </identifiers>
        <balance>19645.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20238.890000</valUSD>
        <pctVal>0.0004114</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.318</annualizedRt>
          <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 739372 FN 09/33 FLOATING VAR</title>
        <cusip>31402VMV9</cusip>
        <identifiers>
          <isin value="US31402VMV98"/>
        </identifiers>
        <balance>3730.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3762.260000</valUSD>
        <pctVal>0.0000765</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.199</annualizedRt>
          <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 745467 FN 04/36 FLOATING VAR</title>
        <cusip>31403DFG9</cusip>
        <identifiers>
          <isin value="US31403DFG97"/>
        </identifiers>
        <balance>12481.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12588.790000</valUSD>
        <pctVal>0.0002559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.431</annualizedRt>
          <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 773245 FN 02/35 FLOATING VAR</title>
        <cusip>31404NBN5</cusip>
        <identifiers>
          <isin value="US31404NBN57"/>
        </identifiers>
        <balance>3911.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4178.850000</valUSD>
        <pctVal>0.0000850</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.117</annualizedRt>
          <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 775198 FN 05/34 FLOATING VAR</title>
        <cusip>31404QGF0</cusip>
        <identifiers>
          <isin value="US31404QGF00"/>
        </identifiers>
        <balance>12892.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12877.100000</valUSD>
        <pctVal>0.0002618</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.067</annualizedRt>
          <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 775852 FN 03/44 FLOATING VAR</title>
        <cusip>31404Q5M7</cusip>
        <identifiers>
          <isin value="US31404Q5M78"/>
        </identifiers>
        <balance>1816.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1870.930000</valUSD>
        <pctVal>0.0000380</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.318</annualizedRt>
          <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 782320 FN 11/34 FLOATING VAR</title>
        <cusip>31404YDZ2</cusip>
        <identifiers>
          <isin value="US31404YDZ25"/>
        </identifiers>
        <balance>7732.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7734.070000</valUSD>
        <pctVal>0.0001572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.035</annualizedRt>
          <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 799664 FN 10/34 FLOATING VAR</title>
        <cusip>31405UMM8</cusip>
        <identifiers>
          <isin value="US31405UMM89"/>
        </identifiers>
        <balance>2662.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2675.830000</valUSD>
        <pctVal>0.0000544</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.093</annualizedRt>
          <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 799868 FN 11/34 FLOATING VAR</title>
        <cusip>31405UTZ2</cusip>
        <identifiers>
          <isin value="US31405UTZ20"/>
        </identifiers>
        <balance>1502.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1516.390000</valUSD>
        <pctVal>0.0000308</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.846</annualizedRt>
          <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 805386 FN 01/35 FLOATING VAR</title>
        <cusip>31406BXP0</cusip>
        <identifiers>
          <isin value="US31406BXP02"/>
        </identifiers>
        <balance>4470.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4627.620000</valUSD>
        <pctVal>0.0000941</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.704</annualizedRt>
          <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 806506 FN 10/44 FLOATING VAR</title>
        <cusip>31406DAF3</cusip>
        <identifiers>
          <isin value="US31406DAF33"/>
        </identifiers>
        <balance>6687.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6891.180000</valUSD>
        <pctVal>0.0001401</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.318</annualizedRt>
          <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 809324 FN 02/35 FLOATING VAR</title>
        <cusip>31406GD55</cusip>
        <identifiers>
          <isin value="US31406GD557"/>
        </identifiers>
        <balance>2604.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2625.000000</valUSD>
        <pctVal>0.0000534</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.691</annualizedRt>
          <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 814418 FN 03/35 FLOATING VAR</title>
        <cusip>31406MYP5</cusip>
        <identifiers>
          <isin value="US31406MYP57"/>
        </identifiers>
        <balance>7320.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7667.980000</valUSD>
        <pctVal>0.0001559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.756</annualizedRt>
          <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 834927 FN 07/35 FLOATING VAR</title>
        <cusip>31407MSQ9</cusip>
        <identifiers>
          <isin value="US31407MSQ95"/>
        </identifiers>
        <balance>6123.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6387.680000</valUSD>
        <pctVal>0.0001299</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>Floating</couponKind>
          <annualizedRt>1.815</annualizedRt>
          <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 838297 FN 08/35 FLOATING VAR</title>
        <cusip>31407RKJ2</cusip>
        <identifiers>
          <isin value="US31407RKJ22"/>
        </identifiers>
        <balance>6195.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6247.300000</valUSD>
        <pctVal>0.0001270</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.605</annualizedRt>
          <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 844214 FN 11/35 FLOATING VAR</title>
        <cusip>31407X3X7</cusip>
        <identifiers>
          <isin value="US31407X3X76"/>
        </identifiers>
        <balance>1013.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1029.360000</valUSD>
        <pctVal>0.0000209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.945</annualizedRt>
          <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 863741 FN 12/35 FLOATING VAR</title>
        <cusip>31408XS68</cusip>
        <identifiers>
          <isin value="US31408XS689"/>
        </identifiers>
        <balance>2033.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2022.850000</valUSD>
        <pctVal>0.0000411</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>Floating</couponKind>
          <annualizedRt>2.173</annualizedRt>
          <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 884120 FN 05/36 FLOATING VAR</title>
        <cusip>31410BG57</cusip>
        <identifiers>
          <isin value="US31410BG579"/>
        </identifiers>
        <balance>5188.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5181.480000</valUSD>
        <pctVal>0.0001053</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>Floating</couponKind>
          <annualizedRt>2.183</annualizedRt>
          <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 888502 FN 06/33 FLOATING VAR</title>
        <cusip>31410GDF7</cusip>
        <identifiers>
          <isin value="US31410GDF72"/>
        </identifiers>
        <balance>6063.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6269.490000</valUSD>
        <pctVal>0.0001275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.662</annualizedRt>
          <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 888527 FN 04/34 FLOATING VAR</title>
        <cusip>31410GD83</cusip>
        <identifiers>
          <isin value="US31410GD831"/>
        </identifiers>
        <balance>1257.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1339.580000</valUSD>
        <pctVal>0.0000272</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>Floating</couponKind>
          <annualizedRt>2.448</annualizedRt>
          <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 891332 FN 04/36 FLOATING VAR</title>
        <cusip>31410MHH6</cusip>
        <identifiers>
          <isin value="US31410MHH60"/>
        </identifiers>
        <balance>1692.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1768.660000</valUSD>
        <pctVal>0.0000360</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.966</annualizedRt>
          <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 905694 FN 12/36 FLOATING VAR</title>
        <cusip>31411EGB7</cusip>
        <identifiers>
          <isin value="US31411EGB74"/>
        </identifiers>
        <balance>7903.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8390.980000</valUSD>
        <pctVal>0.0001706</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>Floating</couponKind>
          <annualizedRt>2.106</annualizedRt>
          <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 905759 FN 12/36 FLOATING VAR</title>
        <cusip>31411EJC2</cusip>
        <identifiers>
          <isin value="US31411EJC21"/>
        </identifiers>
        <balance>4934.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5227.010000</valUSD>
        <pctVal>0.0001063</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>Floating</couponKind>
          <annualizedRt>2.029</annualizedRt>
          <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 906281 FN 01/37 FLOATING VAR</title>
        <cusip>31411E2N6</cusip>
        <identifiers>
          <isin value="US31411E2N63"/>
        </identifiers>
        <balance>3472.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3527.620000</valUSD>
        <pctVal>0.0000717</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>Floating</couponKind>
          <annualizedRt>2.129</annualizedRt>
          <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 AB4277 FN 01/27 FIXED 3</title>
        <cusip>31417AXF1</cusip>
        <identifiers>
          <isin value="US31417AXF10"/>
        </identifiers>
        <balance>120876.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127871.480000</valUSD>
        <pctVal>0.0025996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB6319 FN 09/42 FIXED 3.5</title>
        <cusip>31417DAV5</cusip>
        <identifiers>
          <isin value="US31417DAV55"/>
        </identifiers>
        <balance>65841.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70974.210000</valUSD>
        <pctVal>0.0014429</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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH9289 FN 04/41 FIXED 3.5</title>
        <cusip>3138ABKB4</cusip>
        <identifiers>
          <isin value="US3138ABKB41"/>
        </identifiers>
        <balance>24293.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26064.830000</valUSD>
        <pctVal>0.0005299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ4677 FN 11/41 FIXED 4</title>
        <cusip>3138AWFT5</cusip>
        <identifiers>
          <isin value="US3138AWFT50"/>
        </identifiers>
        <balance>76367.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>83224.620000</valUSD>
        <pctVal>0.0016919</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-01</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 AK4940 FN 03/42 FIXED 3.5</title>
        <cusip>3138E9P20</cusip>
        <identifiers>
          <isin value="US3138E9P201"/>
        </identifiers>
        <balance>41065.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44519.230000</valUSD>
        <pctVal>0.0009051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2418 FN 08/42 FIXED VAR</title>
        <cusip>3138EJVL9</cusip>
        <identifiers>
          <isin value="US3138EJVL93"/>
        </identifiers>
        <balance>103321.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111344.550000</valUSD>
        <pctVal>0.0022636</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7231 FN 08/45 FIXED VAR</title>
        <cusip>3138EQA93</cusip>
        <identifiers>
          <isin value="US3138EQA933"/>
        </identifiers>
        <balance>10406.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11278.630000</valUSD>
        <pctVal>0.0002293</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL7531 FN 09/28 FIXED VAR</title>
        <cusip>3138EQLM2</cusip>
        <identifiers>
          <isin value="US3138EQLM20"/>
        </identifiers>
        <balance>171171.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>180869.660000</valUSD>
        <pctVal>0.0036770</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AO0974 FN 03/42 FIXED 3.5</title>
        <cusip>3138LRCL4</cusip>
        <identifiers>
          <isin value="US3138LRCL48"/>
        </identifiers>
        <balance>80318.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84579.870000</valUSD>
        <pctVal>0.0017195</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AP4746 FN 08/27 FIXED 3</title>
        <cusip>3138M8HY2</cusip>
        <identifiers>
          <isin value="US3138M8HY26"/>
        </identifiers>
        <balance>92223.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97655.320000</valUSD>
        <pctVal>0.0019853</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AQ8391 FN 12/42 FIXED 3.5</title>
        <cusip>3138MQKD4</cusip>
        <identifiers>
          <isin value="US3138MQKD48"/>
        </identifiers>
        <balance>147550.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>159010.800000</valUSD>
        <pctVal>0.0032326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AR0130 FN 12/42 FIXED 3.5</title>
        <cusip>3138NWEC9</cusip>
        <identifiers>
          <isin value="US3138NWEC97"/>
        </identifiers>
        <balance>21088.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22856.050000</valUSD>
        <pctVal>0.0004647</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS4455 FN 02/45 FIXED 3.5</title>
        <cusip>3138WD5R8</cusip>
        <identifiers>
          <isin value="US3138WD5R86"/>
        </identifiers>
        <balance>1049614.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1128433.390000</valUSD>
        <pctVal>0.0229406</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS4556 FN 03/40 FIXED 3.5</title>
        <cusip>3138WEB24</cusip>
        <identifiers>
          <isin value="US3138WEB244"/>
        </identifiers>
        <balance>189675.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203392.300000</valUSD>
        <pctVal>0.0041349</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS5598 FN 08/45 FIXED 4</title>
        <cusip>3138WFGG5</cusip>
        <identifiers>
          <isin value="US3138WFGG59"/>
        </identifiers>
        <balance>2456607.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2674477.730000</valUSD>
        <pctVal>0.0543711</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-01</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 AS6436 FN 04/27 FIXED 3</title>
        <cusip>3138WGEJ9</cusip>
        <identifiers>
          <isin value="US3138WGEJ99"/>
        </identifiers>
        <balance>1596971.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1681202.720000</valUSD>
        <pctVal>0.0341782</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-04-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AS6489 FN 01/46 FIXED 4</title>
        <cusip>3138WGF74</cusip>
        <identifiers>
          <isin value="US3138WGF745"/>
        </identifiers>
        <balance>8671.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9418.880000</valUSD>
        <pctVal>0.0001915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-01</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 AS8118 FN 10/46 FIXED 3</title>
        <cusip>3138WJAU2</cusip>
        <identifiers>
          <isin value="US3138WJAU20"/>
        </identifiers>
        <balance>33312.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35455.690000</valUSD>
        <pctVal>0.0007208</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AT7899 FN 07/43 FIXED 3.5</title>
        <cusip>3138WVX55</cusip>
        <identifiers>
          <isin value="US3138WVX556"/>
        </identifiers>
        <balance>58885.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63725.590000</valUSD>
        <pctVal>0.0012955</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AV0970 FN 12/26 FIXED 3</title>
        <cusip>3138XCCG5</cusip>
        <identifiers>
          <isin value="US3138XCCG55"/>
        </identifiers>
        <balance>127339.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134063.670000</valUSD>
        <pctVal>0.0027255</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AV5616 FN 12/43 FIXED 3.5</title>
        <cusip>3138XHG21</cusip>
        <identifiers>
          <isin value="US3138XHG210"/>
        </identifiers>
        <balance>118583.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127779.240000</valUSD>
        <pctVal>0.0025977</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AW3146 FN 06/44 FIXED 4</title>
        <cusip>3138XSP84</cusip>
        <identifiers>
          <isin value="US3138XSP846"/>
        </identifiers>
        <balance>1278427.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1406033.010000</valUSD>
        <pctVal>0.0285841</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-01</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 AW8166 FN 02/27 FIXED 3</title>
        <cusip>3138XYCC6</cusip>
        <identifiers>
          <isin value="US3138XYCC61"/>
        </identifiers>
        <balance>134008.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>141055.520000</valUSD>
        <pctVal>0.0028676</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AY2575 FN 02/45 FIXED 3.5</title>
        <cusip>3138YF2H6</cusip>
        <identifiers>
          <isin value="US3138YF2H66"/>
        </identifiers>
        <balance>12428.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13085.240000</valUSD>
        <pctVal>0.0002660</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AY5779 FN 05/45 FIXED 3.5</title>
        <cusip>3138YKM59</cusip>
        <identifiers>
          <isin value="US3138YKM590"/>
        </identifiers>
        <balance>117990.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>126294.920000</valUSD>
        <pctVal>0.0025675</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AZ0832 FN 07/45 FIXED 4</title>
        <cusip>3138YR4S4</cusip>
        <identifiers>
          <isin value="US3138YR4S41"/>
        </identifiers>
        <balance>20155.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22147.480000</valUSD>
        <pctVal>0.0004502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-01</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 AZ8134 FN 09/45 FIXED 3.5</title>
        <cusip>3140E1BC6</cusip>
        <identifiers>
          <isin value="US3140E1BC69"/>
        </identifiers>
        <balance>896898.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>960416.660000</valUSD>
        <pctVal>0.0195249</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AZ9336 FN 10/45 FIXED 4</title>
        <cusip>3140E2LS8</cusip>
        <identifiers>
          <isin value="US3140E2LS84"/>
        </identifiers>
        <balance>5154.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5505.800000</valUSD>
        <pctVal>0.0001119</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-01</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 BA1449 FN 12/45 FIXED 4</title>
        <cusip>3140E5TF1</cusip>
        <identifiers>
          <isin value="US3140E5TF13"/>
        </identifiers>
        <balance>95386.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>103904.840000</valUSD>
        <pctVal>0.0021123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-01</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 BA3017 FN 12/45 FIXED 4</title>
        <cusip>3140E7K74</cusip>
        <identifiers>
          <isin value="US3140E7K749"/>
        </identifiers>
        <balance>554905.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>604308.600000</valUSD>
        <pctVal>0.0122854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-01</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 BA4766 FN 01/46 FIXED 4</title>
        <cusip>3140E9JL1</cusip>
        <identifiers>
          <isin value="US3140E9JL13"/>
        </identifiers>
        <balance>78568.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84620.590000</valUSD>
        <pctVal>0.0017203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-01</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 BA5846 FN 01/46 FIXED 4</title>
        <cusip>3140EAP80</cusip>
        <identifiers>
          <isin value="US3140EAP808"/>
        </identifiers>
        <balance>93256.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99362.900000</valUSD>
        <pctVal>0.0020200</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-01</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 BC0598 FN 01/46 FIXED 4</title>
        <cusip>3140EUUY3</cusip>
        <identifiers>
          <isin value="US3140EUUY33"/>
        </identifiers>
        <balance>28200.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30634.900000</valUSD>
        <pctVal>0.0006228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-01</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 BC1904 FN 02/46 FIXED 4</title>
        <cusip>3140EWDJ1</cusip>
        <identifiers>
          <isin value="US3140EWDJ15"/>
        </identifiers>
        <balance>39466.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42047.980000</valUSD>
        <pctVal>0.0008548</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BC4912 FN 03/46 FIXED 4</title>
        <cusip>3140F0N67</cusip>
        <identifiers>
          <isin value="US3140F0N671"/>
        </identifiers>
        <balance>73994.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78994.990000</valUSD>
        <pctVal>0.0016059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-01</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 BC7891 FN 03/46 FIXED 4</title>
        <cusip>3140F3XV5</cusip>
        <identifiers>
          <isin value="US3140F3XV57"/>
        </identifiers>
        <balance>350708.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>379922.610000</valUSD>
        <pctVal>0.0077237</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-01</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 BD2776 FN 07/46 FIXED 4</title>
        <cusip>3140FACN0</cusip>
        <identifiers>
          <isin value="US3140FACN07"/>
        </identifiers>
        <balance>102669.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111193.980000</valUSD>
        <pctVal>0.0022605</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-01</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 BE2766 FN 11/47 FIXED 4</title>
        <cusip>3140FNCC6</cusip>
        <identifiers>
          <isin value="US3140FNCC62"/>
        </identifiers>
        <balance>45377.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48506.960000</valUSD>
        <pctVal>0.0009861</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</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 BE7133 FN 02/47 FIXED 4</title>
        <cusip>3140FS4T7</cusip>
        <identifiers>
          <isin value="US3140FS4T76"/>
        </identifiers>
        <balance>70689.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75687.670000</valUSD>
        <pctVal>0.0015387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BE8383 FN 03/47 FIXED 4</title>
        <cusip>3140FUJ58</cusip>
        <identifiers>
          <isin value="US3140FUJ582"/>
        </identifiers>
        <balance>92801.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99454.680000</valUSD>
        <pctVal>0.0020219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-01</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 BF0336 FN 01/59 FIXED 4</title>
        <cusip>3140FXLS9</cusip>
        <identifiers>
          <isin value="US3140FXLS95"/>
        </identifiers>
        <balance>384863.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>428063.210000</valUSD>
        <pctVal>0.0087024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-01-01</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 BH1354 FN 06/47 FIXED 4</title>
        <cusip>3140GPQG6</cusip>
        <identifiers>
          <isin value="US3140GPQG69"/>
        </identifiers>
        <balance>193996.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>209949.510000</valUSD>
        <pctVal>0.0042682</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-01</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 BH2878 FN 05/47 FIXED 4</title>
        <cusip>3140GRFU3</cusip>
        <identifiers>
          <isin value="US3140GRFU39"/>
        </identifiers>
        <balance>861765.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>927839.200000</valUSD>
        <pctVal>0.0188626</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 BH5209 FN 08/47 FIXED 4</title>
        <cusip>3140GTYF1</cusip>
        <identifiers>
          <isin value="US3140GTYF17"/>
        </identifiers>
        <balance>417176.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>447022.680000</valUSD>
        <pctVal>0.0090878</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 BH5752 FN 11/47 FIXED 3.5</title>
        <cusip>3140GUMA2</cusip>
        <identifiers>
          <isin value="US3140GUMA21"/>
        </identifiers>
        <balance>724549.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>766634.190000</valUSD>
        <pctVal>0.0155854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH7058 FN 12/47 FIXED 3.5</title>
        <cusip>3140GVZY4</cusip>
        <identifiers>
          <isin value="US3140GVZY43"/>
        </identifiers>
        <balance>16686968.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17613451.230000</valUSD>
        <pctVal>0.3580746</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 BJ4482 FN 11/47 FIXED 4</title>
        <cusip>3140H56U0</cusip>
        <identifiers>
          <isin value="US3140H56U05"/>
        </identifiers>
        <balance>3957.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4221.400000</valUSD>
        <pctVal>0.0000858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</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 BJ6137 FN 01/48 FIXED 3.5</title>
        <cusip>3140H7ZB6</cusip>
        <identifiers>
          <isin value="US3140H7ZB69"/>
        </identifiers>
        <balance>1563235.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1645757.220000</valUSD>
        <pctVal>0.0334576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 BJ6167 FN 02/48 FIXED 3.5</title>
        <cusip>3140H7Z91</cusip>
        <identifiers>
          <isin value="US3140H7Z918"/>
        </identifiers>
        <balance>14949.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15797.060000</valUSD>
        <pctVal>0.0003211</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ9169 FN 05/48 FIXED 4</title>
        <cusip>3140HBFK9</cusip>
        <identifiers>
          <isin value="US3140HBFK95"/>
        </identifiers>
        <balance>66485.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>71031.350000</valUSD>
        <pctVal>0.0014440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</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 BK0261 FN 07/48 FIXED 4</title>
        <cusip>3140HDJF2</cusip>
        <identifiers>
          <isin value="US3140HDJF21"/>
        </identifiers>
        <balance>51431.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55037.100000</valUSD>
        <pctVal>0.0011189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 BK0282 FN 10/48 FIXED 4</title>
        <cusip>3140HDJ47</cusip>
        <identifiers>
          <isin value="US3140HDJ477"/>
        </identifiers>
        <balance>418317.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>447175.040000</valUSD>
        <pctVal>0.0090909</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <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 BK0909 FN 07/48 FIXED 4</title>
        <cusip>3140HEAK8</cusip>
        <identifiers>
          <isin value="US3140HEAK89"/>
        </identifiers>
        <balance>738298.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>787694.900000</valUSD>
        <pctVal>0.0160135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 BK2040 FN 05/48 FIXED 4</title>
        <cusip>3140HFHS1</cusip>
        <identifiers>
          <isin value="US3140HFHS18"/>
        </identifiers>
        <balance>2132438.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2275106.540000</valUSD>
        <pctVal>0.0462520</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</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 BK4157 FN 05/48 FIXED 4</title>
        <cusip>3140HHTP0</cusip>
        <identifiers>
          <isin value="US3140HHTP07"/>
        </identifiers>
        <balance>48201.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51627.340000</valUSD>
        <pctVal>0.0010496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</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 BK4772 FN 08/48 FIXED 4</title>
        <cusip>3140HJJS1</cusip>
        <identifiers>
          <isin value="US3140HJJS12"/>
        </identifiers>
        <balance>48753.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>52044.810000</valUSD>
        <pctVal>0.0010581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-01</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 BK5254 FN 05/48 FIXED 4</title>
        <cusip>3140HJZU8</cusip>
        <identifiers>
          <isin value="US3140HJZU83"/>
        </identifiers>
        <balance>2872424.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3069184.450000</valUSD>
        <pctVal>0.0623953</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-05-01</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 BK5282 FN 06/48 FIXED 4</title>
        <cusip>3140HJ2Q3</cusip>
        <identifiers>
          <isin value="US3140HJ2Q35"/>
        </identifiers>
        <balance>394159.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>420497.410000</valUSD>
        <pctVal>0.0085485</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 BK8685 FN 07/48 FIXED 4</title>
        <cusip>3140HNUK6</cusip>
        <identifiers>
          <isin value="US3140HNUK68"/>
        </identifiers>
        <balance>19279.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20569.680000</valUSD>
        <pctVal>0.0004182</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 BK8934 FN 08/48 FIXED 4</title>
        <cusip>3140HN4U3</cusip>
        <identifiers>
          <isin value="US3140HN4U39"/>
        </identifiers>
        <balance>98015.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104641.090000</valUSD>
        <pctVal>0.0021273</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-08-01</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 BK9368 FN 09/48 FIXED 4</title>
        <cusip>3140HPMS3</cusip>
        <identifiers>
          <isin value="US3140HPMS35"/>
        </identifiers>
        <balance>724847.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>773777.930000</valUSD>
        <pctVal>0.0157306</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BM2003 FN 10/47 FIXED VAR</title>
        <cusip>3140J6GM3</cusip>
        <identifiers>
          <isin value="US3140J6GM33"/>
        </identifiers>
        <balance>347338.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>373109.870000</valUSD>
        <pctVal>0.0075852</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 BM3144 FN 11/47 FIXED VAR</title>
        <cusip>3140J7P66</cusip>
        <identifiers>
          <isin value="US3140J7P669"/>
        </identifiers>
        <balance>22779.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24683.720000</valUSD>
        <pctVal>0.0005018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-11-01</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 BM5461 FN 01/39 FIXED VAR</title>
        <cusip>3140JAB72</cusip>
        <identifiers>
          <isin value="US3140JAB724"/>
        </identifiers>
        <balance>2115927.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2254376.560000</valUSD>
        <pctVal>0.0458306</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>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 BM5807 FN 04/48 FIXED VAR</title>
        <cusip>3140JANZ7</cusip>
        <identifiers>
          <isin value="US3140JANZ71"/>
        </identifiers>
        <balance>1961396.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2070253.580000</valUSD>
        <pctVal>0.0420874</pctVal>
        <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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BN0936 FN 12/48 FIXED 4</title>
        <cusip>3140JHBE2</cusip>
        <identifiers>
          <isin value="US3140JHBE24"/>
        </identifiers>
        <balance>92883.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100515.820000</valUSD>
        <pctVal>0.0020434</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-12-01</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 BN4317 FN 01/49 FIXED 4</title>
        <cusip>3140JLYP3</cusip>
        <identifiers>
          <isin value="US3140JLYP36"/>
        </identifiers>
        <balance>22844.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24795.230000</valUSD>
        <pctVal>0.0005041</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</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 BN4318 FN 01/49 FIXED 4</title>
        <cusip>3140JLYQ1</cusip>
        <identifiers>
          <isin value="US3140JLYQ19"/>
        </identifiers>
        <balance>104637.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113179.300000</valUSD>
        <pctVal>0.0023009</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-01-01</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 BN4541 FN 02/49 FIXED 4</title>
        <cusip>3140JMBK7</cusip>
        <identifiers>
          <isin value="US3140JMBK78"/>
        </identifiers>
        <balance>25434.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27117.360000</valUSD>
        <pctVal>0.0005513</pctVal>
        <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>
          <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 BN6212 FN 03/49 FIXED 4</title>
        <cusip>3140JN3W8</cusip>
        <identifiers>
          <isin value="US3140JN3W83"/>
        </identifiers>
        <balance>107798.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115258.310000</valUSD>
        <pctVal>0.0023432</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-03-01</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 BN8869 FN 05/49 FIXED 3.5</title>
        <cusip>3140JR2B6</cusip>
        <identifiers>
          <isin value="US3140JR2B64"/>
        </identifiers>
        <balance>162299.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>175019.250000</valUSD>
        <pctVal>0.0035581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 BN8871 FN 05/49 FIXED 3.5</title>
        <cusip>3140JR2D2</cusip>
        <identifiers>
          <isin value="US3140JR2D21"/>
        </identifiers>
        <balance>84987.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92580.150000</valUSD>
        <pctVal>0.0018821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 BO0973 FN 06/49 FIXED 4</title>
        <cusip>3140JVCK6</cusip>
        <identifiers>
          <isin value="US3140JVCK68"/>
        </identifiers>
        <balance>600965.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>640841.810000</valUSD>
        <pctVal>0.0130281</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-06-01</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 BO0982 FN 07/49 FIXED 4</title>
        <cusip>3140JVCU4</cusip>
        <identifiers>
          <isin value="US3140JVCU41"/>
        </identifiers>
        <balance>2487854.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2651200.620000</valUSD>
        <pctVal>0.0538979</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-07-01</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 BP7916 FN 05/50 FIXED 4</title>
        <cusip>3140KFYN9</cusip>
        <identifiers>
          <isin value="US3140KFYN90"/>
        </identifiers>
        <balance>73223.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77992.410000</valUSD>
        <pctVal>0.0015856</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-05-01</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 CA0181 FN 08/47 FIXED 4</title>
        <cusip>3140Q7FX0</cusip>
        <identifiers>
          <isin value="US3140Q7FX01"/>
        </identifiers>
        <balance>137527.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147333.830000</valUSD>
        <pctVal>0.0029952</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>PIMCO FUNDS</name>
        <lei>LWVQWTQCFH3YG7CVH718</lei>
        <title>PIMCO PRV SHORT TERM FLT III MUTUAL FUND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US72201W1541"/>
        </identifiers>
        <balance>75527540.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>744777079.950000</valUSD>
        <pctVal>15.1410275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL CA1658 FN 04/48 FIXED 4</title>
        <cusip>3140Q8ZY4</cusip>
        <identifiers>
          <isin value="US3140Q8ZY47"/>
        </identifiers>
        <balance>98142.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104539.960000</valUSD>
        <pctVal>0.0021253</pctVal>
        <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>
          <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 CA2038 FN 07/48 FIXED 4</title>
        <cusip>3140Q9HQ9</cusip>
        <identifiers>
          <isin value="US3140Q9HQ97"/>
        </identifiers>
        <balance>2075089.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2213871.580000</valUSD>
        <pctVal>0.0450071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 CA3499 FN 10/48 FIXED 4</title>
        <cusip>3140QA3H1</cusip>
        <identifiers>
          <isin value="US3140QA3H19"/>
        </identifiers>
        <balance>44689.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47739.540000</valUSD>
        <pctVal>0.0009705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <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 CA7844 FN 08/47 FIXED 4</title>
        <cusip>3140QFWE5</cusip>
        <identifiers>
          <isin value="US3140QFWE55"/>
        </identifiers>
        <balance>78840.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84465.720000</valUSD>
        <pctVal>0.0017172</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 FM3093 FN 11/48 FIXED VAR</title>
        <cusip>3140X6NK3</cusip>
        <identifiers>
          <isin value="US3140X6NK37"/>
        </identifiers>
        <balance>421605.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>448527.480000</valUSD>
        <pctVal>0.0091184</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-01</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 FM3243 FN 02/50 FIXED VAR</title>
        <cusip>3140X6S93</cusip>
        <identifiers>
          <isin value="US3140X6S931"/>
        </identifiers>
        <balance>6906938.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7366535.920000</valUSD>
        <pctVal>0.1497588</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL FM3908 FN 12/49 FIXED VAR</title>
        <cusip>3140X7KW8</cusip>
        <identifiers>
          <isin value="US3140X7KW84"/>
        </identifiers>
        <balance>16909.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18020.140000</valUSD>
        <pctVal>0.0003663</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-01</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 MA1525 FN 08/43 FIXED 3.5</title>
        <cusip>31418AVT2</cusip>
        <identifiers>
          <isin value="US31418AVT23"/>
        </identifiers>
        <balance>30576.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33052.230000</valUSD>
        <pctVal>0.0006719</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA2930 FN 03/47 FIXED 4</title>
        <cusip>31418CHG2</cusip>
        <identifiers>
          <isin value="US31418CHG24"/>
        </identifiers>
        <balance>8604.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9252.380000</valUSD>
        <pctVal>0.0001881</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-03-01</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 MA3088 FN 08/47 FIXED 4</title>
        <cusip>31418CNE0</cusip>
        <identifiers>
          <isin value="US31418CNE02"/>
        </identifiers>
        <balance>926639.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>990816.160000</valUSD>
        <pctVal>0.0201429</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 MA3239 FN 01/48 FIXED 4</title>
        <cusip>31418CS54</cusip>
        <identifiers>
          <isin value="US31418CS542"/>
        </identifiers>
        <balance>52420.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56353.000000</valUSD>
        <pctVal>0.0011456</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 MA3277 FN 02/48 FIXED 4</title>
        <cusip>31418CUB8</cusip>
        <identifiers>
          <isin value="US31418CUB89"/>
        </identifiers>
        <balance>60546.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64719.990000</valUSD>
        <pctVal>0.0013157</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-02-01</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3305 FN 03/48 FIXED 3.5</title>
        <cusip>31418CU77</cusip>
        <identifiers>
          <isin value="US31418CU779"/>
        </identifiers>
        <balance>5049212.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5340132.970000</valUSD>
        <pctVal>0.1085628</pctVal>
        <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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA3306 FN 03/48 FIXED 4</title>
        <cusip>31418CU85</cusip>
        <identifiers>
          <isin value="US31418CU852"/>
        </identifiers>
        <balance>154192.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165092.840000</valUSD>
        <pctVal>0.0033563</pctVal>
        <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>
        </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 MA3333 FN 04/48 FIXED 4</title>
        <cusip>31418CV35</cusip>
        <identifiers>
          <isin value="US31418CV355"/>
        </identifiers>
        <balance>17557.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18682.650000</valUSD>
        <pctVal>0.0003798</pctVal>
        <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>
          <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 MA3384 FN 06/48 FIXED 4</title>
        <cusip>31418CXN9</cusip>
        <identifiers>
          <isin value="US31418CXN90"/>
        </identifiers>
        <balance>2393199.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2556032.970000</valUSD>
        <pctVal>0.0519632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 MA3441 FN 08/38 FIXED 4</title>
        <cusip>31418CZF4</cusip>
        <identifiers>
          <isin value="US31418CZF49"/>
        </identifiers>
        <balance>293713.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>314488.360000</valUSD>
        <pctVal>0.0063934</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>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 MA3492 FN 10/38 FIXED 4</title>
        <cusip>31418C3A0</cusip>
        <identifiers>
          <isin value="US31418C3A09"/>
        </identifiers>
        <balance>68002.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72978.060000</valUSD>
        <pctVal>0.0014836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</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 MA3743 FN 08/39 FIXED 4</title>
        <cusip>31418DER9</cusip>
        <identifiers>
          <isin value="US31418DER98"/>
        </identifiers>
        <balance>204843.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220340.610000</valUSD>
        <pctVal>0.0044794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-01</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>FORD CREDIT AUTO OWNER TRUST 2018-1</name>
        <lei>N/A</lei>
        <title>FORD CREDIT AUTO OWNER TRUST/F FORDR 2018 1 A 144A</title>
        <cusip>34532RAA4</cusip>
        <identifiers>
          <isin value="US34532RAA41"/>
        </identifiers>
        <balance>7735000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8352862.520000</valUSD>
        <pctVal>0.1698104</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.19</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 1466</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1466 PZ</title>
        <cusip>312914MW1</cusip>
        <identifiers>
          <isin value="US312914MW10"/>
        </identifiers>
        <balance>681.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>709.470000</valUSD>
        <pctVal>0.0000144</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</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>FREDDIE MAC 1492</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1492 ZA</title>
        <cusip>3129146U3</cusip>
        <identifiers>
          <isin value="US3129146U35"/>
        </identifiers>
        <balance>2328.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2456.160000</valUSD>
        <pctVal>0.0000499</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2163</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2163 QJ</title>
        <cusip>3133TLG51</cusip>
        <identifiers>
          <isin value="US3133TLG518"/>
        </identifiers>
        <balance>6630.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7722.830000</valUSD>
        <pctVal>0.0001570</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2277</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2277 B</title>
        <cusip>3133TQU47</cusip>
        <identifiers>
          <isin value="US3133TQU476"/>
        </identifiers>
        <balance>2994.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3657.940000</valUSD>
        <pctVal>0.0000744</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</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>FREDDIE MAC 2344</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2344 FN</title>
        <cusip>3133994J3</cusip>
        <identifiers>
          <isin value="US3133994J35"/>
        </identifiers>
        <balance>5884.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5933.550000</valUSD>
        <pctVal>0.0001206</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.62288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2395</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2395 FT</title>
        <cusip>31339LMA5</cusip>
        <identifiers>
          <isin value="US31339LMA51"/>
        </identifiers>
        <balance>2006.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2018.260000</valUSD>
        <pctVal>0.0000410</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.52288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2411</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2411 FJ</title>
        <cusip>31339D4L9</cusip>
        <identifiers>
          <isin value="US31339D4L92"/>
        </identifiers>
        <balance>6444.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6455.150000</valUSD>
        <pctVal>0.0001312</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.42288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2518</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2518 FP</title>
        <cusip>31392WQD5</cusip>
        <identifiers>
          <isin value="US31392WQD55"/>
        </identifiers>
        <balance>4087.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4082.400000</valUSD>
        <pctVal>0.0000830</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.32288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 2684</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 2684 ZN</title>
        <cusip>31394L5S7</cusip>
        <identifiers>
          <isin value="US31394L5S76"/>
        </identifiers>
        <balance>26623.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29261.080000</valUSD>
        <pctVal>0.0005949</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-15</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>FREDDIE MAC 3114</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3114 KZ</title>
        <cusip>31396HHT9</cusip>
        <identifiers>
          <isin value="US31396HHT95"/>
        </identifiers>
        <balance>143426.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>163723.180000</valUSD>
        <pctVal>0.0033284</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-15</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>FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1510</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS K 1510 X1</title>
        <cusip>3137FL2N3</cusip>
        <identifiers>
          <isin value="US3137FL2N34"/>
        </identifiers>
        <balance>86475784.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4258145.450000</valUSD>
        <pctVal>0.0865664</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.636481</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K-1511</name>
        <lei>N/A</lei>
        <title>FHLMC MULTIFAMILY STRUCTURED P FHMS K 1511 X1</title>
        <cusip>3137FLYL2</cusip>
        <identifiers>
          <isin value="US3137FLYL21"/>
        </identifiers>
        <balance>68338976.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5225232.330000</valUSD>
        <pctVal>0.1062269</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.929395</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1241</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1241 T</title>
        <cusip>312909TK0</cusip>
        <identifiers>
          <isin value="US312909TK06"/>
        </identifiers>
        <balance>99.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>99.770000</valUSD>
        <pctVal>0.0000020</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.62288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1309</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1309 A</title>
        <cusip>312910RG9</cusip>
        <identifiers>
          <isin value="US312910RG92"/>
        </identifiers>
        <balance>2.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2.700000</valUSD>
        <pctVal>0.0000001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.77288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1379</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1379 W</title>
        <cusip>312912JK5</cusip>
        <identifiers>
          <isin value="US312912JK52"/>
        </identifiers>
        <balance>707.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>704.890000</valUSD>
        <pctVal>0.0000143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.22</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1505</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1505 QA</title>
        <cusip>312915A27</cusip>
        <identifiers>
          <isin value="US312915A272"/>
        </identifiers>
        <balance>1002.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1008.700000</valUSD>
        <pctVal>0.0000205</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20088</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC-1518</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 1518 F</title>
        <cusip>312915YX3</cusip>
        <identifiers>
          <isin value="US312915YX30"/>
        </identifiers>
        <balance>2656.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2670.180000</valUSD>
        <pctVal>0.0000543</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.125</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>FREDDIE MAC-3156</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3156 AZ</title>
        <cusip>31396R6F9</cusip>
        <identifiers>
          <isin value="US31396R6F98"/>
        </identifiers>
        <balance>11864.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13668.600000</valUSD>
        <pctVal>0.0002779</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</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>FREED ABS TRUST 2020-3FP</name>
        <lei>N/A</lei>
        <title>FREED ABS TRUST FREED 2020 3FP A 144A</title>
        <cusip>35634LAA1</cusip>
        <identifiers>
          <isin value="US35634LAA17"/>
        </identifiers>
        <balance>553164.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>553913.720000</valUSD>
        <pctVal>0.0112608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2004-2</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2004 2 M1</title>
        <cusip>35729PED8</cusip>
        <identifiers>
          <isin value="US35729PED87"/>
        </identifiers>
        <balance>4660396.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4569254.900000</valUSD>
        <pctVal>0.0928912</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9465</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-C</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 C 1A1</title>
        <cusip>35729TAA0</cusip>
        <identifiers>
          <isin value="US35729TAA07"/>
        </identifiers>
        <balance>40568498.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37335323.340000</valUSD>
        <pctVal>0.7590126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2265</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-E</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 E 1A1</title>
        <cusip>35729NAA3</cusip>
        <identifiers>
          <isin value="US35729NAA37"/>
        </identifiers>
        <balance>9902907.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6620780.780000</valUSD>
        <pctVal>0.1345979</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>0.2315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GCAT 2020-3 LLC</name>
        <lei>N/A</lei>
        <title>GCAT GCAT 2020 3 A1 144A</title>
        <cusip>36168CAA3</cusip>
        <identifiers>
          <isin value="US36168CAA36"/>
        </identifiers>
        <balance>597892.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>603834.500000</valUSD>
        <pctVal>0.0122757</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.9814</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GCAT 2020-4 LLC</name>
        <lei>N/A</lei>
        <title>GCAT GCAT 2020 4 A1 144A</title>
        <cusip>36167MAA2</cusip>
        <identifiers>
          <isin value="US36167MAA27"/>
        </identifiers>
        <balance>1621762.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1631554.030000</valUSD>
        <pctVal>0.0331689</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.6108</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLS AUTO RECEIVABLES TRUST 2019-2A</name>
        <lei>N/A</lei>
        <title>GLS AUTO RECEIVABLES TRUST GCAR 2019 2A A 144A</title>
        <cusip>36257NAA1</cusip>
        <identifiers>
          <isin value="US36257NAA19"/>
        </identifiers>
        <balance>24483.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24511.940000</valUSD>
        <pctVal>0.0004983</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.06</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLS AUTO RECEIVABLES TRUST 2019-3A</name>
        <lei>N/A</lei>
        <title>GLS AUTO RECEIVABLES TRUST GCAR 2019 3A A 144A</title>
        <cusip>36258AAA8</cusip>
        <identifiers>
          <isin value="US36258AAA88"/>
        </identifiers>
        <balance>1546689.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1554285.020000</valUSD>
        <pctVal>0.0315980</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.58</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLS AUTO RECEIVABLES TRUST 2019-3A</name>
        <lei>N/A</lei>
        <title>GLS AUTO RECEIVABLES TRUST GCAR 2019 3A B 144A</title>
        <cusip>36258AAB6</cusip>
        <identifiers>
          <isin value="US36258AAB61"/>
        </identifiers>
        <balance>7600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7734144.560000</valUSD>
        <pctVal>0.1572321</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.72</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GLS AUTO RECEIVABLES TRUST 2020-4A</name>
        <lei>N/A</lei>
        <title>GLS AUTO RECEIVABLES TRUST GCAR 2020 4A A 144A</title>
        <cusip>36261EAA5</cusip>
        <identifiers>
          <isin value="US36261EAA55"/>
        </identifiers>
        <balance>721698.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>722444.550000</valUSD>
        <pctVal>0.0146870</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.52</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GMAC MORTGAGE CORP LOAN TRUST 2005-AR2</name>
        <lei>N/A</lei>
        <title>GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR2 1A</title>
        <cusip>36185N6M7</cusip>
        <identifiers>
          <isin value="US36185N6M74"/>
        </identifiers>
        <balance>6643.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6528.770000</valUSD>
        <pctVal>0.0001327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.87497</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008121 G2 01/23 FLOATING VAR</title>
        <cusip>36202KAW5</cusip>
        <identifiers>
          <isin value="US36202KAW53"/>
        </identifiers>
        <balance>643.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>653.480000</valUSD>
        <pctVal>0.0000133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 008989 G2 10/26 FLOATING VAR</title>
        <cusip>36202K7A7</cusip>
        <identifiers>
          <isin value="US36202K7A76"/>
        </identifiers>
        <balance>8858.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9116.080000</valUSD>
        <pctVal>0.0001853</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080030 G2 01/27 FLOATING VAR</title>
        <cusip>36225CA89</cusip>
        <identifiers>
          <isin value="US36225CA890"/>
        </identifiers>
        <balance>4828.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4973.790000</valUSD>
        <pctVal>0.0001011</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080143 G2 12/27 FLOATING VAR</title>
        <cusip>36225CER3</cusip>
        <identifiers>
          <isin value="US36225CER34"/>
        </identifiers>
        <balance>1018.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1049.460000</valUSD>
        <pctVal>0.0000213</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-12-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080296 G2 07/29 FLOATING VAR</title>
        <cusip>36225CKJ4</cusip>
        <identifiers>
          <isin value="US36225CKJ44"/>
        </identifiers>
        <balance>14599.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15100.110000</valUSD>
        <pctVal>0.0003070</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-20</maturityDt>
          <couponKind>Floating</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080309 G2 08/29 FLOATING VAR</title>
        <cusip>36225CKX3</cusip>
        <identifiers>
          <isin value="US36225CKX38"/>
        </identifiers>
        <balance>8006.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8225.500000</valUSD>
        <pctVal>0.0001672</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-20</maturityDt>
          <couponKind>Floating</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080329 G2 10/29 FLOATING VAR</title>
        <cusip>36225CLK0</cusip>
        <identifiers>
          <isin value="US36225CLK08"/>
        </identifiers>
        <balance>7370.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7654.870000</valUSD>
        <pctVal>0.0001556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080376 G2 02/30 FLOATING VAR</title>
        <cusip>36225CM29</cusip>
        <identifiers>
          <isin value="US36225CM291"/>
        </identifiers>
        <balance>292.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>298.570000</valUSD>
        <pctVal>0.0000061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080378 G2 02/30 FLOATING VAR</title>
        <cusip>36225CM45</cusip>
        <identifiers>
          <isin value="US36225CM457"/>
        </identifiers>
        <balance>19375.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19674.620000</valUSD>
        <pctVal>0.0004000</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080408 G2 05/30 FLOATING VAR</title>
        <cusip>36225CN28</cusip>
        <identifiers>
          <isin value="US36225CN281"/>
        </identifiers>
        <balance>19878.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20695.060000</valUSD>
        <pctVal>0.0004207</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080409 G2 05/30 FLOATING VAR</title>
        <cusip>36225CN36</cusip>
        <identifiers>
          <isin value="US36225CN364"/>
        </identifiers>
        <balance>12093.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12706.860000</valUSD>
        <pctVal>0.0002583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080428 G2 07/30 FLOATING VAR</title>
        <cusip>36225CPN0</cusip>
        <identifiers>
          <isin value="US36225CPN01"/>
        </identifiers>
        <balance>20015.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21034.770000</valUSD>
        <pctVal>0.0004276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Floating</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080555 G2 11/31 FLOATING VAR</title>
        <cusip>36225CTM8</cusip>
        <identifiers>
          <isin value="US36225CTM81"/>
        </identifiers>
        <balance>3379.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3524.790000</valUSD>
        <pctVal>0.0000717</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080601 G2 05/32 FLOATING VAR</title>
        <cusip>36225CU38</cusip>
        <identifiers>
          <isin value="US36225CU385"/>
        </identifiers>
        <balance>2729.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2767.510000</valUSD>
        <pctVal>0.0000563</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080734 G2 09/33 FLOATING VAR</title>
        <cusip>36225CY83</cusip>
        <identifiers>
          <isin value="US36225CY833"/>
        </identifiers>
        <balance>8093.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8451.340000</valUSD>
        <pctVal>0.0001718</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-20</maturityDt>
          <couponKind>Floating</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL 080747 G2 10/33 FLOATING VAR</title>
        <cusip>36225CZM1</cusip>
        <identifiers>
          <isin value="US36225CZM18"/>
        </identifiers>
        <balance>5509.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5750.900000</valUSD>
        <pctVal>0.0001169</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 2 JUMBOS</title>
        <cusip>21H020683</cusip>
        <identifiers>
          <isin value="US21H0206837"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3050039.100000</valUSD>
        <pctVal>0.0620061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II TBA 30 YR 2.5 JUMBOS</title>
        <cusip>21H022671</cusip>
        <identifiers>
          <isin value="US21H0226710"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1241906.270000</valUSD>
        <pctVal>0.0252475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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 II TBA 30 YR 2.5 JUMBOS</title>
        <cusip>21H022689</cusip>
        <identifiers>
          <isin value="US21H0226892"/>
        </identifiers>
        <balance>8000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8264687.600000</valUSD>
        <pctVal>0.1680179</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>GOLDENTREE LOAN MANAGEMENT US CLO 6 LTD 2019-6A</name>
        <lei>N/A</lei>
        <title>GOLDENTREE LOAN MANAGEMENT US GLM 2019 6A A 144A</title>
        <cusip>38137WAC9</cusip>
        <identifiers>
          <isin value="US38137WAC91"/>
        </identifiers>
        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2808362.540000</valUSD>
        <pctVal>0.0570929</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.52825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2011-H06</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2011 H06 FA</title>
        <cusip>38375BKL5</cusip>
        <identifiers>
          <isin value="US38375BKL52"/>
        </identifiers>
        <balance>282228.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>283505.970000</valUSD>
        <pctVal>0.0057636</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2061-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.55725</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H21</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H21 FA</title>
        <cusip>38375UAL4</cusip>
        <identifiers>
          <isin value="US38375UAL44"/>
        </identifiers>
        <balance>2947833.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2967411.180000</valUSD>
        <pctVal>0.0603263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.85725</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GRAND AVENUE MORTGAGE LOAN TRUST 2017-RPL1</name>
        <lei>N/A</lei>
        <title>GRAND AVENUE MORTGAGE LOAN TRU GAMLT 2017 RPL1 A1 144A</title>
        <cusip>385210AA7</cusip>
        <identifiers>
          <isin value="US385210AA74"/>
        </identifiers>
        <balance>35145608.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35182244.390000</valUSD>
        <pctVal>0.7152413</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2064-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREEN TREE FINANCIAL CORP 1998-4</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCIAL CORP GT 1998 4 A7</title>
        <cusip>393505F98</cusip>
        <identifiers>
          <isin value="US393505F983"/>
        </identifiers>
        <balance>1421.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1436.860000</valUSD>
        <pctVal>0.0000292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.87</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>GREENPOINT MTGE FUNDING TR 2005-AR2</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR2 A1</title>
        <cusip>39538RBB4</cusip>
        <identifiers>
          <isin value="US39538RBB42"/>
        </identifiers>
        <balance>10584099.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9211246.190000</valUSD>
        <pctVal>0.1872610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MTGE FUNDING TR 2006-AR3</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A1</title>
        <cusip>39538WHF8</cusip>
        <identifiers>
          <isin value="US39538WHF86"/>
        </identifiers>
        <balance>183187.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>179378.880000</valUSD>
        <pctVal>0.0036467</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>Floating</couponKind>
          <annualizedRt>0.5115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENTREE FINANCIAL CORP 1998-3</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCIAL CORP GT 1998 3 A5</title>
        <cusip>393505E32</cusip>
        <identifiers>
          <isin value="US393505E325"/>
        </identifiers>
        <balance>26624.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26697.130000</valUSD>
        <pctVal>0.0005427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.22</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENTREE FINANCIAL CORP 1998-3</name>
        <lei>N/A</lei>
        <title>CONSECO FINANCIAL CORP GT 1998 3 A6</title>
        <cusip>393505E40</cusip>
        <identifiers>
          <isin value="US393505E408"/>
        </identifiers>
        <balance>2294.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2300.880000</valUSD>
        <pctVal>0.0000468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.76</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREENWICH CAPITAL ACCEPTANCE I-1994-AR5</name>
        <lei>N/A</lei>
        <title>GREENWICH CAPITAL ACCEPTANCE I GRCAP 1994 AR5 A2</title>
        <cusip>396782CX0</cusip>
        <identifiers>
          <isin value="US396782CX05"/>
        </identifiers>
        <balance>4301.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4345.910000</valUSD>
        <pctVal>0.0000884</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90551</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GREYSTONE COMMERCIAL REAL ESTATE NOTES 2019-FL2</name>
        <lei>N/A</lei>
        <title>GREYSTONE COMMERCIAL REAL ESTA GSTNE 2019 FL2 A 144A</title>
        <cusip>39809LAA2</cusip>
        <identifiers>
          <isin value="US39809LAA26"/>
        </identifiers>
        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1600719.570000</valUSD>
        <pctVal>0.0325420</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.25288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP II 2017-SLP</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2017 SLP C 144A</title>
        <cusip>36255MAJ6</cusip>
        <identifiers>
          <isin value="US36255MAJ62"/>
        </identifiers>
        <balance>13300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13596000.810000</valUSD>
        <pctVal>0.2764014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.924</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX B 144A</title>
        <cusip>36257CAG2</cusip>
        <identifiers>
          <isin value="US36257CAG24"/>
        </identifiers>
        <balance>15900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15578729.370000</valUSD>
        <pctVal>0.3167095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.10392</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORP TRUST 2017-STAY</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2017 STAY A 144A</title>
        <cusip>36253VAA7</cusip>
        <identifiers>
          <isin value="US36253VAA70"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5005658.000000</valUSD>
        <pctVal>0.1017631</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES CORPORATION II 2012-ALOH</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2012 ALOH A 144A</title>
        <cusip>36192HAA2</cusip>
        <identifiers>
          <isin value="US36192HAA23"/>
        </identifiers>
        <balance>7490000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7575069.920000</valUSD>
        <pctVal>0.1539982</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.551</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GS MORTGAGE SECURITIES TRUST 2015-590M</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES TRUST GSMS 2015 590M A 144A</title>
        <cusip>36250WAA8</cusip>
        <identifiers>
          <isin value="US36250WAA80"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2145121.200000</valUSD>
        <pctVal>0.0436095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.621</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2004 NC1 M1</title>
        <cusip>36228FP67</cusip>
        <identifiers>
          <isin value="US36228FP671"/>
        </identifiers>
        <balance>729265.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>723509.550000</valUSD>
        <pctVal>0.0147087</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <annualizedRt>0.9165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2003-HE2</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2003 HE2 M1</title>
        <cusip>36228FVU7</cusip>
        <identifiers>
          <isin value="US36228FVU73"/>
        </identifiers>
        <balance>4056.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4064.510000</valUSD>
        <pctVal>0.0000826</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.06663</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2005-WMC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2005 WMC1 M1</title>
        <cusip>362341PU7</cusip>
        <identifiers>
          <isin value="US362341PU74"/>
        </identifiers>
        <balance>12544184.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12561152.130000</valUSD>
        <pctVal>0.2553633</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>0.8265</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>GSAMP TRUST 2006-S6</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 S6 A1B</title>
        <cusip>36245CAB8</cusip>
        <identifiers>
          <isin value="US36245CAB81"/>
        </identifiers>
        <balance>5110876.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118161.430000</valUSD>
        <pctVal>0.0024022</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.3915</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>GSAMP TRUST 2007-FM1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 FM1 A1</title>
        <cusip>3622MAAA9</cusip>
        <identifiers>
          <isin value="US3622MAAA93"/>
        </identifiers>
        <balance>938539.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>606438.510000</valUSD>
        <pctVal>0.0123287</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSMPS MORTGAGE LOAN TRUST 1998-1</name>
        <lei>N/A</lei>
        <title>GSMPS MORTGAGE LOAN TRUST GSMPS 1998 1 A 144A</title>
        <cusip>36228FAA4</cusip>
        <identifiers>
          <isin value="US36228FAA49"/>
        </identifiers>
        <balance>199787.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199651.390000</valUSD>
        <pctVal>0.0040588</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSMPS MORTGAGE LOAN TRUST 2003-3</name>
        <lei>N/A</lei>
        <title>GSMPS MORTGAGE LOAN TRUST GSMPS 2003 3 A1 144A</title>
        <cusip>36290PAS6</cusip>
        <identifiers>
          <isin value="US36290PAS65"/>
        </identifiers>
        <balance>398877.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>451517.590000</valUSD>
        <pctVal>0.0091792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSMPS MORTGAGE LOAN TRUST 2005-RP3</name>
        <lei>N/A</lei>
        <title>GSMPS MORTGAGE LOAN TRUST GSMPS 2005 RP3 1AF 144A</title>
        <cusip>362341LL1</cusip>
        <identifiers>
          <isin value="US362341LL12"/>
        </identifiers>
        <balance>20412423.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17553506.380000</valUSD>
        <pctVal>0.3568559</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>0.4415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSMPS MORTGAGE LOAN TRUST 2006-RP1</name>
        <lei>N/A</lei>
        <title>GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A</title>
        <cusip>3623413V9</cusip>
        <identifiers>
          <isin value="US3623413V99"/>
        </identifiers>
        <balance>24600561.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20562610.170000</valUSD>
        <pctVal>0.4180298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4415</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>GSR MORTGAGE LOAN TRUST 2004-2F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2004 2F 7A1</title>
        <cusip>36229RLL1</cusip>
        <identifiers>
          <isin value="US36229RLL14"/>
        </identifiers>
        <balance>5179.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5033.270000</valUSD>
        <pctVal>0.0001023</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR2</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR2 2A1</title>
        <cusip>36242DH71</cusip>
        <identifiers>
          <isin value="US36242DH716"/>
        </identifiers>
        <balance>400152.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>398187.990000</valUSD>
        <pctVal>0.0080950</pctVal>
        <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>2.63468</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR2</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR2 5A1</title>
        <cusip>36242DJ20</cusip>
        <identifiers>
          <isin value="US36242DJ209"/>
        </identifiers>
        <balance>408269.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>411474.630000</valUSD>
        <pctVal>0.0083651</pctVal>
        <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>2.75595</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR6</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1</title>
        <cusip>362341RT8</cusip>
        <identifiers>
          <isin value="US362341RT83"/>
        </identifiers>
        <balance>45572.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46112.140000</valUSD>
        <pctVal>0.0009374</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>2.79338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2006-AR1</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1</title>
        <cusip>3623414A4</cusip>
        <identifiers>
          <isin value="US3623414A44"/>
        </identifiers>
        <balance>181635.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>185813.540000</valUSD>
        <pctVal>0.0037775</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.92739</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>GSR MTGE LOAN TRUST 2003-2F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1</title>
        <cusip>36228FNB8</cusip>
        <identifiers>
          <isin value="US36228FNB84"/>
        </identifiers>
        <balance>967.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1026.290000</valUSD>
        <pctVal>0.0000209</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2004-11</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 3A1A</title>
        <cusip>41161PKD4</cusip>
        <identifiers>
          <isin value="US41161PKD41"/>
        </identifiers>
        <balance>18746.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17309.010000</valUSD>
        <pctVal>0.0003519</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79338</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>HARBORVIEW MORTGAGE LOAN TR 2005-14</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 14 3A1A</title>
        <cusip>41161PWU3</cusip>
        <identifiers>
          <isin value="US41161PWU38"/>
        </identifiers>
        <balance>8404.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8161.080000</valUSD>
        <pctVal>0.0001659</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.65477</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>HARBORVIEW MORTGAGE LOAN TR 2005-2</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A</title>
        <cusip>41161PLR2</cusip>
        <identifiers>
          <isin value="US41161PLR28"/>
        </identifiers>
        <balance>143118.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138179.590000</valUSD>
        <pctVal>0.0028091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.53338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2005-3</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A</title>
        <cusip>41161PMG5</cusip>
        <identifiers>
          <isin value="US41161PMG53"/>
        </identifiers>
        <balance>7296643.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7292542.380000</valUSD>
        <pctVal>0.1482545</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.57338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2005-7</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1</title>
        <cusip>41161PPN7</cusip>
        <identifiers>
          <isin value="US41161PPN77"/>
        </identifiers>
        <balance>246242.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142863.830000</valUSD>
        <pctVal>0.0029044</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.193</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>HARBORVIEW MORTGAGE LOAN TR 2006-1</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A</title>
        <cusip>41161PA86</cusip>
        <identifiers>
          <isin value="US41161PA868"/>
        </identifiers>
        <balance>200124.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>199180.800000</valUSD>
        <pctVal>0.0040493</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.57338</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>HARBORVIEW MORTGAGE LOAN TR 2006-12</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A</title>
        <cusip>41162DAA7</cusip>
        <identifiers>
          <isin value="US41162DAA72"/>
        </identifiers>
        <balance>1157209.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1088180.210000</valUSD>
        <pctVal>0.0221223</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.29838</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-BU1</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A</title>
        <cusip>41161PG72</cusip>
        <identifiers>
          <isin value="US41161PG725"/>
        </identifiers>
        <balance>277817.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>256566.060000</valUSD>
        <pctVal>0.0052159</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.47338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2004-6</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A1</title>
        <cusip>41161PFR9</cusip>
        <identifiers>
          <isin value="US41161PFR91"/>
        </identifiers>
        <balance>98506.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>98778.990000</valUSD>
        <pctVal>0.0020081</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.17349</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2004-7</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 7 3A1</title>
        <cusip>41161PGK3</cusip>
        <identifiers>
          <isin value="US41161PGK30"/>
        </identifiers>
        <balance>7308.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7503.270000</valUSD>
        <pctVal>0.0001525</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.31746</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HERA COMMERCIAL MORTGAGE 2021-FL1</name>
        <lei>N/A</lei>
        <title>HERA COMMERCIAL MORTGAGE LTD HERA 2021 FL1 A 144A</title>
        <cusip>42704RAA9</cusip>
        <identifiers>
          <isin value="US42704RAA95"/>
        </identifiers>
        <balance>5200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5197058.520000</valUSD>
        <pctVal>0.1056542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1325</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HILTON USA TRUST 2016-HHV</name>
        <lei>N/A</lei>
        <title>HILTON USA TRUST HILT 2016 HHV A 144A</title>
        <cusip>43300LAA8</cusip>
        <identifiers>
          <isin value="US43300LAA89"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1093883.000000</valUSD>
        <pctVal>0.0222382</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.719</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HILTON USA TRUST 2016-SFP</name>
        <lei>N/A</lei>
        <title>HILTON USA TRUST HILT 2016 SFP A 144A</title>
        <cusip>43289VAA1</cusip>
        <identifiers>
          <isin value="US43289VAA17"/>
        </identifiers>
        <balance>6500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6533081.100000</valUSD>
        <pctVal>0.1328150</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.82844</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY ASSET TRUST 2004-2</name>
        <lei>N/A</lei>
        <title>HOME EQUITY ASSET TRUST HEAT 2004 2 M1</title>
        <cusip>437084BL9</cusip>
        <identifiers>
          <isin value="US437084BL98"/>
        </identifiers>
        <balance>207157.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205806.930000</valUSD>
        <pctVal>0.0041840</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8865</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY ASSET TRUST 2004-8</name>
        <lei>N/A</lei>
        <title>HOME EQUITY ASSET TRUST HEAT 2004 8 M2</title>
        <cusip>437084GS9</cusip>
        <identifiers>
          <isin value="US437084GS96"/>
        </identifiers>
        <balance>6572117.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6599871.440000</valUSD>
        <pctVal>0.1341728</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0065</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY ASSET TRUST 2005-6</name>
        <lei>N/A</lei>
        <title>HOME EQUITY ASSET TRUST HEAT 2005 6 M4</title>
        <cusip>437084NF9</cusip>
        <identifiers>
          <isin value="US437084NF92"/>
        </identifiers>
        <balance>13400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13366554.940000</valUSD>
        <pctVal>0.2717368</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>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY LOAN TRUST 2007-FRE1</name>
        <lei>N/A</lei>
        <title>HOME EQUITY LOAN TRUST HELT 2007 FRE1 1AV1</title>
        <cusip>43710XAA6</cusip>
        <identifiers>
          <isin value="US43710XAA63"/>
        </identifiers>
        <balance>4323200.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4098917.090000</valUSD>
        <pctVal>0.0833294</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>0.2815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY MTGE TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>HOME EQUITY MORTGAGE TRUST HEMT 2006 1 A2</title>
        <cusip>225470XK4</cusip>
        <identifiers>
          <isin value="US225470XK45"/>
        </identifiers>
        <balance>43304.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41865.750000</valUSD>
        <pctVal>0.0008511</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.8</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>HOME EQUITY PASS-THRU CERTS 2002-1</name>
        <lei>N/A</lei>
        <title>HOME EQUITY ASSET TRUST HEAT 2002 1 A4</title>
        <cusip>22541NAD1</cusip>
        <identifiers>
          <isin value="US22541NAD12"/>
        </identifiers>
        <balance>1282.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1205.170000</valUSD>
        <pctVal>0.0000245</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY PASS-THRU CERTS 2002-3</name>
        <lei>N/A</lei>
        <title>HOME EQUITY ASSET TRUST HEAT 2002 3 A4</title>
        <cusip>22541NHE2</cusip>
        <identifiers>
          <isin value="US22541NHE22"/>
        </identifiers>
        <balance>1181.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1125.420000</valUSD>
        <pctVal>0.0000229</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSI ASSET LOAN OBLIGATION 2007-WF1</name>
        <lei>N/A</lei>
        <title>HSI ASSET LOAN OBLIGATION HALO 2007 WF1 A1</title>
        <cusip>40431KAA8</cusip>
        <identifiers>
          <isin value="US40431KAA88"/>
        </identifiers>
        <balance>10595.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4071.110000</valUSD>
        <pctVal>0.0000828</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.1515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSI ASSET SECUR CORP TRUST 2006-OPT1</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2006 OPT1 M1</title>
        <cusip>40430HDE5</cusip>
        <identifiers>
          <isin value="US40430HDE53"/>
        </identifiers>
        <balance>5514201.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5479081.770000</valUSD>
        <pctVal>0.1113876</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>0.4515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ICG US CLO LTD 2020-1A</name>
        <lei>N/A</lei>
        <title>ICG US CLO LTD ICG 2020 1A A1 144A</title>
        <cusip>449251AA5</cusip>
        <identifiers>
          <isin value="US449251AA52"/>
        </identifiers>
        <balance>2500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2505359.650000</valUSD>
        <pctVal>0.0509330</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.58375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHPT-2018-STAY</name>
        <lei>N/A</lei>
        <title>INTOWN HOTEL PORTFOLIO TRUST IHPT 2018 STAY A 144A</title>
        <cusip>46117MAA2</cusip>
        <identifiers>
          <isin value="US46117MAA27"/>
        </identifiers>
        <balance>4900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4915337.980000</valUSD>
        <pctVal>0.0999269</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.023</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHPT-2018-STAY</name>
        <lei>N/A</lei>
        <title>INTOWN HOTEL PORTFOLIO TRUST IHPT 2018 STAY B 144A</title>
        <cusip>46117MAJ3</cusip>
        <identifiers>
          <isin value="US46117MAJ36"/>
        </identifiers>
        <balance>8250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8279957.400000</valUSD>
        <pctVal>0.1683283</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.373</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHPT-2018-STAY</name>
        <lei>N/A</lei>
        <title>INTOWN HOTEL PORTFOLIO TRUST IHPT 2018 STAY C 144A</title>
        <cusip>46117MAL8</cusip>
        <identifiers>
          <isin value="US46117MAL81"/>
        </identifiers>
        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2908429.140000</valUSD>
        <pctVal>0.0591272</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.573</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHPT-2018-STAY</name>
        <lei>N/A</lei>
        <title>INTOWN HOTEL PORTFOLIO TRUST IHPT 2018 STAY D 144A</title>
        <cusip>46117MAN4</cusip>
        <identifiers>
          <isin value="US46117MAN48"/>
        </identifiers>
        <balance>8100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8143388.460000</valUSD>
        <pctVal>0.1655519</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.373</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IHPT-2018-STYX</name>
        <lei>N/A</lei>
        <title>INTOWN HOTEL PORTFOLIO TRUST IHPT 2018 STYX B REGS</title>
        <cusip>U5000RAE6</cusip>
        <identifiers>
          <isin value="USU5000RAE63"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100363.120000</valUSD>
        <pctVal>0.0020403</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.373</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMC HOME EQ LN TR 1997-5</name>
        <lei>N/A</lei>
        <title>IMC HOME EQUITY LOAN TRUST IMCHE 1997 5 A9</title>
        <cusip>449670DD7</cusip>
        <identifiers>
          <isin value="US449670DD75"/>
        </identifiers>
        <balance>10907.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11239.590000</valUSD>
        <pctVal>0.0002285</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-11-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.31</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>IMPAC CMB TRUST 2003-8</name>
        <lei>N/A</lei>
        <title>IMPAC CMB TRUST IMM 2003 8 2A1</title>
        <cusip>45254NFG7</cusip>
        <identifiers>
          <isin value="US45254NFG79"/>
        </identifiers>
        <balance>6522.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6569.280000</valUSD>
        <pctVal>0.0001336</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMPAC SECURED ASSETS CORP 2006-1</name>
        <lei>N/A</lei>
        <title>IMPAC SECURED ASSETS CORP. IMSA 2006 1 2A1</title>
        <cusip>45254TTN4</cusip>
        <identifiers>
          <isin value="US45254TTN45"/>
        </identifiers>
        <balance>16478.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16446.110000</valUSD>
        <pctVal>0.0003343</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC ARM TRUST 2001-H2</name>
        <lei>N/A</lei>
        <title>INDYMAC ARM TRUST INARM 2001 H2 A2</title>
        <cusip>45660UAT6</cusip>
        <identifiers>
          <isin value="US45660UAT60"/>
        </identifiers>
        <balance>3295.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3321.380000</valUSD>
        <pctVal>0.0000675</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.76244</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC HOME EQUITY LOAN 2004-A</name>
        <lei>N/A</lei>
        <title>INDYMAC HOME EQUITY LOAN ASSET INHEL 2004 A M2</title>
        <cusip>456606ER9</cusip>
        <identifiers>
          <isin value="US456606ER98"/>
        </identifiers>
        <balance>380563.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>383237.400000</valUSD>
        <pctVal>0.0077911</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.1165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDEX MORTGAGE LOAN TRUST 2005-AR35</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR35 2A1</title>
        <cusip>45660L2H1</cusip>
        <identifiers>
          <isin value="US45660L2H13"/>
        </identifiers>
        <balance>4446157.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4168438.090000</valUSD>
        <pctVal>0.0847427</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.20145</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>INDYMAC INDX MORTGAGE LOAN TR 2004-AR4</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR4 2A1A</title>
        <cusip>45660LEG0</cusip>
        <identifiers>
          <isin value="US45660LEG05"/>
        </identifiers>
        <balance>28772.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27960.760000</valUSD>
        <pctVal>0.0005684</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>0.6515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2005-16IP</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1</title>
        <cusip>45660LUD9</cusip>
        <identifiers>
          <isin value="US45660LUD99"/>
        </identifiers>
        <balance>36135.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32264.180000</valUSD>
        <pctVal>0.0006559</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2005-AR6</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1</title>
        <cusip>45660LGD5</cusip>
        <identifiers>
          <isin value="US45660LGD55"/>
        </identifiers>
        <balance>119621.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113819.210000</valUSD>
        <pctVal>0.0023139</pctVal>
        <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>0.5715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2006-AR11</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 3A1</title>
        <cusip>45661KAG5</cusip>
        <identifiers>
          <isin value="US45661KAG58"/>
        </identifiers>
        <balance>1900930.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1527892.470000</valUSD>
        <pctVal>0.0310615</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.00084</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>INDYMAC INDX MORTGAGE LOAN TR 2006-AR12</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1</title>
        <cusip>45661VAA4</cusip>
        <identifiers>
          <isin value="US45661VAA44"/>
        </identifiers>
        <balance>469723.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>440651.140000</valUSD>
        <pctVal>0.0089583</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2006-AR8</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR8 A3A</title>
        <cusip>456618AF4</cusip>
        <identifiers>
          <isin value="US456618AF43"/>
        </identifiers>
        <balance>9710539.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9897568.320000</valUSD>
        <pctVal>0.2012137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MORTGAGE LOAN TR 2007-AR7</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1</title>
        <cusip>45670CAA5</cusip>
        <identifiers>
          <isin value="US45670CAA53"/>
        </identifiers>
        <balance>121656.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64458.910000</valUSD>
        <pctVal>0.0013104</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>0.3915</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>INDYMAC INDX MTGE LOAN TR 2005-AR2</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A</title>
        <cusip>45660LCL1</cusip>
        <identifiers>
          <isin value="US45660LCL18"/>
        </identifiers>
        <balance>844937.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>821479.500000</valUSD>
        <pctVal>0.0167004</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>0.7315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2004-AR2</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR2 AX2</title>
        <cusip>45660NG90</cusip>
        <identifiers>
          <isin value="US45660NG909"/>
        </identifiers>
        <balance>1877268.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1812509.980000</valUSD>
        <pctVal>0.0368476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.83394</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2004-AR7</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A5</title>
        <cusip>45660NU45</cusip>
        <identifiers>
          <isin value="US45660NU454"/>
        </identifiers>
        <balance>91936.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88596.820000</valUSD>
        <pctVal>0.0018011</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3115</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>INDYMAC INDX MTGE LOAN TRUST 2004-AR8</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR8 2A2A</title>
        <cusip>45660N2J3</cusip>
        <identifiers>
          <isin value="US45660N2J33"/>
        </identifiers>
        <balance>2847900.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2778011.900000</valUSD>
        <pctVal>0.0564759</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2006-AR15</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR15 A1</title>
        <cusip>456610AA2</cusip>
        <identifiers>
          <isin value="US456610AA20"/>
        </identifiers>
        <balance>13880436.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13178290.730000</valUSD>
        <pctVal>0.2679095</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>0.3315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC INDX MTGE LOAN TRUST 2006-AR9</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR9 3A3</title>
        <cusip>45661EGK4</cusip>
        <identifiers>
          <isin value="US45661EGK47"/>
        </identifiers>
        <balance>897959.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>896903.150000</valUSD>
        <pctVal>0.0182337</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.96858</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC RESIDENTIAL ASSET BACKED 2006-A</name>
        <lei>N/A</lei>
        <title>INDYMAC RESIDENTIAL ASSET BACK INABS 2006 A A3</title>
        <cusip>456606KH4</cusip>
        <identifiers>
          <isin value="US456606KH43"/>
        </identifiers>
        <balance>2062010.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2057607.770000</valUSD>
        <pctVal>0.0418304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INDYMAC RESIDENTIAL ASSET BACKED 2007-B</name>
        <lei>N/A</lei>
        <title>INDYMAC RESIDENTIAL ASSET BACK INABS 2007 B 2A2</title>
        <cusip>43710EAD2</cusip>
        <identifiers>
          <isin value="US43710EAD22"/>
        </identifiers>
        <balance>98510.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67356.580000</valUSD>
        <pctVal>0.0013693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IXIS REAL ESTATE CAPITAL TRUST 2006-HE3</name>
        <lei>N/A</lei>
        <title>IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A2</title>
        <cusip>46602UAB4</cusip>
        <identifiers>
          <isin value="US46602UAB44"/>
        </identifiers>
        <balance>12245948.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5876529.350000</valUSD>
        <pctVal>0.1194675</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>0.1915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IXIS REAL ESTATE CAPITAL TRUST 2006-HE3</name>
        <lei>N/A</lei>
        <title>IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4</title>
        <cusip>46602UAD0</cusip>
        <identifiers>
          <isin value="US46602UAD00"/>
        </identifiers>
        <balance>44734947.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22697434.060000</valUSD>
        <pctVal>0.4614300</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>0.3215</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2017-FL11</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 FL11 A 144A</title>
        <cusip>46648PAA3</cusip>
        <identifiers>
          <isin value="US46648PAA30"/>
        </identifiers>
        <balance>5167940.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5128120.750000</valUSD>
        <pctVal>0.1042527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.92288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2017-FL11</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 FL11 B 144A</title>
        <cusip>46648PAG0</cusip>
        <identifiers>
          <isin value="US46648PAG00"/>
        </identifiers>
        <balance>5500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5458822.600000</valUSD>
        <pctVal>0.1109757</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2017-FL11</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 FL11 C 144A</title>
        <cusip>46648PAJ4</cusip>
        <identifiers>
          <isin value="US46648PAJ49"/>
        </identifiers>
        <balance>3600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3521785.680000</valUSD>
        <pctVal>0.0715965</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.47288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2017-FL11</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2017 FL11 D 144A</title>
        <cusip>46648PAL9</cusip>
        <identifiers>
          <isin value="US46648PAL94"/>
        </identifiers>
        <balance>5540000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5369628.380000</valUSD>
        <pctVal>0.1091625</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A</title>
        <cusip>46651QAA5</cusip>
        <identifiers>
          <isin value="US46651QAA58"/>
        </identifiers>
        <balance>1064854.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1058257.450000</valUSD>
        <pctVal>0.0215140</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.52288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JAMESTOWN CLO V LTD 2014-5A</name>
        <lei>N/A</lei>
        <title>JAMESTOWN CLO LTD JTWN 2014 5A AR 144A</title>
        <cusip>470473AF6</cusip>
        <identifiers>
          <isin value="US470473AF63"/>
        </identifiers>
        <balance>431433.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>432027.300000</valUSD>
        <pctVal>0.0087829</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.40975</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JAMESTOWN CLO VI-R LTD 2020-15A</name>
        <lei>N/A</lei>
        <title>JAMESTOWN CLO LTD JTWN 2020 15A A 144A</title>
        <cusip>47050EAA7</cusip>
        <identifiers>
          <isin value="US47050EAA73"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1001539.530000</valUSD>
        <pctVal>0.0203609</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.52375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2006-A3</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A3 1A4</title>
        <cusip>46628UAD0</cusip>
        <identifiers>
          <isin value="US46628UAD00"/>
        </identifiers>
        <balance>21208452.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20068633.680000</valUSD>
        <pctVal>0.4079875</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>0.5715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 1A4</title>
        <cusip>466285AD5</cusip>
        <identifiers>
          <isin value="US466285AD53"/>
        </identifiers>
        <balance>5780636.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5417057.400000</valUSD>
        <pctVal>0.1101267</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>0.5715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2007-A2</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A4</title>
        <cusip>466278AF5</cusip>
        <identifiers>
          <isin value="US466278AF50"/>
        </identifiers>
        <balance>38492855.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20363178.810000</valUSD>
        <pctVal>0.4139755</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>0.3715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2008-R4</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A</title>
        <cusip>466309AC5</cusip>
        <identifiers>
          <isin value="US466309AC56"/>
        </identifiers>
        <balance>1712232.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1378886.880000</valUSD>
        <pctVal>0.0280322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.59</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LN TRUST 2008-R4</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A</title>
        <cusip>466309AD3</cusip>
        <identifiers>
          <isin value="US466309AD30"/>
        </identifiers>
        <balance>13981060.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8983038.340000</valUSD>
        <pctVal>0.1826217</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>10.4793</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN ALTERNATIVE LOAN TRUST 2006-A5</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A5 2A5</title>
        <cusip>466284AQ9</cusip>
        <identifiers>
          <isin value="US466284AQ91"/>
        </identifiers>
        <balance>4199216.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4241350.120000</valUSD>
        <pctVal>0.0862250</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.8062</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2016-JP4</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP4 A4</title>
        <cusip>46645UAT4</cusip>
        <identifiers>
          <isin value="US46645UAT43"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>331860.510000</valUSD>
        <pctVal>0.0067466</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.6483</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2016-JP2</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2016 JP2 ASB</title>
        <cusip>46590MAS9</cusip>
        <identifiers>
          <isin value="US46590MAS98"/>
        </identifiers>
        <balance>11199907.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11689695.570000</valUSD>
        <pctVal>0.2376470</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.713</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A</title>
        <cusip>46649JAA6</cusip>
        <identifiers>
          <isin value="US46649JAA60"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5015989.000000</valUSD>
        <pctVal>0.1019731</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.023</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A</title>
        <cusip>46645WAC7</cusip>
        <identifiers>
          <isin value="US46645WAC73"/>
        </identifiers>
        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1605731.200000</valUSD>
        <pctVal>0.0326439</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.33</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFX 144A</title>
        <cusip>46645WBA0</cusip>
        <identifiers>
          <isin value="US46645WBA09"/>
        </identifiers>
        <balance>23176000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24409206.550000</valUSD>
        <pctVal>0.4962296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5487</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE ACQ CORP 2005-RM1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2</title>
        <cusip>46629NAC7</cusip>
        <identifiers>
          <isin value="US46629NAC74"/>
        </identifiers>
        <balance>1599.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>891.460000</valUSD>
        <pctVal>0.0000181</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>0.2515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-A3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 7CA1</title>
        <cusip>466247QP1</cusip>
        <identifiers>
          <isin value="US466247QP17"/>
        </identifiers>
        <balance>69879.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61686.700000</valUSD>
        <pctVal>0.0012541</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>2.43353</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-A4</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A4 3A4</title>
        <cusip>466247RT2</cusip>
        <identifiers>
          <isin value="US466247RT20"/>
        </identifiers>
        <balance>514056.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>515088.670000</valUSD>
        <pctVal>0.0104716</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>2.78952</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2006-S2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 S2 1A24</title>
        <cusip>46628YAZ3</cusip>
        <identifiers>
          <isin value="US46628YAZ34"/>
        </identifiers>
        <balance>329589.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>260738.020000</valUSD>
        <pctVal>0.0053007</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>Fixed</couponKind>
          <annualizedRt>5</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>JP MORGAN MORTGAGE TRUST-2005-A2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A2 7CB1</title>
        <cusip>466247NZ2</cusip>
        <identifiers>
          <isin value="US466247NZ26"/>
        </identifiers>
        <balance>15058.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15622.870000</valUSD>
        <pctVal>0.0003176</pctVal>
        <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>2.77658</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE ACQUIS CORP 2006-FRE1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 FRE1 M2</title>
        <cusip>46626LFP0</cusip>
        <identifiers>
          <isin value="US46626LFP04"/>
        </identifiers>
        <balance>21778772.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21137084.440000</valUSD>
        <pctVal>0.4297087</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7215</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>JP MORGAN MTGE ACQUIS CORP 2006-WMC3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC3 A3</title>
        <cusip>46629KAD1</cusip>
        <identifiers>
          <isin value="US46629KAD19"/>
        </identifiers>
        <balance>732929.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>587245.140000</valUSD>
        <pctVal>0.0119385</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>0.2015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE TRUST 2005-A7</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3</title>
        <cusip>466247WQ2</cusip>
        <identifiers>
          <isin value="US466247WQ26"/>
        </identifiers>
        <balance>89935.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86511.770000</valUSD>
        <pctVal>0.0017588</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>3.39561</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE TRUST 2005-ALT1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 ALT1 3A1</title>
        <cusip>466247XK4</cusip>
        <identifiers>
          <isin value="US466247XK47"/>
        </identifiers>
        <balance>41114.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35767.260000</valUSD>
        <pctVal>0.0007271</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>2.61842</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>JP MORGAN MTGGE ACQUIS CORP 2005-OPT2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 OPT2 M5</title>
        <cusip>46626LEQ9</cusip>
        <identifiers>
          <isin value="US46626LEQ95"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4893579.500000</valUSD>
        <pctVal>0.0994846</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>1.0665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T</name>
        <lei>N/A</lei>
        <title>JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A</title>
        <cusip>46652WAA1</cusip>
        <identifiers>
          <isin value="US46652WAA18"/>
        </identifiers>
        <balance>18200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18690646.520000</valUSD>
        <pctVal>0.3799736</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-03-05</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.28704</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2019-COR6</name>
        <lei>N/A</lei>
        <title>JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2019 COR6 A4</title>
        <cusip>48129RAX3</cusip>
        <identifiers>
          <isin value="US48129RAX35"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1082713.800000</valUSD>
        <pctVal>0.0220111</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-11-13</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.0565</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KKR CLO LTD 18</name>
        <lei>N/A</lei>
        <title>KKR FINANCIAL CLO LTD KKR 18 A 144A</title>
        <cusip>48251JAC7</cusip>
        <identifiers>
          <isin value="US48251JAC71"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1000710.310000</valUSD>
        <pctVal>0.0203441</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.45975</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>L.A. ARENA FUNDING LLC 1</name>
        <lei>N/A</lei>
        <title>L.A. ARENA FUNDING, LLC LAAF 1 A 144A</title>
        <cusip>501673AA5</cusip>
        <identifiers>
          <isin value="US501673AA50"/>
        </identifiers>
        <balance>213126.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>213019.490000</valUSD>
        <pctVal>0.0043306</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.656</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LB-UBS COMMERCIAL MORTGAGE TRUST 2008-C1</name>
        <lei>N/A</lei>
        <title>LB UBS COMMERCIAL MORTGAGE TRU LBUBS 2008 C1 AM</title>
        <cusip>50180LAD2</cusip>
        <identifiers>
          <isin value="US50180LAD29"/>
        </identifiers>
        <balance>282191.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>282283.720000</valUSD>
        <pctVal>0.0057387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.27167</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS1</name>
        <lei>N/A</lei>
        <title>LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A</title>
        <cusip>52474JAA4</cusip>
        <identifiers>
          <isin value="US52474JAA43"/>
        </identifiers>
        <balance>2592181.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2599722.260000</valUSD>
        <pctVal>0.0528513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.892</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>LEGACY MORTGAGE ASSET TRUST 2021-SL1</name>
        <lei>N/A</lei>
        <title>LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL1 A 144A</title>
        <cusip>52475PAA9</cusip>
        <identifiers>
          <isin value="US52475PAA93"/>
        </identifiers>
        <balance>2928807.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2942889.160000</valUSD>
        <pctVal>0.0598278</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-09-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.991</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MORTGAGE TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2006 1 1A5</title>
        <cusip>52520MFB4</cusip>
        <identifiers>
          <isin value="US52520MFB46"/>
        </identifiers>
        <balance>256249.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196353.650000</valUSD>
        <pctVal>0.0039918</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>Fixed</couponKind>
          <annualizedRt>5.5</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>LEHMAN XS TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 3 A1</title>
        <cusip>525221JG3</cusip>
        <identifiers>
          <isin value="US525221JG36"/>
        </identifiers>
        <balance>10750132.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10492924.030000</valUSD>
        <pctVal>0.2133171</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006-4N</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 4N A1C1</title>
        <cusip>525221KM8</cusip>
        <identifiers>
          <isin value="US525221KM84"/>
        </identifiers>
        <balance>464995.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>487991.910000</valUSD>
        <pctVal>0.0099207</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5515</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>LEHMAN XS TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2007 3 2A3</title>
        <cusip>525245AH9</cusip>
        <identifiers>
          <isin value="US525245AH93"/>
        </identifiers>
        <balance>16983959.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16828791.050000</valUSD>
        <pctVal>0.3421228</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>0.5715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LIBERTY STREET TRUST 2016-225L</name>
        <lei>N/A</lei>
        <title>LIBERTY STREET TRUST LBTY 2016 225L A 144A</title>
        <cusip>902055AA0</cusip>
        <identifiers>
          <isin value="US902055AA09"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2179801.000000</valUSD>
        <pctVal>0.0443145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.597</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LOANCORE ISSUER LTD 2019-CRE2</name>
        <lei>N/A</lei>
        <title>LOANCORE 2019 CRE2 ISSUER, LTD LNCR 2019 CRE2 A 144A</title>
        <cusip>53946JAA2</cusip>
        <identifiers>
          <isin value="US53946JAA25"/>
        </identifiers>
        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2900882.960000</valUSD>
        <pctVal>0.0589738</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAD TR 2005-WL1</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL1 M4</title>
        <cusip>542514LL6</cusip>
        <identifiers>
          <isin value="US542514LL69"/>
        </identifiers>
        <balance>150000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>150680.820000</valUSD>
        <pctVal>0.0030633</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>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TR 2004-3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 3 M1</title>
        <cusip>542514GM0</cusip>
        <identifiers>
          <isin value="US542514GM08"/>
        </identifiers>
        <balance>136614.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>135722.180000</valUSD>
        <pctVal>0.0027592</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9465</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TR 2006-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A</title>
        <cusip>54251MAA2</cusip>
        <identifiers>
          <isin value="US54251MAA27"/>
        </identifiers>
        <balance>16394291.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11223659.950000</valUSD>
        <pctVal>0.2281726</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TR 2006-8</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 8 1A</title>
        <cusip>54251UAA4</cusip>
        <identifiers>
          <isin value="US54251UAA43"/>
        </identifiers>
        <balance>1548715.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1141813.300000</valUSD>
        <pctVal>0.0232126</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>0.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TRUST 2006-10</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 2A3</title>
        <cusip>54251YAD0</cusip>
        <identifiers>
          <isin value="US54251YAD04"/>
        </identifiers>
        <balance>3193377.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1402176.190000</valUSD>
        <pctVal>0.0285057</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>0.2515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A3</title>
        <cusip>542514UK8</cusip>
        <identifiers>
          <isin value="US542514UK85"/>
        </identifiers>
        <balance>19294512.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8700968.500000</valUSD>
        <pctVal>0.1768873</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MTGE LOAN TRUST 2001-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2A1</title>
        <cusip>542514BQ6</cusip>
        <identifiers>
          <isin value="US542514BQ66"/>
        </identifiers>
        <balance>205.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>205.280000</valUSD>
        <pctVal>0.0000042</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MTGE LOAN TRUST 2001-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1</title>
        <cusip>542514BK9</cusip>
        <identifiers>
          <isin value="US542514BK96"/>
        </identifiers>
        <balance>105496.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104665.370000</valUSD>
        <pctVal>0.0021278</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MTGE LOAN TRUST 2003-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2003 4 AV1</title>
        <cusip>542514EE0</cusip>
        <identifiers>
          <isin value="US542514EE00"/>
        </identifiers>
        <balance>289385.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>284952.410000</valUSD>
        <pctVal>0.0057930</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MTGE LOAN TRUST 2004-4</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3</title>
        <cusip>542514HV9</cusip>
        <identifiers>
          <isin value="US542514HV97"/>
        </identifiers>
        <balance>55443.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54826.010000</valUSD>
        <pctVal>0.0011146</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>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MANHATTAN WEST 2020-1MW</name>
        <lei>N/A</lei>
        <title>MANHATTAN WEST OMW 2020 1MW A 144A</title>
        <cusip>563136AA8</cusip>
        <identifiers>
          <isin value="US563136AA85"/>
        </identifiers>
        <balance>3400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3483461.840000</valUSD>
        <pctVal>0.0708174</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.13</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MARATHON CLO IX LTD 2017-9A</name>
        <lei>N/A</lei>
        <title>MARATHON CLO LTD MCLO 2017 9A A1AR 144A</title>
        <cusip>56577PAL3</cusip>
        <identifiers>
          <isin value="US56577PAL31"/>
        </identifiers>
        <balance>7400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7410530.570000</valUSD>
        <pctVal>0.1506532</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.33375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASSACHUSETTS EDUC FINANCING AUTH 2008-1</name>
        <lei>N/A</lei>
        <title>MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1</title>
        <cusip>57563NAA6</cusip>
        <identifiers>
          <isin value="US57563NAA63"/>
        </identifiers>
        <balance>291165.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>292041.480000</valUSD>
        <pctVal>0.0059371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.12575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTER ADJUSTABLE RATE MTGE TR 2003-6</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 6 7A2</title>
        <cusip>576433GP5</cusip>
        <identifiers>
          <isin value="US576433GP50"/>
        </identifiers>
        <balance>4312.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4222.470000</valUSD>
        <pctVal>0.0000858</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.12499</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ADJ RATE MTGE TRUST 2007-HF2</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2</title>
        <cusip>57645TAB3</cusip>
        <identifiers>
          <isin value="US57645TAB35"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1711549.350000</valUSD>
        <pctVal>0.0347951</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>1.1915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MTGES TRU 2004-15</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 15 6A1</title>
        <cusip>576433VQ6</cusip>
        <identifiers>
          <isin value="US576433VQ68"/>
        </identifiers>
        <balance>320873.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>319086.800000</valUSD>
        <pctVal>0.0064869</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4215</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ADJUSTABLE RT MTGE TRUST 2005-6</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 4A1</title>
        <cusip>576433A55</cusip>
        <identifiers>
          <isin value="US576433A558"/>
        </identifiers>
        <balance>11386936.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8045425.380000</valUSD>
        <pctVal>0.1635604</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>Variable</couponKind>
          <annualizedRt>2.58692</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>MASTR ASSET BACKED SEC TR 2004-WMC3</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2004 WMC3 M1</title>
        <cusip>57643LFN1</cusip>
        <identifiers>
          <isin value="US57643LFN10"/>
        </identifiers>
        <balance>658613.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>652495.580000</valUSD>
        <pctVal>0.0132650</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>0.9165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2005-NC1</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2</title>
        <cusip>57643LGG5</cusip>
        <identifiers>
          <isin value="US57643LGG59"/>
        </identifiers>
        <balance>390636.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>385002.600000</valUSD>
        <pctVal>0.0078270</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-NC2</name>
        <lei>N/A</lei>
        <title>MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A1</title>
        <cusip>55275BAA5</cusip>
        <identifiers>
          <isin value="US55275BAA52"/>
        </identifiers>
        <balance>13650626.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9030963.890000</valUSD>
        <pctVal>0.1835960</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>0.3515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>1211 AVENUE OF THE AMERICAS TRUST 2015-1211</name>
        <lei>N/A</lei>
        <title>1211 AVENUE OF THE AMERICAS TR AOTA 2015 1211 A1A1 144A</title>
        <cusip>90117PAA3</cusip>
        <identifiers>
          <isin value="US90117PAA30"/>
        </identifiers>
        <balance>2600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2845167.520000</valUSD>
        <pctVal>0.0578411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9005</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MASTR SPECIALIZED LOAN TRUST 2007-2</name>
        <lei>N/A</lei>
        <title>MASTR SPECIALIZED LOAN TRUST MASD 2007 2 M1 144A</title>
        <cusip>55291QAB0</cusip>
        <identifiers>
          <isin value="US55291QAB05"/>
        </identifiers>
        <balance>262013.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35987.170000</valUSD>
        <pctVal>0.0007316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9415</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>510 ASSET BACKED 2021-NPL1 TRUST</name>
        <lei>N/A</lei>
        <title>510 ASSETS BACKED TRUST FTAB 2021 NPL1 A1 144A</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US33835CAA36"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2998228.110000</valUSD>
        <pctVal>0.0609528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2061-06-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.2395</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MELLON RESIDENTIAL FUNDING CO 2001-TBC1</name>
        <lei>N/A</lei>
        <title>MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1</title>
        <cusip>585525FC7</cusip>
        <identifiers>
          <isin value="US585525FC72"/>
        </identifiers>
        <balance>44314.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45131.510000</valUSD>
        <pctVal>0.0009175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.77288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH 1ST FRANKLIN MTG LN 2007-H</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH FIRST FRANKLIN M FFMER 2007 H1 2A1</title>
        <cusip>59025TAD5</cusip>
        <identifiers>
          <isin value="US59025TAD54"/>
        </identifiers>
        <balance>197048.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200029.460000</valUSD>
        <pctVal>0.0040665</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>Floating</couponKind>
          <annualizedRt>1.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVEST TR 2005-A6</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A6 M1</title>
        <cusip>59020UZL2</cusip>
        <identifiers>
          <isin value="US59020UZL24"/>
        </identifiers>
        <balance>12000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11777641.200000</valUSD>
        <pctVal>0.2394349</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>0.8115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVESTO-2006-RM4</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A</title>
        <cusip>59023QAB7</cusip>
        <identifiers>
          <isin value="US59023QAB77"/>
        </identifiers>
        <balance>95649.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55127.500000</valUSD>
        <pctVal>0.0011207</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>0.2515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MORTGAGE INVESTO-2006-RM5</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A</title>
        <cusip>59023FAA3</cusip>
        <identifiers>
          <isin value="US59023FAA30"/>
        </identifiers>
        <balance>308166.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133958.850000</valUSD>
        <pctVal>0.0027233</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>Floating</couponKind>
          <annualizedRt>0.2115</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>MERRILL LYNCH MORTGAGE INVS 2006-HE3</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE3 A2</title>
        <cusip>590212AB2</cusip>
        <identifiers>
          <isin value="US590212AB27"/>
        </identifiers>
        <balance>703050.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>268172.410000</valUSD>
        <pctVal>0.0054518</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>0.2715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MERRILL LYNCH MTGE INVESTORS 2003-A5</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A5 B1</title>
        <cusip>5899293Z9</cusip>
        <identifiers>
          <isin value="US5899293Z94"/>
        </identifiers>
        <balance>61384.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>817.510000</valUSD>
        <pctVal>0.0000166</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.90837</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>MF1 2020-FL4 LTD</name>
        <lei>N/A</lei>
        <title>MF1 MULTIFAMILY HOUSING MORTGA MF1 2020 FL4 A 144A</title>
        <cusip>58003UAA6</cusip>
        <identifiers>
          <isin value="US58003UAA60"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3532086.150000</valUSD>
        <pctVal>0.0718059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.82448</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MFA 2020-NQM2 TRUST</name>
        <lei>N/A</lei>
        <title>MFRA TRUST MFRA 2020 NQM2 A3 144A</title>
        <cusip>552751AC3</cusip>
        <identifiers>
          <isin value="US552751AC31"/>
        </identifiers>
        <balance>1528952.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1537449.330000</valUSD>
        <pctVal>0.0312557</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.947</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MFA LLC 2018-NPL1</name>
        <lei>N/A</lei>
        <title>MFRA TRUST MFRA 2021 NPL1 A1 144A</title>
        <cusip>55282YAA6</cusip>
        <identifiers>
          <isin value="US55282YAA64"/>
        </identifiers>
        <balance>3181307.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3184897.560000</valUSD>
        <pctVal>0.0647477</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.3633</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MID-STATE TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>MID STATE TRUST MDST 2004 1 A</title>
        <cusip>59560UAA9</cusip>
        <identifiers>
          <isin value="US59560UAA97"/>
        </identifiers>
        <balance>913680.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>966612.620000</valUSD>
        <pctVal>0.0196509</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.005</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MILL CITY MORTGAGE LOAN TRUST 2021-NMR1</name>
        <lei>N/A</lei>
        <title>MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M1 144A</title>
        <cusip>59982HAG5</cusip>
        <identifiers>
          <isin value="US59982HAG56"/>
        </identifiers>
        <balance>8550000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8517403.130000</valUSD>
        <pctVal>0.1731555</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.85</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MILL CITY MORTGAGE LOAN TRUST 2021-NMR1</name>
        <lei>N/A</lei>
        <title>MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M2 144A</title>
        <cusip>59982HAH3</cusip>
        <identifiers>
          <isin value="US59982HAH30"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3031111.200000</valUSD>
        <pctVal>0.0616213</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.5</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>MILL CITY MORTGAGE LOAN TRUST 2021-NMR1</name>
        <lei>N/A</lei>
        <title>MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 M3 144A</title>
        <cusip>59982HAL4</cusip>
        <identifiers>
          <isin value="US59982HAL42"/>
        </identifiers>
        <balance>2358000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2314108.900000</valUSD>
        <pctVal>0.0470449</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-11-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.5</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>AAMES MORTGAGE INVESTMENT TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4</title>
        <cusip>00252FCW9</cusip>
        <identifiers>
          <isin value="US00252FCW95"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1860062.950000</valUSD>
        <pctVal>0.0378144</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>1.0065</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MKS CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>MKS CLO LTD MKS 2017 1A AR 144A</title>
        <cusip>55317AAA7</cusip>
        <identifiers>
          <isin value="US55317AAA79"/>
        </identifiers>
        <balance>4400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4400003.040000</valUSD>
        <pctVal>0.0894503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</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>MLCC MORTGAGE INVESTORS INC 2005-1</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2</title>
        <cusip>59020UVJ1</cusip>
        <identifiers>
          <isin value="US59020UVJ14"/>
        </identifiers>
        <balance>12407.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12400.080000</valUSD>
        <pctVal>0.0002521</pctVal>
        <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>1.99076</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC MORTGAGE INVESTORS INC 2005-3</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2005 3 1A</title>
        <cusip>59020UL37</cusip>
        <identifiers>
          <isin value="US59020UL375"/>
        </identifiers>
        <balance>5196523.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5248162.910000</valUSD>
        <pctVal>0.1066931</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>2.65255</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC MORTGAGE INVESTORS INC. 2003-A</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2003 A 1A</title>
        <cusip>589929F94</cusip>
        <identifiers>
          <isin value="US589929F948"/>
        </identifiers>
        <balance>8071.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8096.280000</valUSD>
        <pctVal>0.0001646</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC MORTGAGE INVESTORS INC. 2003-D</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2003 D A</title>
        <cusip>589929V21</cusip>
        <identifiers>
          <isin value="US589929V218"/>
        </identifiers>
        <balance>5870.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5889.790000</valUSD>
        <pctVal>0.0001197</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MLCC MORTGAGE INVESTORS INC. 2003-F</name>
        <lei>N/A</lei>
        <title>MLCC MORTGAGE INVESTORS INC MLCC 2003 F A1</title>
        <cusip>5899292M9</cusip>
        <identifiers>
          <isin value="US5899292M90"/>
        </identifiers>
        <balance>53397.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53740.100000</valUSD>
        <pctVal>0.0010925</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7315</annualizedRt>
          <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 2004-SD1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2004 SD1 M2</title>
        <cusip>61744CBF2</cusip>
        <identifiers>
          <isin value="US61744CBF23"/>
        </identifiers>
        <balance>98642.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>98837.420000</valUSD>
        <pctVal>0.0020093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.4915</annualizedRt>
          <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 2006-HE1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 HE1 M1</title>
        <cusip>617451DS5</cusip>
        <identifiers>
          <isin value="US617451DS59"/>
        </identifiers>
        <balance>7117124.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6203640.420000</valUSD>
        <pctVal>0.1261176</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6465</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>MORGAN STANLEY ABS CAPITAL I 2006-NC3</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 M1</title>
        <cusip>61744CZE9</cusip>
        <identifiers>
          <isin value="US61744CZE91"/>
        </identifiers>
        <balance>19059173.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19126871.830000</valUSD>
        <pctVal>0.3888418</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5865</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>MORGAN STANLEY ABS CAPITAL I 2006-NC4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C</title>
        <cusip>61748LAD4</cusip>
        <identifiers>
          <isin value="US61748LAD47"/>
        </identifiers>
        <balance>616080.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>559927.990000</valUSD>
        <pctVal>0.0113831</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3915</annualizedRt>
          <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 2006-NC4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2D</title>
        <cusip>61748LAE2</cusip>
        <identifiers>
          <isin value="US61748LAE20"/>
        </identifiers>
        <balance>7757840.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7127995.030000</valUSD>
        <pctVal>0.1449094</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5715</annualizedRt>
          <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-HE2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A1 144A</title>
        <cusip>61753EAP5</cusip>
        <identifiers>
          <isin value="US61753EAP51"/>
        </identifiers>
        <balance>62267624.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32656921.720000</valUSD>
        <pctVal>0.6639025</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>0.2215</annualizedRt>
          <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 A2D</title>
        <cusip>61753KAE6</cusip>
        <identifiers>
          <isin value="US61753KAE64"/>
        </identifiers>
        <balance>23229420.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13009769.610000</valUSD>
        <pctVal>0.2644835</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>0.4315</annualizedRt>
          <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-HE6</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A1</title>
        <cusip>61755CAA0</cusip>
        <identifiers>
          <isin value="US61755CAA09"/>
        </identifiers>
        <balance>103336.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94051.360000</valUSD>
        <pctVal>0.0019120</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.1515</annualizedRt>
          <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-HE7</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 HE7 M2</title>
        <cusip>61756YAF0</cusip>
        <identifiers>
          <isin value="US61756YAF07"/>
        </identifiers>
        <balance>280845.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>326554.730000</valUSD>
        <pctVal>0.0066387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.0915</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>MORGAN STANLEY ABS CAPITAL I 2007-NC1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2007 NC1 A2B</title>
        <cusip>617505AC6</cusip>
        <identifiers>
          <isin value="US617505AC64"/>
        </identifiers>
        <balance>9079968.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5698887.060000</valUSD>
        <pctVal>0.1158562</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>0.1915</annualizedRt>
          <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 CAPITAL I TRUST 2019-H7</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL I TRUST MSC 2019 H7 A3</title>
        <cusip>61771MAV2</cusip>
        <identifiers>
          <isin value="US61771MAV28"/>
        </identifiers>
        <balance>8000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8362364.000000</valUSD>
        <pctVal>0.1700036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.005</annualizedRt>
          <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 CAPITAL I TRUST 2019-PLND</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A</title>
        <cusip>61691XAA1</cusip>
        <identifiers>
          <isin value="US61691XAA19"/>
        </identifiers>
        <balance>5347000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5326190.550000</valUSD>
        <pctVal>0.1082794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.073</annualizedRt>
          <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 CAPITAL INC 2005-HE7</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2005 HE7 M2</title>
        <cusip>61744CWM4</cusip>
        <identifiers>
          <isin value="US61744CWM45"/>
        </identifiers>
        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2257735.430000</valUSD>
        <pctVal>0.0458989</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>0.7515</annualizedRt>
          <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 CAPITAL INC 2006-HE2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2D</title>
        <cusip>617451EV7</cusip>
        <identifiers>
          <isin value="US617451EV79"/>
        </identifiers>
        <balance>7270791.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6573420.750000</valUSD>
        <pctVal>0.1336351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6315</annualizedRt>
          <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 DEAN WITT CAP I 2003-NC2</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY DEAN WITTER CAP MSDWC 2003 NC2 M1</title>
        <cusip>61746WA75</cusip>
        <identifiers>
          <isin value="US61746WA750"/>
        </identifiers>
        <balance>55480.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55712.030000</valUSD>
        <pctVal>0.0011326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.4415</annualizedRt>
          <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 DEAN WITTER CAPITAL I 2001-NC4</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY DEAN WITTER CAP MSDWC 2001 NC4 M2</title>
        <cusip>61746WLM0</cusip>
        <identifiers>
          <isin value="US61746WLM00"/>
        </identifiers>
        <balance>140020.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154720.890000</valUSD>
        <pctVal>0.0031454</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.5665</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>MORGAN STANLEY MORTGAGE LN TR-2006-14SL</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 14SL A1</title>
        <cusip>61749SAC0</cusip>
        <identifiers>
          <isin value="US61749SAC08"/>
        </identifiers>
        <balance>621766.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>129409.910000</valUSD>
        <pctVal>0.0026309</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>0.4115</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>MORGAN STANLEY MORTGAGE LN TR-2006-3AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 3AR 1A3</title>
        <cusip>61748HWP2</cusip>
        <identifiers>
          <isin value="US61748HWP27"/>
        </identifiers>
        <balance>1308142.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>985497.650000</valUSD>
        <pctVal>0.0200348</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3515</annualizedRt>
          <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 TRUST-2004-8AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2004 8AR 4A2</title>
        <cusip>61748HEG2</cusip>
        <identifiers>
          <isin value="US61748HEG20"/>
        </identifiers>
        <balance>37909.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38970.820000</valUSD>
        <pctVal>0.0007923</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>2.51478</annualizedRt>
          <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 TRUST-2006-13AX</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 13AX A3</title>
        <cusip>61750PAC2</cusip>
        <identifiers>
          <isin value="US61750PAC23"/>
        </identifiers>
        <balance>1415506.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>617639.970000</valUSD>
        <pctVal>0.0125564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6115</annualizedRt>
          <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 RESECURITIZATION TRUST 2014-R8</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY REREMIC TRUST MSRR 2014 R8 2B 144A</title>
        <cusip>61764KAD5</cusip>
        <identifiers>
          <isin value="US61764KAD54"/>
        </identifiers>
        <balance>15163584.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14157935.330000</valUSD>
        <pctVal>0.2878253</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-06-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.41163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MOTEL 6 TRUST 2017-MTL6</name>
        <lei>N/A</lei>
        <title>MOTEL 6 TRUST MOTEL 2017 MTL6 D 144A</title>
        <cusip>61975FAL3</cusip>
        <identifiers>
          <isin value="US61975FAL31"/>
        </identifiers>
        <balance>756874.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>759534.670000</valUSD>
        <pctVal>0.0154410</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.223</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MOUNTAIN VIEW CLO LLC 2017-1A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A</title>
        <cusip>62432HAJ9</cusip>
        <identifiers>
          <isin value="US62432HAJ95"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>999997.150000</valUSD>
        <pctVal>0.0203296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.27363</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MOUNTAIN VIEW CLO XIV LTD 2019-1A</name>
        <lei>N/A</lei>
        <title>MOUNTAIN VIEW CLO MVEW 2019 1A A1 144A</title>
        <cusip>62432MAA7</cusip>
        <identifiers>
          <isin value="US62432MAA71"/>
        </identifiers>
        <balance>5300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5306944.110000</valUSD>
        <pctVal>0.1078881</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.29793</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NASSAU LTD 2020-IA</name>
        <lei>N/A</lei>
        <title>NASSAU LTD NCC 2020 1A A1 144A</title>
        <cusip>631715AA7</cusip>
        <identifiers>
          <isin value="US631715AA71"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1001008.600000</valUSD>
        <pctVal>0.0203501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.33825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATIONSTAR HOME EQUITY LOAN TR 2007-A</name>
        <lei>N/A</lei>
        <title>NATIONSTAR HOME EQUITY LOAN TR NSTR 2007 A M2</title>
        <cusip>63860HAF6</cusip>
        <identifiers>
          <isin value="US63860HAF64"/>
        </identifiers>
        <balance>5632000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5305672.350000</valUSD>
        <pctVal>0.1078622</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>0.3715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACCREDITED MORTGAGE LOAN TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>ACCREDITED MORTGAGE LOAN TRUST ACCR 2005 1 M3</title>
        <cusip>004375CV1</cusip>
        <identifiers>
          <isin value="US004375CV18"/>
        </identifiers>
        <balance>1570110.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1570922.140000</valUSD>
        <pctVal>0.0319362</pctVal>
        <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>1.1715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACCREDITED MORTGAGE LOAN TRUST 2006-2</name>
        <lei>N/A</lei>
        <title>ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4</title>
        <cusip>00437NAD4</cusip>
        <identifiers>
          <isin value="US00437NAD49"/>
        </identifiers>
        <balance>224905.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>221750.420000</valUSD>
        <pctVal>0.0045081</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>0.3515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT PRIVATE EDUCATION LOAN TRUST 2016-A</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2016 AA A2A 144A</title>
        <cusip>63939NAB9</cusip>
        <identifiers>
          <isin value="US63939NAB91"/>
        </identifiers>
        <balance>4282029.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4522944.360000</valUSD>
        <pctVal>0.0919497</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.91</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-EA</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2020 EA A 144A</title>
        <cusip>63941TAA4</cusip>
        <identifiers>
          <isin value="US63941TAA43"/>
        </identifiers>
        <balance>2087243.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2122025.300000</valUSD>
        <pctVal>0.0431399</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.69</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2020-HA</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2020 HA A 144A</title>
        <cusip>63935BAA1</cusip>
        <identifiers>
          <isin value="US63935BAA17"/>
        </identifiers>
        <balance>3872693.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3901746.150000</valUSD>
        <pctVal>0.0793210</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.31</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>NAVIENT STUDENT LOAN TRUST 2014-AA</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2014 AA A2A 144A</title>
        <cusip>63939CAB3</cusip>
        <identifiers>
          <isin value="US63939CAB37"/>
        </identifiers>
        <balance>447681.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>455210.010000</valUSD>
        <pctVal>0.0092542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.74</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT STUDENT LOAN TRUST 2015-AA</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2015 AA A2A 144A</title>
        <cusip>63939EAB9</cusip>
        <identifiers>
          <isin value="US63939EAB92"/>
        </identifiers>
        <balance>1915517.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1950889.470000</valUSD>
        <pctVal>0.0396608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.65</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT STUDENT LOAN TRUST 2017-2</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2017 2A A 144A</title>
        <cusip>63939RAA2</cusip>
        <identifiers>
          <isin value="US63939RAA23"/>
        </identifiers>
        <balance>9922139.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10098884.020000</valUSD>
        <pctVal>0.2053064</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2066-12-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT STUDENT LOAN TRUST 2018-2A</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2018 2A A2 144A</title>
        <cusip>63941DAB7</cusip>
        <identifiers>
          <isin value="US63941DAB73"/>
        </identifiers>
        <balance>12331465.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12332807.190000</valUSD>
        <pctVal>0.2507212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2067-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT STUDENT LOAN TRUST 2020-IA</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A</title>
        <cusip>63942AAA4</cusip>
        <identifiers>
          <isin value="US63942AAA43"/>
        </identifiers>
        <balance>862294.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>861501.820000</valUSD>
        <pctVal>0.0175140</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.33</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NAVIENT STUDENT LOAN TRUST 2020-IA</name>
        <lei>N/A</lei>
        <title>NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1B 144A</title>
        <cusip>63942AAB2</cusip>
        <identifiers>
          <isin value="US63942AAB26"/>
        </identifiers>
        <balance>3104258.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3128411.420000</valUSD>
        <pctVal>0.0635994</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07288</annualizedRt>
          <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 2003-OP1</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2003 OP1 M1</title>
        <cusip>004427BM1</cusip>
        <identifiers>
          <isin value="US004427BM18"/>
        </identifiers>
        <balance>321809.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>320923.660000</valUSD>
        <pctVal>0.0065243</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NELNET STUDENT LOAN TRUST 2016-1A</name>
        <lei>N/A</lei>
        <title>NELNET STUDENT LOAN TRUST NSLT 2016 1A A 144A</title>
        <cusip>64033UAA8</cusip>
        <identifiers>
          <isin value="US64033UAA88"/>
        </identifiers>
        <balance>16628168.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16624026.420000</valUSD>
        <pctVal>0.3379600</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NELNET STUDENT LOAN TRUST 2019-2</name>
        <lei>N/A</lei>
        <title>NELNET STUDENT LOAN TRUST NSLT 2019 2A A 144A</title>
        <cusip>64034NAA3</cusip>
        <identifiers>
          <isin value="US64034NAA37"/>
        </identifiers>
        <balance>34651056.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35204666.490000</valUSD>
        <pctVal>0.7156971</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2067-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <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 CENTURY HOME EQUITY LN TRUST 2005-D</name>
        <lei>N/A</lei>
        <title>NEW CENTURY HOME EQUITY LOAN T NCHET 2005 D M1</title>
        <cusip>64352VPQ8</cusip>
        <identifiers>
          <isin value="US64352VPQ85"/>
        </identifiers>
        <balance>8977999.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8733704.110000</valUSD>
        <pctVal>0.1775528</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>0.7665</annualizedRt>
          <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 CENTURY HOME EQUITY LOAN TR 2006-1</name>
        <lei>N/A</lei>
        <title>NEW CENTURY HOME EQUITY LOAN T NCHET 2006 1 A2B</title>
        <cusip>64352VQR5</cusip>
        <identifiers>
          <isin value="US64352VQR59"/>
        </identifiers>
        <balance>180107.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>175575.270000</valUSD>
        <pctVal>0.0035694</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2715</annualizedRt>
          <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 2004-RM1</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2004 RM1 M1</title>
        <cusip>004421FS7</cusip>
        <identifiers>
          <isin value="US004421FS71"/>
        </identifiers>
        <balance>46462.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46506.290000</valUSD>
        <pctVal>0.0009455</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1415</annualizedRt>
          <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"/>
        </identifiers>
        <balance>675582.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>733576.280000</valUSD>
        <pctVal>0.0149133</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1</name>
        <lei>N/A</lei>
        <title>NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A</title>
        <cusip>64829VAA4</cusip>
        <identifiers>
          <isin value="US64829VAA44"/>
        </identifiers>
        <balance>725238.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>754106.240000</valUSD>
        <pctVal>0.0153307</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
        </identifiers>
        <balance>33100646.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34541762.560000</valUSD>
        <pctVal>0.7022206</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>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEWCASTLE MTGE SECURITIES TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>NEWCASTLE MORTGAGE SECURITIES NCMT 2006 1 M3</title>
        <cusip>65106AAQ6</cusip>
        <identifiers>
          <isin value="US65106AAQ67"/>
        </identifiers>
        <balance>17853000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17765888.070000</valUSD>
        <pctVal>0.3611736</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6765</annualizedRt>
          <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 2007-HE3</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2007 HE3 A1</title>
        <cusip>00442GAA8</cusip>
        <identifiers>
          <isin value="US00442GAA85"/>
        </identifiers>
        <balance>22133347.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7559879.400000</valUSD>
        <pctVal>0.1536894</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>0.5315</annualizedRt>
          <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 2007-HE4</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2007 HE4 A1</title>
        <cusip>00442LAA7</cusip>
        <identifiers>
          <isin value="US00442LAA70"/>
        </identifiers>
        <balance>63099274.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15680466.300000</valUSD>
        <pctVal>0.3187778</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOMURA ASSET ACCEPTANCE CORP 2004-AP3</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 AP3 M1</title>
        <cusip>65535VGB8</cusip>
        <identifiers>
          <isin value="US65535VGB80"/>
        </identifiers>
        <balance>6871000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7094183.130000</valUSD>
        <pctVal>0.1442220</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>Variable</couponKind>
          <annualizedRt>5.754</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>NOMURA ASSET ACCEPTANCE CORP 2004-R1</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2004 R1 A2 144A</title>
        <cusip>62951MAB6</cusip>
        <identifiers>
          <isin value="US62951MAB63"/>
        </identifiers>
        <balance>444697.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>458089.270000</valUSD>
        <pctVal>0.0093128</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</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>NOMURA ASSET ACCEPTANCE CORP 2006-S1</name>
        <lei>N/A</lei>
        <title>NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 S1 A2 144A</title>
        <cusip>65535VTP3</cusip>
        <identifiers>
          <isin value="US65535VTP30"/>
        </identifiers>
        <balance>13019.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108714.680000</valUSD>
        <pctVal>0.0022101</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7115</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>NOMURA HOME EQUITY LOAN INC 2006-HE2</name>
        <lei>N/A</lei>
        <title>NOMURA HOME EQUITY LOAN INC NHELI 2006 HE2 M1</title>
        <cusip>65536MAE7</cusip>
        <identifiers>
          <isin value="US65536MAE75"/>
        </identifiers>
        <balance>7620027.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7353246.810000</valUSD>
        <pctVal>0.1494886</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4215</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NORTH CAROLINA STATE EDUCATION AUTHORITY 2011-2</name>
        <lei>N/A</lei>
        <title>NORTH CAROLINA STATE EDUCATION NCSEA 2011 2 A3</title>
        <cusip>658262GD6</cusip>
        <identifiers>
          <isin value="US658262GD64"/>
        </identifiers>
        <balance>4400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4409144.520000</valUSD>
        <pctVal>0.0896362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.97575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NORTH TEXAS HIGHER EDUCATION AUTHORITY 2011-1</name>
        <lei>N/A</lei>
        <title>N TEXAS ST HGR EDU AUTH NRTSTD 04/40 FLOATING VAR</title>
        <cusip>662826FD3</cusip>
        <identifiers>
          <isin value="US662826FD33"/>
        </identifiers>
        <balance>342747.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>345428.980000</valUSD>
        <pctVal>0.0070224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-04-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.30163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2003-1</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2003 1 A2</title>
        <cusip>66987XCE3</cusip>
        <identifiers>
          <isin value="US66987XCE31"/>
        </identifiers>
        <balance>951.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>947.430000</valUSD>
        <pctVal>0.0000193</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>0.8715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2005-3</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2005 3 M3</title>
        <cusip>66987XGZ2</cusip>
        <identifiers>
          <isin value="US66987XGZ24"/>
        </identifiers>
        <balance>25000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24259837.500000</valUSD>
        <pctVal>0.4931930</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8265</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2007-1</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A2A1</title>
        <cusip>669971AB9</cusip>
        <identifiers>
          <isin value="US669971AB95"/>
        </identifiers>
        <balance>11791.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5715.530000</valUSD>
        <pctVal>0.0001162</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>0.1915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OAK HILL CREDIT PARTNERS 2019-3A</name>
        <lei>N/A</lei>
        <title>OAK HILL CREDIT PARTNERS OAKC 2019 3A A1 144A</title>
        <cusip>67112RAC8</cusip>
        <identifiers>
          <isin value="US67112RAC88"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1001385.230000</valUSD>
        <pctVal>0.0203578</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.50825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OAKCL-2014-1A</name>
        <lei>N/A</lei>
        <title>OAKTREE CLO LTD OAKCL 2014 1A A1R 144A</title>
        <cusip>674000AN4</cusip>
        <identifiers>
          <isin value="US674000AN47"/>
        </identifiers>
        <balance>9734597.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9749801.050000</valUSD>
        <pctVal>0.1982097</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.45025</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OCEAN TRAILS CLO VI 2016-6A</name>
        <lei>N/A</lei>
        <title>OCEAN TRAILS CLO OCTR 2016 6A ARR 144A</title>
        <cusip>67515UAU4</cusip>
        <identifiers>
          <isin value="US67515UAU43"/>
        </identifiers>
        <balance>4496869.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4493688.230000</valUSD>
        <pctVal>0.0913549</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.98375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OCP CLO LTD 2015-10A</name>
        <lei>N/A</lei>
        <title>OCP CLO LTD OCP 2015 10A A1R 144A</title>
        <cusip>67092DAL3</cusip>
        <identifiers>
          <isin value="US67092DAL38"/>
        </identifiers>
        <balance>3227711.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3228517.930000</valUSD>
        <pctVal>0.0656345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.99575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADJUSTABLE RATE MORTAGE TRUST 2005-8</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 8 7A2</title>
        <cusip>007036QT6</cusip>
        <identifiers>
          <isin value="US007036QT69"/>
        </identifiers>
        <balance>750668.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>743806.190000</valUSD>
        <pctVal>0.0151213</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>0.6515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADJUSTABLE RATE MORTAGE TRUST 2005-9</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 9 5A1</title>
        <cusip>007036SE7</cusip>
        <identifiers>
          <isin value="US007036SE72"/>
        </identifiers>
        <balance>389991.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393645.160000</valUSD>
        <pctVal>0.0080027</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>0.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ONE NEW YORK PLAZA TRUST 2020-1NYP</name>
        <lei>N/A</lei>
        <title>ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A</title>
        <cusip>68249DAA7</cusip>
        <identifiers>
          <isin value="US68249DAA72"/>
        </identifiers>
        <balance>9700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9775943.240000</valUSD>
        <pctVal>0.1987411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.023</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADJUSTABLE RATE MORTAGE TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 3 4A33</title>
        <cusip>00703QAH5</cusip>
        <identifiers>
          <isin value="US00703QAH56"/>
        </identifiers>
        <balance>35700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17288096.280000</valUSD>
        <pctVal>0.3514603</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>0.6515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ONEMAIN FINANCIAL ISSUANCE TRUST 2018-1A</name>
        <lei>N/A</lei>
        <title>ONEMAIN FINANCIAL ISSUANCE TRU OMFIT 2018 1A A 144A</title>
        <cusip>68267BAA8</cusip>
        <identifiers>
          <isin value="US68267BAA89"/>
        </identifiers>
        <balance>710718.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>713165.070000</valUSD>
        <pctVal>0.0144984</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.3</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>OPTION ONE MORTGAGE LOAN 2000-5</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2000 5 A</title>
        <cusip>68389FBH6</cusip>
        <identifiers>
          <isin value="US68389FBH64"/>
        </identifiers>
        <balance>1746.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1733.940000</valUSD>
        <pctVal>0.0000353</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.59338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <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"/>
        </identifiers>
        <balance>575816.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>574122.050000</valUSD>
        <pctVal>0.0116717</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>0.8715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2004-2</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2004 2 M1</title>
        <cusip>68389FFG4</cusip>
        <identifiers>
          <isin value="US68389FFG46"/>
        </identifiers>
        <balance>13203.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13123.690000</valUSD>
        <pctVal>0.0002668</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8865</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ADJUSTABLE RATE MTGE TRUST 2004-5</name>
        <lei>N/A</lei>
        <title>ADJUSTABLE RATE MORTGAGE TRUST ARMT 2004 5 3A1</title>
        <cusip>007036EQ5</cusip>
        <identifiers>
          <isin value="US007036EQ58"/>
        </identifiers>
        <balance>1310.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1310.650000</valUSD>
        <pctVal>0.0000266</pctVal>
        <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>Variable</couponKind>
          <annualizedRt>2.59532</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OZLM FUNDING LTD 2012-1A</name>
        <lei>N/A</lei>
        <title>OZLM FUNDING LTD OZLMF 2012 1A A1R3 144A</title>
        <cusip>67107UBC7</cusip>
        <identifiers>
          <isin value="US67107UBC71"/>
        </identifiers>
        <balance>5700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5700248.120000</valUSD>
        <pctVal>0.1158838</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.15375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>OZLM XVI LTD 2017-16A</name>
        <lei>N/A</lei>
        <title>OZLM LTD OZLM 2017 16A A1R 144A</title>
        <cusip>67111KAJ9</cusip>
        <identifiers>
          <isin value="US67111KAJ97"/>
        </identifiers>
        <balance>8900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8897797.340000</valUSD>
        <pctVal>0.1808887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.18588</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PALMER SQUARE LOAN FUNDING 2020-1 LTD</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE LOAN FUNDING LTD PSTAT 2020 1A A1 144A</title>
        <cusip>69701EAA4</cusip>
        <identifiers>
          <isin value="US69701EAA47"/>
        </identifiers>
        <balance>1336815.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1337483.740000</valUSD>
        <pctVal>0.0271905</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95525</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PALMER SQUARE LOAN FUNDING LTD 2018-5A</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE LOAN FUNDING LTD PSTAT 2018 5A A1 144A</title>
        <cusip>69700PAA0</cusip>
        <identifiers>
          <isin value="US69700PAA03"/>
        </identifiers>
        <balance>524595.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>524812.400000</valUSD>
        <pctVal>0.0106692</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.03825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PALMER SQUARE LOAN FUNDING LTD 2019-3A</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE LOAN FUNDING LTD PSTAT 2019 3A A1 144A</title>
        <cusip>69689LAA4</cusip>
        <identifiers>
          <isin value="US69689LAA44"/>
        </identifiers>
        <balance>1098120.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1098562.860000</valUSD>
        <pctVal>0.0223334</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.00525</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PALMER SQUARE LOAN FUNDING LTD 2019-4A</name>
        <lei>N/A</lei>
        <title>PALMER SQUARE LOAN FUNDING LTD PSTAT 2019 4A A1 144A</title>
        <cusip>69689HAA3</cusip>
        <identifiers>
          <isin value="US69689HAA32"/>
        </identifiers>
        <balance>3918246.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3920722.730000</valUSD>
        <pctVal>0.0797068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PARK PLACE SECURITIES INC 2004-WCW2</name>
        <lei>N/A</lei>
        <title>PARK PLACE SECURITIES INC PPSI 2004 WCW2 M2</title>
        <cusip>70069FAY3</cusip>
        <identifiers>
          <isin value="US70069FAY34"/>
        </identifiers>
        <balance>46750.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47454.260000</valUSD>
        <pctVal>0.0009647</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>1.0665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PARK PLACE SECURITIES INC 2004-WCW2</name>
        <lei>N/A</lei>
        <title>PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3</title>
        <cusip>70069FAZ0</cusip>
        <identifiers>
          <isin value="US70069FAZ09"/>
        </identifiers>
        <balance>11119000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11121915.400000</valUSD>
        <pctVal>0.2261042</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>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PARK PLACE SECURITIES INC 2005-WLL1</name>
        <lei>N/A</lei>
        <title>PARK PLACE SECURITIES INC PPSI 2005 WLL1 M3</title>
        <cusip>70069FGY7</cusip>
        <identifiers>
          <isin value="US70069FGY79"/>
        </identifiers>
        <balance>77636.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78766.700000</valUSD>
        <pctVal>0.0016013</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>0.8265</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AFC HOME EQUITY LOAN TR 1998-2</name>
        <lei>N/A</lei>
        <title>AFC HOME EQUITY LOAN TRUST AFC 1998 2 1A</title>
        <cusip>00105HDM5</cusip>
        <identifiers>
          <isin value="US00105HDM51"/>
        </identifiers>
        <balance>205812.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>202450.000000</valUSD>
        <pctVal>0.0041157</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AFC HOME EQUITY TRUST 1998-1</name>
        <lei>N/A</lei>
        <title>AFC HOME EQUITY LOAN TRUST AFC 1998 1 1A2</title>
        <cusip>00105HDJ2</cusip>
        <identifiers>
          <isin value="US00105HDJ23"/>
        </identifiers>
        <balance>10602.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10580.410000</valUSD>
        <pctVal>0.0002151</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AFFIRM ASSET SECURITIZATION TRUST 2021-A</name>
        <lei>N/A</lei>
        <title>AFFIRM INC AFFRM 2021 A A 144A</title>
        <cusip>00833MAA2</cusip>
        <identifiers>
          <isin value="US00833MAA27"/>
        </identifiers>
        <balance>33600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33659404.800000</valUSD>
        <pctVal>0.6842826</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.88</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>POPULAR ABS MTGE PASS THRU TRUST 2005-6</name>
        <lei>N/A</lei>
        <title>POPULAR ABS MORTGAGE PASS THRO POPLR 2005 6 A5</title>
        <cusip>73316PJF8</cusip>
        <identifiers>
          <isin value="US73316PJF80"/>
        </identifiers>
        <balance>208000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>198687.070000</valUSD>
        <pctVal>0.0040392</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.085</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>PREFERRED TERM SECURITIES X LTD / PREFERRED TERM SECURITIES X INC</name>
        <lei>N/A</lei>
        <title>PREFERRED TERM SECS X SR SECURED 144A 07/33 VAR</title>
        <cusip>74040YAB8</cusip>
        <identifiers>
          <isin value="US74040YAB83"/>
        </identifiers>
        <balance>1429519.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1400929.250000</valUSD>
        <pctVal>0.0284803</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.006</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PREFERRED TERM SECURITIES XXI LTD / PREFERRED TERM SECURITIES XXI INC</name>
        <lei>N/A</lei>
        <title>PREFERRED TERM SECS XXI SECURED 144A 03/38 VAR</title>
        <cusip>74042JAA1</cusip>
        <identifiers>
          <isin value="US74042JAA16"/>
        </identifiers>
        <balance>20422116.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18482015.610000</valUSD>
        <pctVal>0.3757322</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.46888</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL1 LLC</name>
        <lei>N/A</lei>
        <title>PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL1 A1 144A</title>
        <cusip>741389AA8</cusip>
        <identifiers>
          <isin value="US741389AA81"/>
        </identifiers>
        <balance>1597116.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1598360.680000</valUSD>
        <pctVal>0.0324940</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-09-27</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.2395</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RAAC SERIES 2005-SP3</name>
        <lei>N/A</lei>
        <title>RAAC SERIES RAAC 2005 SP3 M4</title>
        <cusip>76112BS84</cusip>
        <identifiers>
          <isin value="US76112BS846"/>
        </identifiers>
        <balance>1447000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1482662.470000</valUSD>
        <pctVal>0.0301419</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <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"/>
        </identifiers>
        <balance>2628307.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2618023.140000</valUSD>
        <pctVal>0.0532234</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>0.6015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RAAC SERIES 2007-SP3</name>
        <lei>N/A</lei>
        <title>RAAC SERIES RAAC 2007 SP3 A1</title>
        <cusip>74978FAA7</cusip>
        <identifiers>
          <isin value="US74978FAA75"/>
        </identifiers>
        <balance>1254512.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1259032.440000</valUSD>
        <pctVal>0.0255956</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.29163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RAMP SERIES TRUST2006-EFC1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 EFC1 M2</title>
        <cusip>76112BV80</cusip>
        <identifiers>
          <isin value="US76112BV808"/>
        </identifiers>
        <balance>4438038.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4401448.250000</valUSD>
        <pctVal>0.0894797</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>0.6915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>READY CAPTIAL MORTGAGE FINANCING LLC 2019-FL3</name>
        <lei>N/A</lei>
        <title>READYCAP COMMERCIAL MORTGAGE T RCMT 2019 FL3 A 144A</title>
        <cusip>75574XAA3</cusip>
        <identifiers>
          <isin value="US75574XAA37"/>
        </identifiers>
        <balance>7380452.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7363078.400000</valUSD>
        <pctVal>0.1496885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RENAISSANCE HOME EQ LN TRUST 2002-4</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2002 4 A</title>
        <cusip>759950AL2</cusip>
        <identifiers>
          <isin value="US759950AL22"/>
        </identifiers>
        <balance>11438.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11451.940000</valUSD>
        <pctVal>0.0002328</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RENAISSANCE HOME EQUITY LN TR 2005-2</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2005 2 AF4</title>
        <cusip>75970NAL1</cusip>
        <identifiers>
          <isin value="US75970NAL10"/>
        </identifiers>
        <balance>55920.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57919.490000</valUSD>
        <pctVal>0.0011775</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>Variable</couponKind>
          <annualizedRt>4.934</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RENAISSANCE HOME EQUITY LOAN TR 2007-3</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1</title>
        <cusip>75971FAD5</cusip>
        <identifiers>
          <isin value="US75971FAD50"/>
        </identifiers>
        <balance>642742.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>328402.240000</valUSD>
        <pctVal>0.0066763</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>1.1915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RENAISSANCE HOME EQUITY LOAN TRUST 2002-2</name>
        <lei>N/A</lei>
        <title>RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1</title>
        <cusip>759950AH1</cusip>
        <identifiers>
          <isin value="US759950AH10"/>
        </identifiers>
        <balance>689039.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>690403.910000</valUSD>
        <pctVal>0.0140356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2915</annualizedRt>
          <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 2004-QA4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 NB21</title>
        <cusip>76110HZH5</cusip>
        <identifiers>
          <isin value="US76110HZH55"/>
        </identifiers>
        <balance>4964.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5138.680000</valUSD>
        <pctVal>0.0001045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.21616</annualizedRt>
          <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-QS-17</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A9</title>
        <cusip>761118PY8</cusip>
        <identifiers>
          <isin value="US761118PY82"/>
        </identifiers>
        <balance>4373919.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4418524.110000</valUSD>
        <pctVal>0.0898269</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>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 ACCREDIT LOANS 2006-QA9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA9 A1</title>
        <cusip>75115VAA3</cusip>
        <identifiers>
          <isin value="US75115VAA35"/>
        </identifiers>
        <balance>8571327.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6295488.440000</valUSD>
        <pctVal>0.1279848</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>0.4515</annualizedRt>
          <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 2006-QO4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO4 2A1</title>
        <cusip>75114GAC3</cusip>
        <identifiers>
          <isin value="US75114GAC33"/>
        </identifiers>
        <balance>1506453.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1402617.520000</valUSD>
        <pctVal>0.0285147</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4715</annualizedRt>
          <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 2006-QO8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO8 1A3A</title>
        <cusip>75115FAD2</cusip>
        <identifiers>
          <isin value="US75115FAD24"/>
        </identifiers>
        <balance>11329532.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11157437.060000</valUSD>
        <pctVal>0.2268263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4915</annualizedRt>
          <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 2007-QH5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH5 AI1</title>
        <cusip>75116EAA0</cusip>
        <identifiers>
          <isin value="US75116EAA01"/>
        </identifiers>
        <balance>169523.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166028.330000</valUSD>
        <pctVal>0.0033753</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>0.3015</annualizedRt>
          <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 2007-QH8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A</title>
        <cusip>74924EAA5</cusip>
        <identifiers>
          <isin value="US74924EAA55"/>
        </identifiers>
        <balance>1131309.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1090920.500000</valUSD>
        <pctVal>0.0221780</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>1.02282</annualizedRt>
          <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 2006-QS15</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS15 A5</title>
        <cusip>74922YAE5</cusip>
        <identifiers>
          <isin value="US74922YAE59"/>
        </identifiers>
        <balance>1852937.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1845590.140000</valUSD>
        <pctVal>0.0375201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 PROD 2006-NC2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 NC2 M1</title>
        <cusip>75156TAD2</cusip>
        <identifiers>
          <isin value="US75156TAD28"/>
        </identifiers>
        <balance>13559332.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13084854.360000</valUSD>
        <pctVal>0.2660100</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>0.6315</annualizedRt>
          <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 MORTGAGE PRODUCTS INC 2006-RS3</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS3 A4</title>
        <cusip>75156VAD7</cusip>
        <identifiers>
          <isin value="US75156VAD73"/>
        </identifiers>
        <balance>16999478.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16333043.070000</valUSD>
        <pctVal>0.3320444</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6915</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 MTGE PROD 2005-RS8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS8 M3</title>
        <cusip>76112BZL7</cusip>
        <identifiers>
          <isin value="US76112BZL79"/>
        </identifiers>
        <balance>2450000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2373784.670000</valUSD>
        <pctVal>0.0482581</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>0.8715</annualizedRt>
          <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 CORP 2003-KS4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB</title>
        <cusip>76110WRT5</cusip>
        <identifiers>
          <isin value="US76110WRT52"/>
        </identifiers>
        <balance>656006.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>612771.660000</valUSD>
        <pctVal>0.0124574</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6715</annualizedRt>
          <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 CORP 2007-KS1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2007 KS1 A3</title>
        <cusip>74924SAC0</cusip>
        <identifiers>
          <isin value="US74924SAC08"/>
        </identifiers>
        <balance>1579682.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1569577.640000</valUSD>
        <pctVal>0.0319089</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>0.2415</annualizedRt>
          <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 CORP 2007-KS3</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2007 KS3 AI3</title>
        <cusip>74924YAC7</cusip>
        <identifiers>
          <isin value="US74924YAC75"/>
        </identifiers>
        <balance>2844218.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2838294.560000</valUSD>
        <pctVal>0.0577014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <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>0.3415</annualizedRt>
          <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 CORP 2007-KS4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A3</title>
        <cusip>74924NAC1</cusip>
        <identifiers>
          <isin value="US74924NAC11"/>
        </identifiers>
        <balance>358224.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>358128.710000</valUSD>
        <pctVal>0.0072806</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3615</annualizedRt>
          <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 2005-A4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2005 A4 A1</title>
        <cusip>45660LHD4</cusip>
        <identifiers>
          <isin value="US45660LHD47"/>
        </identifiers>
        <balance>635390.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>396560.980000</valUSD>
        <pctVal>0.0080619</pctVal>
        <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>0.5415</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 SEC TRUST 2006-A8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 1A4</title>
        <cusip>761119AD8</cusip>
        <identifiers>
          <isin value="US761119AD83"/>
        </identifiers>
        <balance>1949935.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1637588.520000</valUSD>
        <pctVal>0.0332915</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>Fixed</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>RESIDENTIAL ASSET SEC TRUST 2007-A2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2007 A2 2A2</title>
        <cusip>761120AL8</cusip>
        <identifiers>
          <isin value="US761120AL80"/>
        </identifiers>
        <balance>4333662.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1852507.660000</valUSD>
        <pctVal>0.0376608</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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 SECUR TR 2003-A15</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIZATI RAST 2003 A15 1A2</title>
        <cusip>45660NWT8</cusip>
        <identifiers>
          <isin value="US45660NWT89"/>
        </identifiers>
        <balance>23469.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21718.350000</valUSD>
        <pctVal>0.0004415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5415</annualizedRt>
          <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-EMX2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX2 M7</title>
        <cusip>76110W2N5</cusip>
        <identifiers>
          <isin value="US76110W2N51"/>
        </identifiers>
        <balance>1644694.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1638586.040000</valUSD>
        <pctVal>0.0333118</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>2.0115</annualizedRt>
          <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-KS2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2005 KS2 M1</title>
        <cusip>76110WN69</cusip>
        <identifiers>
          <isin value="US76110WN698"/>
        </identifiers>
        <balance>589655.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>587325.980000</valUSD>
        <pctVal>0.0119401</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>0.7365</annualizedRt>
          <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-EMX1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX1 M2</title>
        <cusip>75405KAE8</cusip>
        <identifiers>
          <isin value="US75405KAE82"/>
        </identifiers>
        <balance>15400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14184488.780000</valUSD>
        <pctVal>0.2883651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7365</annualizedRt>
          <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-KS5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET SECURITIES C RASC 2006 KS5 A4</title>
        <cusip>75406VAD5</cusip>
        <identifiers>
          <isin value="US75406VAD55"/>
        </identifiers>
        <balance>5093871.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5071576.540000</valUSD>
        <pctVal>0.1031032</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>0.3515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL FUNDING MTG SEC I 2003-S9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2003 S9 A1</title>
        <cusip>76111JZ72</cusip>
        <identifiers>
          <isin value="US76111JZ721"/>
        </identifiers>
        <balance>271.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>282.360000</valUSD>
        <pctVal>0.0000057</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</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>RESIDENTIAL FUNDING MTG SEC I 2006-SA1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2006 SA1 2A1</title>
        <cusip>76111XG98</cusip>
        <identifiers>
          <isin value="US76111XG987"/>
        </identifiers>
        <balance>47604.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42730.760000</valUSD>
        <pctVal>0.0008687</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>4.7537</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 FUNDING MTGE SEC 2005-SA2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA2 3A2</title>
        <cusip>76111XVJ9</cusip>
        <identifiers>
          <isin value="US76111XVJ98"/>
        </identifiers>
        <balance>45981.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46162.420000</valUSD>
        <pctVal>0.0009385</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>2.92976</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL FUNDING MTGE SEC 2005-SA4</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 2A1</title>
        <cusip>76111XYH0</cusip>
        <identifiers>
          <isin value="US76111XYH06"/>
        </identifiers>
        <balance>6687650.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5148654.950000</valUSD>
        <pctVal>0.1046701</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>3.29066</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>RESIMAC BASTILLE TRUST SERIES 2019-1NC</name>
        <lei>N/A</lei>
        <title>RESIMAC RESI 2019 1NCA A1 144A</title>
        <cusip>76119UAA9</cusip>
        <identifiers>
          <isin value="US76119UAA97"/>
        </identifiers>
        <balance>1311310.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1315348.910000</valUSD>
        <pctVal>0.0267405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-09-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0325</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RIVERVIEW HECM TRUST-2007-1</name>
        <lei>N/A</lei>
        <title>RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A</title>
        <cusip>769422AA4</cusip>
        <identifiers>
          <isin value="US769422AA40"/>
        </identifiers>
        <balance>14648783.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13536198.420000</valUSD>
        <pctVal>0.2751856</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.58</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RR 7 LTD 2019-7A</name>
        <lei>N/A</lei>
        <title>RR LTD RRAM 2019 7A A1A 144A</title>
        <cusip>74980EAC2</cusip>
        <identifiers>
          <isin value="US74980EAC21"/>
        </identifiers>
        <balance>6800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6821781.620000</valUSD>
        <pctVal>0.1386842</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.53375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SACO I INC 1997-2</name>
        <lei>N/A</lei>
        <title>SACO I TRUST SACO 1997 2 1A5 144A</title>
        <cusip>073919AK8</cusip>
        <identifiers>
          <isin value="US073919AK86"/>
        </identifiers>
        <balance>3748.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3783.720000</valUSD>
        <pctVal>0.0000769</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>Fixed</couponKind>
          <annualizedRt>7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SACO I INC 2005-3</name>
        <lei>N/A</lei>
        <title>SACO I TRUST SACO 2005 3 M1 144A</title>
        <cusip>785778EV9</cusip>
        <identifiers>
          <isin value="US785778EV96"/>
        </identifiers>
        <balance>52918.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49259.380000</valUSD>
        <pctVal>0.0010014</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>0.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SACO I TRUST 2005-10</name>
        <lei>N/A</lei>
        <title>SACO I TRUST SACO 2005 10 1A</title>
        <cusip>785778ND9</cusip>
        <identifiers>
          <isin value="US785778ND97"/>
        </identifiers>
        <balance>36485.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35485.220000</valUSD>
        <pctVal>0.0007214</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6115</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>SACO I TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>SACO I TRUST SACO 2006 5 2A3</title>
        <cusip>785811AD2</cusip>
        <identifiers>
          <isin value="US785811AD26"/>
        </identifiers>
        <balance>240537.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>236417.960000</valUSD>
        <pctVal>0.0048063</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SALOMON BROMTGE SEC VII 2003-HYB1</name>
        <lei>N/A</lei>
        <title>SALOMON BROTHERS MORTGAGE SECU SBM7 2003 HYB1 A</title>
        <cusip>79549AYG8</cusip>
        <identifiers>
          <isin value="US79549AYG83"/>
        </identifiers>
        <balance>968.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1012.570000</valUSD>
        <pctVal>0.0000206</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.58739</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SALOMON BROTHERS MTGE SEC VII 2002-1</name>
        <lei>N/A</lei>
        <title>SALOMON BROTHERS MORTGAGE SECU SBM7 2002 1 A1 144A</title>
        <cusip>79549AQP7</cusip>
        <identifiers>
          <isin value="US79549AQP74"/>
        </identifiers>
        <balance>23531.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22285.790000</valUSD>
        <pctVal>0.0004531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SALOMON BROTHERS MTGE SEC VII 2002-1</name>
        <lei>N/A</lei>
        <title>SALOMON BROTHERS MORTGAGE SECU SBM7 2002 1 A3 144A</title>
        <cusip>79549AQR3</cusip>
        <identifiers>
          <isin value="US79549AQR31"/>
        </identifiers>
        <balance>88001.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72780.990000</valUSD>
        <pctVal>0.0014796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.5</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>SANTANDER DRIVE AUTO RECEIVABLES TRUST 2019-3</name>
        <lei>N/A</lei>
        <title>SANTANDER DRIVE AUTO RECEIVABL SDART 2019 3 B</title>
        <cusip>80286HAE9</cusip>
        <identifiers>
          <isin value="US80286HAE99"/>
        </identifiers>
        <balance>6192121.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6202448.060000</valUSD>
        <pctVal>0.1260933</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.28</annualizedRt>
          <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 DRIVE AUTO RECEIVABLES TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>SANTANDER DRIVE AUTO RECEIVABL SDART 2020 2 A2A</title>
        <cusip>80285RAB4</cusip>
        <identifiers>
          <isin value="US80285RAB42"/>
        </identifiers>
        <balance>80429.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80444.700000</valUSD>
        <pctVal>0.0016354</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.62</annualizedRt>
          <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 DRIVE AUTO RECEIVABLES TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>SANTANDER DRIVE AUTO RECEIVABL SDART 2020 2 A2B</title>
        <cusip>80285RAC2</cusip>
        <identifiers>
          <isin value="US80285RAC25"/>
        </identifiers>
        <balance>80429.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80437.840000</valUSD>
        <pctVal>0.0016353</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.42288</annualizedRt>
          <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 DRIVE AUTO RECEIVABLES TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>SANTANDER DRIVE AUTO RECEIVABL SDART 2020 2 A3</title>
        <cusip>80285RAD0</cusip>
        <identifiers>
          <isin value="US80285RAD08"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1001326.000000</valUSD>
        <pctVal>0.0203566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.67</annualizedRt>
          <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 TR 2004-2</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2004 2 MV1</title>
        <cusip>805564QK0</cusip>
        <identifiers>
          <isin value="US805564QK08"/>
        </identifiers>
        <balance>4893317.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4879954.430000</valUSD>
        <pctVal>0.0992076</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>0.9615</annualizedRt>
          <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 2004-1</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2004 1 A</title>
        <cusip>805564PL9</cusip>
        <identifiers>
          <isin value="US805564PL99"/>
        </identifiers>
        <balance>684913.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>662213.920000</valUSD>
        <pctVal>0.0134626</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>0.6315</annualizedRt>
          <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 2007-2</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2007 2 A2C</title>
        <cusip>80556YAD7</cusip>
        <identifiers>
          <isin value="US80556YAD76"/>
        </identifiers>
        <balance>4395609.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3815642.550000</valUSD>
        <pctVal>0.0775705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3315</annualizedRt>
          <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>1383199.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1362379.870000</valUSD>
        <pctVal>0.0276967</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>0.4015</annualizedRt>
          <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 2007-4</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A</title>
        <cusip>80557CAA0</cusip>
        <identifiers>
          <isin value="US80557CAA09"/>
        </identifiers>
        <balance>13134301.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13214247.620000</valUSD>
        <pctVal>0.2686405</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCULPTOR CLO XXV 25A</name>
        <lei>N/A</lei>
        <title>SCULPTOR CLO XXV, LTD. SCUL 25A A1 144A</title>
        <cusip>811244AC6</cusip>
        <identifiers>
          <isin value="US811244AC69"/>
        </identifiers>
        <balance>5400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5401350.000000</valUSD>
        <pctVal>0.1098073</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.41027</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A1</title>
        <cusip>81377EAA2</cusip>
        <identifiers>
          <isin value="US81377EAA29"/>
        </identifiers>
        <balance>810243.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>367653.300000</valUSD>
        <pctVal>0.0074742</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.1415</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>SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2B</title>
        <cusip>81378AAC5</cusip>
        <identifiers>
          <isin value="US81378AAC53"/>
        </identifiers>
        <balance>23327938.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16615120.920000</valUSD>
        <pctVal>0.3377789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 10 1A</title>
        <cusip>81743VAA1</cusip>
        <identifiers>
          <isin value="US81743VAA17"/>
        </identifiers>
        <balance>13121.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13279.350000</valUSD>
        <pctVal>0.0002700</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.89338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 10 2A1</title>
        <cusip>81743VAB9</cusip>
        <identifiers>
          <isin value="US81743VAB99"/>
        </identifiers>
        <balance>5219.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5148.330000</valUSD>
        <pctVal>0.0001047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.85338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 10 2A2</title>
        <cusip>81743VAN3</cusip>
        <identifiers>
          <isin value="US81743VAN38"/>
        </identifiers>
        <balance>228406.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>228722.920000</valUSD>
        <pctVal>0.0046498</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.45338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 1 A</title>
        <cusip>81744FAA5</cusip>
        <identifiers>
          <isin value="US81744FAA57"/>
        </identifiers>
        <balance>108766.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100658.910000</valUSD>
        <pctVal>0.0020464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.83575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-10</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 10 A1A</title>
        <cusip>81744FET0</cusip>
        <identifiers>
          <isin value="US81744FET03"/>
        </identifiers>
        <balance>27647.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27354.890000</valUSD>
        <pctVal>0.0005561</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.71338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-4</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 4 A</title>
        <cusip>81744FBF3</cusip>
        <identifiers>
          <isin value="US81744FBF36"/>
        </identifiers>
        <balance>293794.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>302172.420000</valUSD>
        <pctVal>0.0061430</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.74363</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-5</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 5 A1</title>
        <cusip>81744FBS5</cusip>
        <identifiers>
          <isin value="US81744FBS56"/>
        </identifiers>
        <balance>61027.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61139.600000</valUSD>
        <pctVal>0.0012429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.66422</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-7</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 7 A1</title>
        <cusip>81744FCV7</cusip>
        <identifiers>
          <isin value="US81744FCV76"/>
        </identifiers>
        <balance>70052.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72799.040000</valUSD>
        <pctVal>0.0014800</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.79724</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2005 1 A1</title>
        <cusip>81744FGM3</cusip>
        <identifiers>
          <isin value="US81744FGM32"/>
        </identifiers>
        <balance>70457.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69712.690000</valUSD>
        <pctVal>0.0014172</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>0.55338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1</title>
        <cusip>81744HAA1</cusip>
        <identifiers>
          <isin value="US81744HAA14"/>
        </identifiers>
        <balance>483090.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>368694.740000</valUSD>
        <pctVal>0.0074954</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.98365</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>SEQUOIA MORTGAGE TRUST 5</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 5 A</title>
        <cusip>81743WAA9</cusip>
        <identifiers>
          <isin value="US81743WAA99"/>
        </identifiers>
        <balance>33455.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33158.150000</valUSD>
        <pctVal>0.0006741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 9</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 9 2A</title>
        <cusip>81743SAB6</cusip>
        <identifiers>
          <isin value="US81743SAB60"/>
        </identifiers>
        <balance>23903.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24075.150000</valUSD>
        <pctVal>0.0004894</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.76909</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SG COMMERCIAL MORTGAGE SECURITIES TRUST 2016-C5</name>
        <lei>N/A</lei>
        <title>SG COMMERCIAL MORTGAGE SECURIT SGCMS 2016 C5 ASB</title>
        <cusip>78419CAE4</cusip>
        <identifiers>
          <isin value="US78419CAE49"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3144321.300000</valUSD>
        <pctVal>0.0639228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-10</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.895</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SG MORTGAGE SECURITIES TRUST 2006-FRE2</name>
        <lei>N/A</lei>
        <title>SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE2 A1</title>
        <cusip>784208AA8</cusip>
        <identifiers>
          <isin value="US784208AA80"/>
        </identifiers>
        <balance>55453424.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31214344.700000</valUSD>
        <pctVal>0.6345755</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>0.3515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SHENTON AIRCRAFT INVESTMENT LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>SHENTON AIRCRAFT INVESTMENT 10/42 4.75</title>
        <cusip>82321UAA1</cusip>
        <identifiers>
          <isin value="US82321UAA16"/>
        </identifiers>
        <balance>9871779.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9601665.940000</valUSD>
        <pctVal>0.1951981</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLC STUDENT LOAN TRUST 2008-2</name>
        <lei>N/A</lei>
        <title>SLC STUDENT LOAN TRUST SLCLT 2008 2 A4</title>
        <cusip>78444NAD1</cusip>
        <identifiers>
          <isin value="US78444NAD12"/>
        </identifiers>
        <balance>3715832.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3659298.380000</valUSD>
        <pctVal>0.0743921</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.01888</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLC STUDENT LOAN TRUST 2010-1</name>
        <lei>N/A</lei>
        <title>SLC STUDENT LOAN TRUST SLCLT 2010 1 A</title>
        <cusip>78444WAA7</cusip>
        <identifiers>
          <isin value="US78444WAA71"/>
        </identifiers>
        <balance>1701400.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1711605.460000</valUSD>
        <pctVal>0.0347963</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.022</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2003-7A</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A</title>
        <cusip>78442GHH2</cusip>
        <identifiers>
          <isin value="US78442GHH20"/>
        </identifiers>
        <balance>21670224.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21723101.940000</valUSD>
        <pctVal>0.4416222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.31888</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2006-8</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2006 8 A5</title>
        <cusip>78443HAE3</cusip>
        <identifiers>
          <isin value="US78443HAE36"/>
        </identifiers>
        <balance>550176.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>550130.280000</valUSD>
        <pctVal>0.0111839</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.28575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2008-5</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2008 5 A4</title>
        <cusip>78444YAD7</cusip>
        <identifiers>
          <isin value="US78444YAD76"/>
        </identifiers>
        <balance>7731160.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7810632.620000</valUSD>
        <pctVal>0.1587871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.87575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2008-7</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2008 7 A4</title>
        <cusip>78445FAD7</cusip>
        <identifiers>
          <isin value="US78445FAD78"/>
        </identifiers>
        <balance>11110807.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11023684.500000</valUSD>
        <pctVal>0.2241072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SLM STUDENT LOAN TRUST 2008-8</name>
        <lei>N/A</lei>
        <title>SLM STUDENT LOAN TRUST SLMA 2008 8 A4</title>
        <cusip>78445GAD5</cusip>
        <identifiers>
          <isin value="US78445GAD51"/>
        </identifiers>
        <balance>14389939.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14483163.730000</valUSD>
        <pctVal>0.2944371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.67575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2015-A</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A A2A 144A</title>
        <cusip>78448PAB6</cusip>
        <identifiers>
          <isin value="US78448PAB67"/>
        </identifiers>
        <balance>2046341.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2062159.950000</valUSD>
        <pctVal>0.0419229</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.49</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2015-C</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2015 C A2B 144A</title>
        <cusip>78448RAC0</cusip>
        <identifiers>
          <isin value="US78448RAC07"/>
        </identifiers>
        <balance>434639.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>436730.870000</valUSD>
        <pctVal>0.0088786</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.47288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2017-A</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2017 A A2A 144A</title>
        <cusip>78448WAB1</cusip>
        <identifiers>
          <isin value="US78448WAB19"/>
        </identifiers>
        <balance>1882601.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1938777.340000</valUSD>
        <pctVal>0.0394146</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.88</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A1 144A</title>
        <cusip>78449VAA4</cusip>
        <identifiers>
          <isin value="US78449VAA44"/>
        </identifiers>
        <balance>735470.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>735445.520000</valUSD>
        <pctVal>0.0149513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2A 144A</title>
        <cusip>78449VAB2</cusip>
        <identifiers>
          <isin value="US78449VAB27"/>
        </identifiers>
        <balance>32583000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32944527.930000</valUSD>
        <pctVal>0.6697494</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.6</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>SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA</name>
        <lei>N/A</lei>
        <title>SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA A2B 144A</title>
        <cusip>78449VAC0</cusip>
        <identifiers>
          <isin value="US78449VAC00"/>
        </identifiers>
        <balance>13800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13946791.980000</valUSD>
        <pctVal>0.2835328</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2054-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMBAC ASSURANCE CORPORATION</name>
        <lei>549300RYYRVPPB8NC636</lei>
        <title>AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1</title>
        <cusip>023138AA8</cusip>
        <identifiers>
          <isin value="US023138AA88"/>
        </identifiers>
        <balance>43081.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60572.940000</valUSD>
        <pctVal>0.0012314</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2099-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-B</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 B A2FX 144A</title>
        <cusip>83403YAB0</cusip>
        <identifiers>
          <isin value="US83403YAB02"/>
        </identifiers>
        <balance>10931485.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11102358.070000</valUSD>
        <pctVal>0.2257066</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.74</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2017-C</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2017 C A2B 144A</title>
        <cusip>83405DAC2</cusip>
        <identifiers>
          <isin value="US83405DAC20"/>
        </identifiers>
        <balance>15209620.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15442428.180000</valUSD>
        <pctVal>0.3139385</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.63</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-C</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2019 C A1FX 144A</title>
        <cusip>83401CAA2</cusip>
        <identifiers>
          <isin value="US83401CAA27"/>
        </identifiers>
        <balance>107253.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>107344.810000</valUSD>
        <pctVal>0.0021823</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.13</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2019-C</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2019 C A2FX 144A</title>
        <cusip>83401CAB0</cusip>
        <identifiers>
          <isin value="US83401CAB00"/>
        </identifiers>
        <balance>38331121.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39149798.070000</valUSD>
        <pctVal>0.7959001</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-11-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.37</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-C</name>
        <lei>N/A</lei>
        <title>SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 C AFX 144A</title>
        <cusip>83390UAF4</cusip>
        <identifiers>
          <isin value="US83390UAF49"/>
        </identifiers>
        <balance>2493746.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2531786.220000</valUSD>
        <pctVal>0.0514702</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.95</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>AMBAC LSNI LLC</name>
        <lei>N/A</lei>
        <title>AMBAC LSNI LLC SR SECURED 144A 02/23 VAR</title>
        <cusip>02315QAA6</cusip>
        <identifiers>
          <isin value="US02315QAA67"/>
        </identifiers>
        <balance>156278.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>156376.540000</valUSD>
        <pctVal>0.0031791</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XII LTD 2016-2A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2016 2A AR2 144A</title>
        <cusip>83610CAW1</cusip>
        <identifiers>
          <isin value="US83610CAW10"/>
        </identifiers>
        <balance>26910228.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26945283.680000</valUSD>
        <pctVal>0.5477871</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.23825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XIV LTD 2016-3A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2016 3A AR2 144A</title>
        <cusip>83609NAN0</cusip>
        <identifiers>
          <isin value="US83609NAN03"/>
        </identifiers>
        <balance>5710527.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5717659.110000</valUSD>
        <pctVal>0.1162378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.16288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XV LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 1A ARR 144A</title>
        <cusip>83609RAL5</cusip>
        <identifiers>
          <isin value="US83609RAL50"/>
        </identifiers>
        <balance>1250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1250051.560000</valUSD>
        <pctVal>0.0254131</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XVI LTD 2017-2A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 2A AR 144A</title>
        <cusip>83610KAJ2</cusip>
        <identifiers>
          <isin value="US83610KAJ25"/>
        </identifiers>
        <balance>23400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23393046.460000</valUSD>
        <pctVal>0.4755715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.15575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUND POINT CLO XVIII LTD 2017-4A</name>
        <lei>N/A</lei>
        <title>SOUND POINT CLO LTD SNDPT 2017 4A A1 144A</title>
        <cusip>83609TAA5</cusip>
        <identifiers>
          <isin value="US83609TAA51"/>
        </identifiers>
        <balance>7000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7003566.220000</valUSD>
        <pctVal>0.1423798</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.30825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2003-2</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2003 2 A2</title>
        <cusip>83611MAQ1</cusip>
        <identifiers>
          <isin value="US83611MAQ15"/>
        </identifiers>
        <balance>24629.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24663.630000</valUSD>
        <pctVal>0.0005014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1</title>
        <cusip>83612TAB8</cusip>
        <identifiers>
          <isin value="US83612TAB89"/>
        </identifiers>
        <balance>4471438.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3612878.130000</valUSD>
        <pctVal>0.0734484</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>0.1715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1</title>
        <cusip>83613DAA4</cusip>
        <identifiers>
          <isin value="US83613DAA46"/>
        </identifiers>
        <balance>37831216.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35258466.470000</valUSD>
        <pctVal>0.7167909</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 1A1</title>
        <cusip>83613AAA0</cusip>
        <identifiers>
          <isin value="US83613AAA07"/>
        </identifiers>
        <balance>2233295.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1802546.950000</valUSD>
        <pctVal>0.0366451</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>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1</title>
        <cusip>83613FAA9</cusip>
        <identifiers>
          <isin value="US83613FAA93"/>
        </identifiers>
        <balance>84067447.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74231043.230000</valUSD>
        <pctVal>1.5090882</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>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1</title>
        <cusip>83612KAA9</cusip>
        <identifiers>
          <isin value="US83612KAA97"/>
        </identifiers>
        <balance>29886350.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27762647.060000</valUSD>
        <pctVal>0.5644038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3</name>
        <lei>N/A</lei>
        <title>SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 2A4</title>
        <cusip>83612KAE1</cusip>
        <identifiers>
          <isin value="US83612KAE10"/>
        </identifiers>
        <balance>3000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2749714.200000</valUSD>
        <pctVal>0.0559006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SOUTH CAROLINA STUDENT LOAN CORP 2008-1</name>
        <lei>N/A</lei>
        <title>SOUTH CAROLINA STUDENT LOAN CO SCSLC 2008 1 A4</title>
        <cusip>83715AAH2</cusip>
        <identifiers>
          <isin value="US83715AAH23"/>
        </identifiers>
        <balance>153059.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153541.610000</valUSD>
        <pctVal>0.0031214</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13463</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SP STATIC CLO 2020-1A</name>
        <lei>N/A</lei>
        <title>SP STATIC LTD SPSTC 2020 1A A 144A</title>
        <cusip>78472HAA5</cusip>
        <identifiers>
          <isin value="US78472HAA59"/>
        </identifiers>
        <balance>1352422.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1354027.420000</valUSD>
        <pctVal>0.0275268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-07-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.58375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPECIALTY UNDERWRITING &amp; RESID 2005-BC3</name>
        <lei>N/A</lei>
        <title>SPECIALTY UNDERWRITING + RESID SURF 2005 BC3 M3</title>
        <cusip>84751PHA0</cusip>
        <identifiers>
          <isin value="US84751PHA03"/>
        </identifiers>
        <balance>16022458.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15828377.970000</valUSD>
        <pctVal>0.3217848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPECIALTY UNDERWRT&amp; RES FIN 2006-BC3</name>
        <lei>N/A</lei>
        <title>SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A1</title>
        <cusip>84751WAA2</cusip>
        <identifiers>
          <isin value="US84751WAA27"/>
        </identifiers>
        <balance>12065764.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11586644.840000</valUSD>
        <pctVal>0.2355520</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>0.3715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPECIALTY UNDERWRT&amp; RES FIN 2006-BC3</name>
        <lei>N/A</lei>
        <title>SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C</title>
        <cusip>84751WAD6</cusip>
        <identifiers>
          <isin value="US84751WAD65"/>
        </identifiers>
        <balance>21903113.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15918041.490000</valUSD>
        <pctVal>0.3236076</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>0.3915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINGLEAF FUNDING TRUST 2017-AA</name>
        <lei>N/A</lei>
        <title>SPRINGLEAF FUNDING TRUST SLFT 2017 AA A 144A</title>
        <cusip>85172PAA5</cusip>
        <identifiers>
          <isin value="US85172PAA57"/>
        </identifiers>
        <balance>10518611.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10542939.730000</valUSD>
        <pctVal>0.2143339</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STANWICH MORTGAGE LOAN CO LLC 2019-NPB1</name>
        <lei>N/A</lei>
        <title>STANWICH MORTGAGE LOAN TRUST STWH 2019 NPB1 A1 144A</title>
        <cusip>85502HAA4</cusip>
        <identifiers>
          <isin value="US85502HAA41"/>
        </identifiers>
        <balance>683502.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>688410.460000</valUSD>
        <pctVal>0.0139951</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STEELE CREEK CLO LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>STEELE CREEK CLO LTD STCR 2015 1A AR2 144A</title>
        <cusip>85816BDC1</cusip>
        <identifiers>
          <isin value="US85816BDC19"/>
        </identifiers>
        <balance>10000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9999809.200000</valUSD>
        <pctVal>0.2032922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-21</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.04925</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJ RATE MTG LN 2004-19</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1</title>
        <cusip>863579JG4</cusip>
        <identifiers>
          <isin value="US863579JG47"/>
        </identifiers>
        <balance>411563.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>385169.020000</valUSD>
        <pctVal>0.0078303</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5163</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>STRUCTURED ADJ RATE MTG LN 2004-7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3</title>
        <cusip>86359BRV5</cusip>
        <identifiers>
          <isin value="US86359BRV52"/>
        </identifiers>
        <balance>333461.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>321841.720000</valUSD>
        <pctVal>0.0065429</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8265</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJ RATE MTGE LOAN 2006-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2006 1 5A2</title>
        <cusip>863579P93</cusip>
        <identifiers>
          <isin value="US863579P939"/>
        </identifiers>
        <balance>113520.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>101928.350000</valUSD>
        <pctVal>0.0020722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.23139</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>STRUCTURED ADJUSTABLE RATE MTG LN 2004-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A5</title>
        <cusip>86359BGK1</cusip>
        <identifiers>
          <isin value="US86359BGK17"/>
        </identifiers>
        <balance>46922.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47043.650000</valUSD>
        <pctVal>0.0009564</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.53663</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RATE MTG LN 2004-4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A1</title>
        <cusip>86359BNT4</cusip>
        <identifiers>
          <isin value="US86359BNT43"/>
        </identifiers>
        <balance>35768.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36352.770000</valUSD>
        <pctVal>0.0007390</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.38589</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-9</name>
        <lei>N/A</lei>
        <title>STRUCTURED ADJUSTABLE RATE MOR SARM 2005 9 2A1</title>
        <cusip>863579QW1</cusip>
        <identifiers>
          <isin value="US863579QW14"/>
        </identifiers>
        <balance>506679.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>429396.230000</valUSD>
        <pctVal>0.0087295</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5163</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>STRUCTURED ASSET INVEST LN TR 2004-BNC2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1</title>
        <cusip>86358ENJ1</cusip>
        <identifiers>
          <isin value="US86358ENJ19"/>
        </identifiers>
        <balance>812938.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>827562.940000</valUSD>
        <pctVal>0.0168240</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.3665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET INVST LN TR 2004-4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2004 4 M3</title>
        <cusip>86358EHT6</cusip>
        <identifiers>
          <isin value="US86358EHT64"/>
        </identifiers>
        <balance>3844.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3930.100000</valUSD>
        <pctVal>0.0000799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET INVST LN TR 2004-8</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M3</title>
        <cusip>86358EMB9</cusip>
        <identifiers>
          <isin value="US86358EMB91"/>
        </identifiers>
        <balance>58584.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58450.320000</valUSD>
        <pctVal>0.0011883</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0665</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET INVST LN TR 2005-7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2005 7 M2</title>
        <cusip>86358EWD4</cusip>
        <identifiers>
          <isin value="US86358EWD48"/>
        </identifiers>
        <balance>1285848.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1272886.370000</valUSD>
        <pctVal>0.0258773</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>0.8565</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MORTGAGE INV 2005-AR4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR4 A1</title>
        <cusip>86359LLZ0</cusip>
        <identifiers>
          <isin value="US86359LLZ03"/>
        </identifiers>
        <balance>2433018.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2354411.200000</valUSD>
        <pctVal>0.0478643</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>0.7115</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>STRUCTURED ASSET MTG INV INC 2003-AR1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3</title>
        <cusip>86358HRX9</cusip>
        <identifiers>
          <isin value="US86358HRX97"/>
        </identifiers>
        <balance>55759.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54177.040000</valUSD>
        <pctVal>0.0011014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.93338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2004-AR1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A3</title>
        <cusip>86359LAR0</cusip>
        <identifiers>
          <isin value="US86359LAR06"/>
        </identifiers>
        <balance>140336.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138986.990000</valUSD>
        <pctVal>0.0028256</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2004-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A3</title>
        <cusip>86359LBZ1</cusip>
        <identifiers>
          <isin value="US86359LBZ13"/>
        </identifiers>
        <balance>483251.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>474524.350000</valUSD>
        <pctVal>0.0096469</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.69338</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2005-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR3 1A1</title>
        <cusip>86359LJZ3</cusip>
        <identifiers>
          <isin value="US86359LJZ31"/>
        </identifiers>
        <balance>3402200.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3639223.190000</valUSD>
        <pctVal>0.0739840</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>0.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2005-AR8</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A</title>
        <cusip>86359LRW1</cusip>
        <identifiers>
          <isin value="US86359LRW18"/>
        </identifiers>
        <balance>219877.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211614.600000</valUSD>
        <pctVal>0.0043020</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>0.6515</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>STRUCTURED ASSET MTG INV INC 2007-AR2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 1A1</title>
        <cusip>86363DAA9</cusip>
        <identifiers>
          <isin value="US86363DAA90"/>
        </identifiers>
        <balance>1195983.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1162663.340000</valUSD>
        <pctVal>0.0236365</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTG INV INC 2007-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR3 2A1</title>
        <cusip>86363NAY5</cusip>
        <identifiers>
          <isin value="US86363NAY58"/>
        </identifiers>
        <balance>1476283.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1416143.190000</valUSD>
        <pctVal>0.0287896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2815</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET MTGE INV 1998-2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5</title>
        <cusip>073914F65</cusip>
        <identifiers>
          <isin value="US073914F653"/>
        </identifiers>
        <balance>65476.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3031.320000</valUSD>
        <pctVal>0.0000616</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SEC CORP 2006-BC6</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 BC6 A1</title>
        <cusip>86362VAA0</cusip>
        <identifiers>
          <isin value="US86362VAA08"/>
        </identifiers>
        <balance>8298723.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8162023.710000</valUSD>
        <pctVal>0.1659308</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>0.2515</annualizedRt>
          <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 BUSINESS FIN SERVICES 2002-2</name>
        <lei>N/A</lei>
        <title>ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1</title>
        <cusip>000759CR9</cusip>
        <identifiers>
          <isin value="US000759CR91"/>
        </identifiers>
        <balance>713873.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>573814.960000</valUSD>
        <pctVal>0.0116654</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-07-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>6.785</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>STRUCTURED ASSET SEC CORP 2006-RF3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 RF3 1A4 144A</title>
        <cusip>863592AD3</cusip>
        <identifiers>
          <isin value="US863592AD34"/>
        </identifiers>
        <balance>1188714.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>842115.910000</valUSD>
        <pctVal>0.0171199</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.5</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>STRUCTURED ASSET SECUR CORP 2005-GEL2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2005 GEL2 M2</title>
        <cusip>86359DAY3</cusip>
        <identifiers>
          <isin value="US86359DAY31"/>
        </identifiers>
        <balance>1606017.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1606226.140000</valUSD>
        <pctVal>0.0326540</pctVal>
        <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>1.2165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES COR 2001-SB1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2001 SB1 A2</title>
        <cusip>86358RDU8</cusip>
        <identifiers>
          <isin value="US86358RDU86"/>
        </identifiers>
        <balance>16169.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15835.790000</valUSD>
        <pctVal>0.0003219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES COR 2001-SB1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2001 SB1 A5</title>
        <cusip>86358RDX2</cusip>
        <identifiers>
          <isin value="US86358RDX26"/>
        </identifiers>
        <balance>6751.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6551.250000</valUSD>
        <pctVal>0.0001332</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CP 2002-14A</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2002 14A 1A1</title>
        <cusip>86358RR41</cusip>
        <identifiers>
          <isin value="US86358RR411"/>
        </identifiers>
        <balance>1831.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1824.810000</valUSD>
        <pctVal>0.0000371</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.90958</annualizedRt>
          <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 CREDIT ACCEPTANCE RECEIVABLES TRUST 2019-1</name>
        <lei>N/A</lei>
        <title>AMERICAN CREDIT ACCEPTANCE REC ACAR 2019 1 C 144A</title>
        <cusip>02528CAE2</cusip>
        <identifiers>
          <isin value="US02528CAE21"/>
        </identifiers>
        <balance>5924872.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5988643.870000</valUSD>
        <pctVal>0.1217468</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-04-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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>13203263.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12818437.500000</valUSD>
        <pctVal>0.2605938</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>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TCW CLO AMR LTD 2019-1A</name>
        <lei>N/A</lei>
        <title>TCW CLO 2019 1 AMR, LTD. TCW 2019 1A A 144A</title>
        <cusip>87241EAC9</cusip>
        <identifiers>
          <isin value="US87241EAC93"/>
        </identifiers>
        <balance>1232920.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1233424.920000</valUSD>
        <pctVal>0.0250750</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.12988</annualizedRt>
          <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 MTG INV TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE INVESTM AHM 2005 1 4A1</title>
        <cusip>02660TDF7</cusip>
        <identifiers>
          <isin value="US02660TDF75"/>
        </identifiers>
        <balance>1181631.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1197648.390000</valUSD>
        <pctVal>0.0243477</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.21063</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THARALDSON HOTEL PORTFOLIO TRUST 2018</name>
        <lei>N/A</lei>
        <title>THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL A 144A</title>
        <cusip>88327HAA1</cusip>
        <identifiers>
          <isin value="US88327HAA14"/>
        </identifiers>
        <balance>11341123.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11361249.620000</valUSD>
        <pctVal>0.2309698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.98</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THARALDSON HOTEL PORTFOLIO TRUST 2018</name>
        <lei>N/A</lei>
        <title>THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL B 144A</title>
        <cusip>88327HAG8</cusip>
        <identifiers>
          <isin value="US88327HAG83"/>
        </identifiers>
        <balance>21467126.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21502096.890000</valUSD>
        <pctVal>0.4371292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.33</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THARALDSON HOTEL PORTFOLIO TRUST 2018</name>
        <lei>N/A</lei>
        <title>THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL C 144A</title>
        <cusip>88327HAJ2</cusip>
        <identifiers>
          <isin value="US88327HAJ23"/>
        </identifiers>
        <balance>10693059.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10708409.350000</valUSD>
        <pctVal>0.2176978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.58</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THARALDSON HOTEL PORTFOLIO TRUST 2018</name>
        <lei>N/A</lei>
        <title>THARALDSON HOTEL PORTFOLIO TRU THPT 2018 THL D 144A</title>
        <cusip>88327HAL7</cusip>
        <identifiers>
          <isin value="US88327HAL78"/>
        </identifiers>
        <balance>21548134.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21402366.140000</valUSD>
        <pctVal>0.4351018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.23</annualizedRt>
          <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 MTGE INV TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 6A</title>
        <cusip>02660TEV1</cusip>
        <identifiers>
          <isin value="US02660TEV17"/>
        </identifiers>
        <balance>5459.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3787.970000</valUSD>
        <pctVal>0.0000770</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>0.2715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>THORNBURG MORTGAGE SECURITIES TR 2007-4</name>
        <lei>N/A</lei>
        <title>THORNBURG MORTGAGE SECURITIES TMST 2007 4 2A1</title>
        <cusip>88522YAB5</cusip>
        <identifiers>
          <isin value="US88522YAB56"/>
        </identifiers>
        <balance>4199932.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4244971.990000</valUSD>
        <pctVal>0.0862986</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>2.22367</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TICP CLO I-2 LTD</name>
        <lei>N/A</lei>
        <title>TICP CLO LTD TICP 2018 IA A1 144A</title>
        <cusip>87248VAC4</cusip>
        <identifiers>
          <isin value="US87248VAC46"/>
        </identifiers>
        <balance>4607865.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4605892.190000</valUSD>
        <pctVal>0.0936360</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.00575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TIMES SQUARE HOTEL TRUST</name>
        <lei>N/A</lei>
        <title>TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528</title>
        <cusip>887367AA8</cusip>
        <identifiers>
          <isin value="US887367AA88"/>
        </identifiers>
        <balance>3237809.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3526366.510000</valUSD>
        <pctVal>0.0716897</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.528</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-4</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A</title>
        <cusip>89178BAA2</cusip>
        <identifiers>
          <isin value="US89178BAA26"/>
        </identifiers>
        <balance>21348035.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22127260.170000</valUSD>
        <pctVal>0.4498386</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.9</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-HY3</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A</title>
        <cusip>89177XAA5</cusip>
        <identifiers>
          <isin value="US89177XAA54"/>
        </identifiers>
        <balance>825241.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>832419.350000</valUSD>
        <pctVal>0.0169228</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-HY3</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 M2 144A</title>
        <cusip>89177XAE7</cusip>
        <identifiers>
          <isin value="US89177XAE76"/>
        </identifiers>
        <balance>11615000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11875615.050000</valUSD>
        <pctVal>0.2414266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.7915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2019-MH1</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2019 MH1 A1 144A</title>
        <cusip>89177WAA7</cusip>
        <identifiers>
          <isin value="US89177WAA71"/>
        </identifiers>
        <balance>3268763.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3331003.270000</valUSD>
        <pctVal>0.0677180</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2058-11-25</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>TOWD POINT MORTGAGE TRUST 2020-1</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A</title>
        <cusip>89178WAU2</cusip>
        <identifiers>
          <isin value="US89178WAU27"/>
        </identifiers>
        <balance>62912460.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64748875.150000</valUSD>
        <pctVal>1.3163194</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.71</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TOWD POINT MORTGAGE TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A</title>
        <cusip>89176UAN4</cusip>
        <identifiers>
          <isin value="US89176UAN46"/>
        </identifiers>
        <balance>65208326.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65878772.440000</valUSD>
        <pctVal>1.3392897</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-04-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.636</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRICON AMERICAN HOMES TRUST 2017-SFR1</name>
        <lei>N/A</lei>
        <title>TRICON AMERICAN HOMES TAH 2017 SFR1 A 144A</title>
        <cusip>89613DAA1</cusip>
        <identifiers>
          <isin value="US89613DAA19"/>
        </identifiers>
        <balance>11357390.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11402099.580000</valUSD>
        <pctVal>0.2318002</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.716</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRICON AMERICAN HOMES TRUST 2017-SFR1</name>
        <lei>N/A</lei>
        <title>TRICON AMERICAN HOMES TAH 2017 SFR1 B 144A</title>
        <cusip>89613DAB9</cusip>
        <identifiers>
          <isin value="US89613DAB91"/>
        </identifiers>
        <balance>8700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8734138.800000</valUSD>
        <pctVal>0.1775616</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.916</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRICON AMERICAN HOMES TRUST 2017-SFR1</name>
        <lei>N/A</lei>
        <title>TRICON AMERICAN HOMES TAH 2017 SFR1 C 144A</title>
        <cusip>89613DAC7</cusip>
        <identifiers>
          <isin value="US89613DAC74"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1205367.840000</valUSD>
        <pctVal>0.0245047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.215</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRICON AMERICAN HOMES TRUST 2020-SFR1</name>
        <lei>N/A</lei>
        <title>TRICON AMERICAN HOMES TAH 2020 SFR1 A 144A</title>
        <cusip>89613GAA4</cusip>
        <identifiers>
          <isin value="US89613GAA40"/>
        </identifiers>
        <balance>26475999.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26477661.840000</valUSD>
        <pctVal>0.5382805</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.499</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRICON AMERICAN HOMES TRUST 2020-SFR1</name>
        <lei>N/A</lei>
        <title>TRICON AMERICAN HOMES TAH 2020 SFR1 B 144A</title>
        <cusip>89613GAB2</cusip>
        <identifiers>
          <isin value="US89613GAB23"/>
        </identifiers>
        <balance>5280000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5345238.620000</valUSD>
        <pctVal>0.1086666</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.049</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRICON AMERICAN HOMES TRUST 2020-SFR1</name>
        <lei>N/A</lei>
        <title>TRICON AMERICAN HOMES TAH 2020 SFR1 C 144A</title>
        <cusip>89613GAC0</cusip>
        <identifiers>
          <isin value="US89613GAC06"/>
        </identifiers>
        <balance>3300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3348429.480000</valUSD>
        <pctVal>0.0680723</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.249</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>TRUPS FINANCIALS NOTE SECURITIZATION 2017-2A</name>
        <lei>N/A</lei>
        <title>TRUPS FINANCIALS NOTE SECURITI TFINS 2017 2A A1 144A</title>
        <cusip>898203AA2</cusip>
        <identifiers>
          <isin value="US898203AA26"/>
        </identifiers>
        <balance>23447500.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22626837.500000</valUSD>
        <pctVal>0.4599948</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.7045</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UAL 2007-1 PASS-THROUGH TRUST</name>
        <lei>N/A</lei>
        <title>UAL 2007 PASS TRUST PASS THRU CE 01/24 6.636</title>
        <cusip>909287AA2</cusip>
        <identifiers>
          <isin value="US909287AA20"/>
        </identifiers>
        <balance>644069.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>667985.390000</valUSD>
        <pctVal>0.0135799</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.636</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS COMMERCIAL MORTGAGE TRUST 2018-C11</name>
        <lei>N/A</lei>
        <title>UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 C11 A5</title>
        <cusip>90276XAV7</cusip>
        <identifiers>
          <isin value="US90276XAV73"/>
        </identifiers>
        <balance>4570000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5221458.070000</valUSD>
        <pctVal>0.1061502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.2411</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UBS COMMERCIAL MORTGAGE TRUST 2018-NYCH</name>
        <lei>N/A</lei>
        <title>UBS COMMERCIAL MORTGAGE TRUST UBSCM 2018 NYCH A 144A</title>
        <cusip>90266HAA0</cusip>
        <identifiers>
          <isin value="US90266HAA05"/>
        </identifiers>
        <balance>15995507.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16006827.440000</valUSD>
        <pctVal>0.3254126</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.923</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UCFC MANU HOUSING 1996-1</name>
        <lei>N/A</lei>
        <title>UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M</title>
        <cusip>90263AAF7</cusip>
        <identifiers>
          <isin value="US90263AAF75"/>
        </identifiers>
        <balance>154955.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145624.430000</valUSD>
        <pctVal>0.0029605</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.9</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020489</cusip>
        <identifiers>
          <isin value="US01F0204895"/>
        </identifiers>
        <balance>38500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39656561.180000</valUSD>
        <pctVal>0.8062024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022477</cusip>
        <identifiers>
          <isin value="US01F0224778"/>
        </identifiers>
        <balance>5000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5214257.850000</valUSD>
        <pctVal>0.1060038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022485</cusip>
        <identifiers>
          <isin value="US01F0224851"/>
        </identifiers>
        <balance>15000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15626172.900000</valUSD>
        <pctVal>0.3176740</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030488</cusip>
        <identifiers>
          <isin value="US01F0304885"/>
        </identifiers>
        <balance>33000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34673649.450000</valUSD>
        <pctVal>0.7049018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-17</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F020687</cusip>
        <identifiers>
          <isin value="US01F0206874"/>
        </identifiers>
        <balance>-1900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>-1914843.770000</valUSD>
        <pctVal>-0.0389280</pctVal>
        <payoffProfile>Short</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022683</cusip>
        <identifiers>
          <isin value="US01F0226831"/>
        </identifiers>
        <balance>57700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>59570742.480000</valUSD>
        <pctVal>1.2110500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F022691</cusip>
        <identifiers>
          <isin value="US01F0226914"/>
        </identifiers>
        <balance>71000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73143867.720000</valUSD>
        <pctVal>1.4869863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-09-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.5</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030686</cusip>
        <identifiers>
          <isin value="US01F0306864"/>
        </identifiers>
        <balance>73200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76258102.020000</valUSD>
        <pctVal>1.5502975</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-12</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F030694</cusip>
        <identifiers>
          <isin value="US01F0306948"/>
        </identifiers>
        <balance>25000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26020996.250000</valUSD>
        <pctVal>0.5289967</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-09-14</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032674</cusip>
        <identifiers>
          <isin value="US01F0326748"/>
        </identifiers>
        <balance>101200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106530787.920000</valUSD>
        <pctVal>2.1657294</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-14</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F032682</cusip>
        <identifiers>
          <isin value="US01F0326821"/>
        </identifiers>
        <balance>369500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>389194634.520000</valUSD>
        <pctVal>7.9121751</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-12</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040677</cusip>
        <identifiers>
          <isin value="US01F0406771"/>
        </identifiers>
        <balance>9700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10329742.240000</valUSD>
        <pctVal>0.2099996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-07-14</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>UMBS PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE</title>
        <cusip>01F040685</cusip>
        <identifiers>
          <isin value="US01F0406854"/>
        </identifiers>
        <balance>363100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>386985175.510000</valUSD>
        <pctVal>7.8672577</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-08-12</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>AMERICREDIT AUTOMOBILE RECEIVABLES TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>AMERICREDIT AUTOMOBILE RECEIVA AMCAR 2020 2 A2A</title>
        <cusip>03066EAB0</cusip>
        <identifiers>
          <isin value="US03066EAB02"/>
        </identifiers>
        <balance>712712.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>713594.760000</valUSD>
        <pctVal>0.0145071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.6</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>AMERIQUEST MORTGAGE SEC 2005-R1</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R1 M4</title>
        <cusip>03072SYB5</cusip>
        <identifiers>
          <isin value="US03072SYB59"/>
        </identifiers>
        <balance>6305000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6322527.900000</valUSD>
        <pctVal>0.1285345</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2015</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERIQUEST MORTGAGE SEC INC 2004-R10</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M1</title>
        <cusip>03072SVR3</cusip>
        <identifiers>
          <isin value="US03072SVR39"/>
        </identifiers>
        <balance>7513373.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7519132.480000</valUSD>
        <pctVal>0.1528610</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>CASH MGMT BILL 09/21 0.00000</title>
        <cusip>912796L23</cusip>
        <identifiers>
          <isin value="US912796L236"/>
        </identifiers>
        <balance>4778000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4777611.940000</valUSD>
        <pctVal>0.0971270</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-09-07</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERIQUEST MTGE SEC INC 2004-R4</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R4 M2</title>
        <cusip>03072SRG2</cusip>
        <identifiers>
          <isin value="US03072SRG20"/>
        </identifiers>
        <balance>2589285.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2586404.980000</valUSD>
        <pctVal>0.0525806</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.0415</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>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>TREASURY BILL 07/21 0.00000</title>
        <cusip>912796H85</cusip>
        <identifiers>
          <isin value="US912796H853"/>
        </identifiers>
        <balance>4772000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4771979.290000</valUSD>
        <pctVal>0.0970125</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2021-07-06</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERIQUEST MTGE SECURITIES INC 2004-R12</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R12 M2</title>
        <cusip>03072SXE0</cusip>
        <identifiers>
          <isin value="US03072SXE08"/>
        </identifiers>
        <balance>792686.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>794071.740000</valUSD>
        <pctVal>0.0161432</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0065</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERIQUEST MTGE SECURITIES INC 2005-R8</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M4</title>
        <cusip>03072SM36</cusip>
        <identifiers>
          <isin value="US03072SM367"/>
        </identifiers>
        <balance>15670000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15593309.450000</valUSD>
        <pctVal>0.3170059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMMC CLO 16 LTD 2015-16A</name>
        <lei>N/A</lei>
        <title>AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A AR2 144A</title>
        <cusip>00176JAT3</cusip>
        <identifiers>
          <isin value="US00176JAT34"/>
        </identifiers>
        <balance>4800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4811995.250000</valUSD>
        <pctVal>0.0978260</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.16575</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMORTIZING RESIDENTIAL COLLATERAL TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>AMORTIZING RESIDENTIAL COLLATE ARC 2004 1 A5</title>
        <cusip>031733AE8</cusip>
        <identifiers>
          <isin value="US031733AE86"/>
        </identifiers>
        <balance>2333246.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2329933.800000</valUSD>
        <pctVal>0.0473666</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>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US TREASURY N/B 02/28 1.125</title>
        <cusip>91282CBP5</cusip>
        <identifiers>
          <isin value="US91282CBP59"/>
        </identifiers>
        <balance>1674000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1669291.880000</valUSD>
        <pctVal>0.0339361</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-29</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.125</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>AMSR TRUST 2020-SFR2</name>
        <lei>N/A</lei>
        <title>AMSR TRUST AMSR 2020 SFR2 A 144A</title>
        <cusip>00178UAA7</cusip>
        <identifiers>
          <isin value="US00178UAA79"/>
        </identifiers>
        <balance>47000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>47513587.800000</valUSD>
        <pctVal>0.9659327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.632</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMSR TRUST 2020-SFR2</name>
        <lei>N/A</lei>
        <title>AMSR TRUST AMSR 2020 SFR2 B 144A</title>
        <cusip>00178UAB5</cusip>
        <identifiers>
          <isin value="US00178UAB52"/>
        </identifiers>
        <balance>11000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11108952.800000</valUSD>
        <pctVal>0.2258407</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-17</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.033</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UNITED STATES GOVT</name>
        <lei>254900HROIFWPRGM1V77</lei>
        <title>US TREASURY N/B 05/29 2.375</title>
        <cusip>9128286T2</cusip>
        <identifiers>
          <isin value="US9128286T26"/>
        </identifiers>
        <balance>8900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9605742.230000</valUSD>
        <pctVal>0.1952810</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>UST</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ANGEL OAK MORTGAGE TRUST 2020-4</name>
        <lei>N/A</lei>
        <title>ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A</title>
        <cusip>03464LAA4</cusip>
        <identifiers>
          <isin value="US03464LAA44"/>
        </identifiers>
        <balance>620474.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>624685.910000</valUSD>
        <pctVal>0.0126996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-06-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.469</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UPSTART SECURITIZATION TRUST 2019-2</name>
        <lei>N/A</lei>
        <title>UPSTART SECURITIZATION TRUST UPST 2019 2 A 144A</title>
        <cusip>916780AA7</cusip>
        <identifiers>
          <isin value="US916780AA76"/>
        </identifiers>
        <balance>34593.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34663.400000</valUSD>
        <pctVal>0.0007047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-09-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.897</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UPSTART SECURITIZATION TRUST 2019-3</name>
        <lei>N/A</lei>
        <title>UPSTART SECURITIZATION TRUST UPST 2019 3 A 144A</title>
        <cusip>91678WAA7</cusip>
        <identifiers>
          <isin value="US91678WAA71"/>
        </identifiers>
        <balance>173543.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>174541.410000</valUSD>
        <pctVal>0.0035484</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.684</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>UTAH STATE BOARD OF REGENTS 2017-1</name>
        <lei>N/A</lei>
        <title>STATE BOARD OF REGENTS OF THE USBR 2017 1 A</title>
        <cusip>91754RZF7</cusip>
        <identifiers>
          <isin value="US91754RZF71"/>
        </identifiers>
        <balance>8460936.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8419195.270000</valUSD>
        <pctVal>0.1711590</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2057-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE CDO LTD 2016-25A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2016 25A ARR 144A</title>
        <cusip>92329VAS1</cusip>
        <identifiers>
          <isin value="US92329VAS16"/>
        </identifiers>
        <balance>4371821.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4369635.210000</valUSD>
        <pctVal>0.0888330</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE CLO LTD 2018-33A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2018 33A A1LR 144A</title>
        <cusip>92330YAN3</cusip>
        <identifiers>
          <isin value="US92330YAN31"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1999756.740000</valUSD>
        <pctVal>0.0406543</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.24375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE XXI CLO LTD 2015-21A</name>
        <lei>N/A</lei>
        <title>VENTURE XXI CLO VENTR 2015 21A AR 144A</title>
        <cusip>92330MAL3</cusip>
        <identifiers>
          <isin value="US92330MAL37"/>
        </identifiers>
        <balance>7129234.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7138164.030000</valUSD>
        <pctVal>0.1451161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.06375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE XXIV CLO LTD 2016-24A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2016 24A ARR 144A</title>
        <cusip>92330WBJ5</cusip>
        <identifiers>
          <isin value="US92330WBJ53"/>
        </identifiers>
        <balance>6878397.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6880113.530000</valUSD>
        <pctVal>0.1398700</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.08825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE XXIX CLO LTD 2017-29A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2017 29A AR 144A</title>
        <cusip>92331EAF3</cusip>
        <identifiers>
          <isin value="US92331EAF34"/>
        </identifiers>
        <balance>10900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10889725.120000</valUSD>
        <pctVal>0.2213839</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-09-07</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.12935</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE XXVI CLO LTD 2017-26A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2017 26A AR 144A</title>
        <cusip>92331MAE8</cusip>
        <identifiers>
          <isin value="US92331MAE84"/>
        </identifiers>
        <balance>14300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14311417.410000</valUSD>
        <pctVal>0.2909455</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.28825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VENTURE XXVII CLO LTD 2017-27A</name>
        <lei>N/A</lei>
        <title>VENTURE CDO LTD VENTR 2017 27A AR 144A</title>
        <cusip>92331LBC3</cusip>
        <identifiers>
          <isin value="US92331LBC37"/>
        </identifiers>
        <balance>9700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9692736.450000</valUSD>
        <pctVal>0.1970496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.23825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VERUS SECURITIZATION TRUST 2021-R1</name>
        <lei>N/A</lei>
        <title>VERUS SECURITIZATION TRUST VERUS 2021 R1 A1 144A</title>
        <cusip>92538BAA1</cusip>
        <identifiers>
          <isin value="US92538BAA17"/>
        </identifiers>
        <balance>5806614.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5808876.880000</valUSD>
        <pctVal>0.1180922</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>0.82</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VERUS SECURITIZATION TRUST 2021-R1</name>
        <lei>N/A</lei>
        <title>VERUS SECURITIZATION TRUST VERUS 2021 R1 A2 144A</title>
        <cusip>92538BAB9</cusip>
        <identifiers>
          <isin value="US92538BAB99"/>
        </identifiers>
        <balance>156936.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>156763.370000</valUSD>
        <pctVal>0.0031869</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.057</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VERUS SECURITIZATION TRUST 2021-R1</name>
        <lei>N/A</lei>
        <title>VERUS SECURITIZATION TRUST VERUS 2021 R1 A3 144A</title>
        <cusip>92538BAC7</cusip>
        <identifiers>
          <isin value="US92538BAC72"/>
        </identifiers>
        <balance>235404.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235317.300000</valUSD>
        <pctVal>0.0047839</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2063-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.262</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VMC FINANCE 2019-FL3 LLC</name>
        <lei>N/A</lei>
        <title>VMC FINANCE LLC VMC 2019 FL3 A 144A</title>
        <cusip>91834PAA3</cusip>
        <identifiers>
          <isin value="US91834PAA30"/>
        </identifiers>
        <balance>774022.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>773974.460000</valUSD>
        <pctVal>0.0157346</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.18175</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>VOYA CLO LTD 2015-2A</name>
        <lei>N/A</lei>
        <title>VOYA CLO LTD VOYA 2015 2A AR 144A</title>
        <cusip>92914XAL3</cusip>
        <identifiers>
          <isin value="US92914XAL38"/>
        </identifiers>
        <balance>7586010.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7590263.470000</valUSD>
        <pctVal>0.1543071</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14288</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WACHOVIA BANK COMM MTGE TR 2004-C15</name>
        <lei>N/A</lei>
        <title>WACHOVIA BANK COMMERCIAL MORTG WBCMT 2004 C15 XC 144A</title>
        <cusip>929766WQ2</cusip>
        <identifiers>
          <isin value="US929766WQ24"/>
        </identifiers>
        <balance>74425.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1.840000</valUSD>
        <pctVal>0.0000000</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.14523</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WACHOVIA MORTGAGE LN TRUST LLC 2005-B</name>
        <lei>N/A</lei>
        <title>WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1</title>
        <cusip>92977YBR1</cusip>
        <identifiers>
          <isin value="US92977YBR18"/>
        </identifiers>
        <balance>170205.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125335.180000</valUSD>
        <pctVal>0.0025480</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.47716</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>WAMMS MTG PASS THRU CERT 2002-AR3</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR3 1A7</title>
        <cusip>939336KZ5</cusip>
        <identifiers>
          <isin value="US939336KZ50"/>
        </identifiers>
        <balance>127954.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>131325.570000</valUSD>
        <pctVal>0.0026698</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.30774</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2001-AR3</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR3 2A</title>
        <cusip>929227EM4</cusip>
        <identifiers>
          <isin value="US929227EM49"/>
        </identifiers>
        <balance>3206.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3157.900000</valUSD>
        <pctVal>0.0000642</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.71714</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2001-AR5</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2001 AR5 B1</title>
        <cusip>22540VLG5</cusip>
        <identifiers>
          <isin value="US22540VLG58"/>
        </identifiers>
        <balance>170836.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165209.360000</valUSD>
        <pctVal>0.0033586</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.09648</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2002-AR18</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR18 A</title>
        <cusip>929227ZC3</cusip>
        <identifiers>
          <isin value="US929227ZC38"/>
        </identifiers>
        <balance>1274921.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1311135.750000</valUSD>
        <pctVal>0.0266549</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.55795</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2002-AR6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A</title>
        <cusip>929227QB5</cusip>
        <identifiers>
          <isin value="US929227QB55"/>
        </identifiers>
        <balance>110262.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109295.640000</valUSD>
        <pctVal>0.0022219</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2002-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A</title>
        <cusip>9393357P4</cusip>
        <identifiers>
          <isin value="US9393357P40"/>
        </identifiers>
        <balance>1197604.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1180225.720000</valUSD>
        <pctVal>0.0239935</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2003-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6</title>
        <cusip>939336PC1</cusip>
        <identifiers>
          <isin value="US939336PC11"/>
        </identifiers>
        <balance>90733.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91767.880000</valUSD>
        <pctVal>0.0018656</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.34383</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR10</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C</title>
        <cusip>92922FWV6</cusip>
        <identifiers>
          <isin value="US92922FWV65"/>
        </identifiers>
        <balance>18309.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18559.150000</valUSD>
        <pctVal>0.0003773</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0915</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR12</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR12 A2A</title>
        <cusip>92922FZF8</cusip>
        <identifiers>
          <isin value="US92922FZF88"/>
        </identifiers>
        <balance>344702.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340059.770000</valUSD>
        <pctVal>0.0069133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR13 A2A</title>
        <cusip>92922FB72</cusip>
        <identifiers>
          <isin value="US92922FB720"/>
        </identifiers>
        <balance>140669.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>135943.760000</valUSD>
        <pctVal>0.0027637</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR3</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR3 A2</title>
        <cusip>92922FNJ3</cusip>
        <identifiers>
          <isin value="US92922FNJ39"/>
        </identifiers>
        <balance>36409.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37484.910000</valUSD>
        <pctVal>0.0007621</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.57651</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR8</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1</title>
        <cusip>92922FTJ7</cusip>
        <identifiers>
          <isin value="US92922FTJ74"/>
        </identifiers>
        <balance>1829187.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1807027.530000</valUSD>
        <pctVal>0.0367362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.9315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-RP1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 RP1 1F 144A</title>
        <cusip>92922FYJ1</cusip>
        <identifiers>
          <isin value="US92922FYJ10"/>
        </identifiers>
        <balance>21982267.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19441675.970000</valUSD>
        <pctVal>0.3952417</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.4615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1C3</title>
        <cusip>92922F4V7</cusip>
        <identifiers>
          <isin value="US92922F4V78"/>
        </identifiers>
        <balance>1424647.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1415210.600000</valUSD>
        <pctVal>0.0287707</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR15</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1</title>
        <cusip>92922F5T1</cusip>
        <identifiers>
          <isin value="US92922F5T14"/>
        </identifiers>
        <balance>2374588.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2340509.530000</valUSD>
        <pctVal>0.0475816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6115</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR19</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1</title>
        <cusip>92925CBA9</cusip>
        <identifiers>
          <isin value="US92925CBA99"/>
        </identifiers>
        <balance>2398050.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2441218.610000</valUSD>
        <pctVal>0.0496290</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6315</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR8</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 2A1A</title>
        <cusip>92922FR75</cusip>
        <identifiers>
          <isin value="US92922FR759"/>
        </identifiers>
        <balance>223499.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>220257.330000</valUSD>
        <pctVal>0.0044777</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR15</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A</title>
        <cusip>93363QAA6</cusip>
        <identifiers>
          <isin value="US93363QAA67"/>
        </identifiers>
        <balance>13539563.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12722817.420000</valUSD>
        <pctVal>0.2586499</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>Floating</couponKind>
          <annualizedRt>0.9563</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 1A</title>
        <cusip>93363DAA5</cusip>
        <identifiers>
          <isin value="US93363DAA54"/>
        </identifiers>
        <balance>7126226.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7121882.270000</valUSD>
        <pctVal>0.1447851</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1163</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR9</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A</title>
        <cusip>93363DAB3</cusip>
        <identifiers>
          <isin value="US93363DAB38"/>
        </identifiers>
        <balance>4148457.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4069381.700000</valUSD>
        <pctVal>0.0827289</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.843</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL ASSET BACKED 2006-HE5</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1</title>
        <cusip>93934XAB9</cusip>
        <identifiers>
          <isin value="US93934XAB91"/>
        </identifiers>
        <balance>90136.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46323.800000</valUSD>
        <pctVal>0.0009417</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.1515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL MSC MTG P/T  2003-MS6</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 MS6 1A</title>
        <cusip>939336ZC0</cusip>
        <identifiers>
          <isin value="US939336ZC01"/>
        </identifiers>
        <balance>66843.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70310.840000</valUSD>
        <pctVal>0.0014294</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1</title>
        <cusip>939335N68</cusip>
        <identifiers>
          <isin value="US939335N683"/>
        </identifiers>
        <balance>17466.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17882.220000</valUSD>
        <pctVal>0.0003635</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.04356</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL MTGE 2003-AR8</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 B1</title>
        <cusip>92922FAU2</cusip>
        <identifiers>
          <isin value="US92922FAU21"/>
        </identifiers>
        <balance>7295.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7442.390000</valUSD>
        <pctVal>0.0001513</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.91128</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLFLEET CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>WELLFLEET CLO LTD WELF 2017 1A A1RR 144A</title>
        <cusip>94950GAL1</cusip>
        <identifiers>
          <isin value="US94950GAL14"/>
        </identifiers>
        <balance>11700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11683788.950000</valUSD>
        <pctVal>0.2375269</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-04-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07825</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB</name>
        <lei>N/A</lei>
        <title>WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 HSDB A 144A</title>
        <cusip>95001EAA6</cusip>
        <identifiers>
          <isin value="US95001EAA64"/>
        </identifiers>
        <balance>21320000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21036561.260000</valUSD>
        <pctVal>0.4276651</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.923</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB</name>
        <lei>N/A</lei>
        <title>WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 HSDB B 144A</title>
        <cusip>95001EAG3</cusip>
        <identifiers>
          <isin value="US95001EAG35"/>
        </identifiers>
        <balance>17700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17206138.140000</valUSD>
        <pctVal>0.3497941</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.173</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB</name>
        <lei>N/A</lei>
        <title>WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 HSDB D 144A</title>
        <cusip>95001EAL2</cusip>
        <identifiers>
          <isin value="US95001EAL20"/>
        </identifiers>
        <balance>1242000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1172493.080000</valUSD>
        <pctVal>0.0238363</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-12-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.91767</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2019-FL1</name>
        <lei>N/A</lei>
        <title>ARBOR REALTY COLLATERALIZED LO ARCLO 2019 FL1 A 144A</title>
        <cusip>03879YAA5</cusip>
        <identifiers>
          <isin value="US03879YAA55"/>
        </identifiers>
        <balance>2900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2903622.270000</valUSD>
        <pctVal>0.0590295</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.22288</annualizedRt>
          <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 HOME EQUITY ABS SER 2004-1</name>
        <lei>N/A</lei>
        <title>WELLS FARGO HOME EQUITY TRUST WFHET 2004 1 M2</title>
        <cusip>86359BNE7</cusip>
        <identifiers>
          <isin value="US86359BNE73"/>
        </identifiers>
        <balance>54634.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54360.560000</valUSD>
        <pctVal>0.0011051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.0365</annualizedRt>
          <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 HOME EQUITY TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>WELLS FARGO HOME EQUITY TRUST WFHET 2005 2 M7</title>
        <cusip>94981PAK6</cusip>
        <identifiers>
          <isin value="US94981PAK66"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3530037.350000</valUSD>
        <pctVal>0.0717643</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.6665</annualizedRt>
          <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 HOME EQUITY TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M1</title>
        <cusip>9497EBAD1</cusip>
        <identifiers>
          <isin value="US9497EBAD15"/>
        </identifiers>
        <balance>7275000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7043566.970000</valUSD>
        <pctVal>0.1431930</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>0.4365</annualizedRt>
          <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 MORTGAGE LOAN TRUST 2010-RR3</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2010 RR3 A5 144A</title>
        <cusip>94987AAF4</cusip>
        <identifiers>
          <isin value="US94987AAF49"/>
        </identifiers>
        <balance>1139267.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1116992.890000</valUSD>
        <pctVal>0.0227080</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.22433</annualizedRt>
          <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 MTGE BK SEC TR 2006-AR19</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1</title>
        <cusip>949789AA9</cusip>
        <identifiers>
          <isin value="US949789AA94"/>
        </identifiers>
        <balance>81224.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>80982.710000</valUSD>
        <pctVal>0.0016463</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.81308</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>WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2020-2A</name>
        <lei>N/A</lei>
        <title>WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2020 2A A2A 144A</title>
        <cusip>96042PAB8</cusip>
        <identifiers>
          <isin value="US96042PAB85"/>
        </identifiers>
        <balance>20860831.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20916133.620000</valUSD>
        <pctVal>0.4252168</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>0.93</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WMALT MTGE PASS-THRU CERT 2005-8</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 8 1A5</title>
        <cusip>93934FCJ9</cusip>
        <identifiers>
          <isin value="US93934FCJ93"/>
        </identifiers>
        <balance>475594.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>429109.640000</valUSD>
        <pctVal>0.0087236</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.7415</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>WMALT MTGE PASS-THRU CERT 2006-AR9</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A</title>
        <cusip>939346AA0</cusip>
        <identifiers>
          <isin value="US939346AA00"/>
        </identifiers>
        <balance>10314905.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9438336.410000</valUSD>
        <pctVal>0.1918777</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>Floating</couponKind>
          <annualizedRt>0.9463</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AREIT TRUST 2019-CRE3</name>
        <lei>N/A</lei>
        <title>AREIT CRE TRUST AREIT 2019 CRE3 A 144A</title>
        <cusip>00217LAA0</cusip>
        <identifiers>
          <isin value="US00217LAA08"/>
        </identifiers>
        <balance>30000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30046455.000000</valUSD>
        <pctVal>0.6108327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14448</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2004-W11</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2004 W11 M2</title>
        <cusip>040104MF5</cusip>
        <identifiers>
          <isin value="US040104MF59"/>
        </identifiers>
        <balance>567940.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>570143.300000</valUSD>
        <pctVal>0.0115908</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1415</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2004-W8</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2004 W8 M3</title>
        <cusip>040104JQ5</cusip>
        <identifiers>
          <isin value="US040104JQ51"/>
        </identifiers>
        <balance>1230622.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1169553.070000</valUSD>
        <pctVal>0.0237766</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.2165</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W2</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W2 M1</title>
        <cusip>040104ND9</cusip>
        <identifiers>
          <isin value="US040104ND92"/>
        </identifiers>
        <balance>888203.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>889445.710000</valUSD>
        <pctVal>0.0180821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8265</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W2</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W2 M2</title>
        <cusip>040104NE7</cusip>
        <identifiers>
          <isin value="US040104NE75"/>
        </identifiers>
        <balance>37500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36721155.000000</valUSD>
        <pctVal>0.7465268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.8565</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W3</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W3 A2D</title>
        <cusip>040104PB1</cusip>
        <identifiers>
          <isin value="US040104PB19"/>
        </identifiers>
        <balance>106881.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106877.140000</valUSD>
        <pctVal>0.0021728</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>0.7715</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W5</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W5 A1</title>
        <cusip>040104QK0</cusip>
        <identifiers>
          <isin value="US040104QK09"/>
        </identifiers>
        <balance>30311041.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30119442.040000</valUSD>
        <pctVal>0.6123165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.5615</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2006-M3</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 M3 A2C</title>
        <cusip>03076MAD6</cusip>
        <identifiers>
          <isin value="US03076MAD65"/>
        </identifiers>
        <balance>10570650.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4746644.950000</valUSD>
        <pctVal>0.0964974</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.2515</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2006-M3</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 M3 A2D</title>
        <cusip>03076MAE4</cusip>
        <identifiers>
          <isin value="US03076MAE49"/>
        </identifiers>
        <balance>3507394.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1592480.810000</valUSD>
        <pctVal>0.0323745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.3315</annualizedRt>
          <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>ABX.HE.AA.06-2 SP DUB</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC42538"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-29360.810000</valUSD>
        <pctVal>-0.0005969</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>DEUTSCHE BANK AKTIENGESELLSCHAFT</counterpartyName>
              <counterpartyLei>7LTWFZYICNSX8D621K86</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ABX.HE.AA.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="0.170000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2046-05-25</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-48326.040000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>120468.630000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>18965.230000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ABX.HE.AA.07-1 SP FBF</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC42546"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-211100.730000</valUSD>
        <pctVal>-0.0042916</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>CREDIT SUISSE INTERNATIONAL</counterpartyName>
              <counterpartyLei>E58DKGMJYYYJLN8C3868</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <indexBasketInfo>
                <indexName>ABX.HE.AA.07-1</indexName>
                <indexIdentifier>N/A</indexIdentifier>
                <narrativeDesc>N/A</narrativeDesc>
              </indexBasketInfo>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="0.150000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2037-08-26</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-1085259.300000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1279598.810000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>874158.570000</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>ABX.HE.AAA.06-2 SP BOA</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC02J45"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-430105.800000</valUSD>
        <pctVal>-0.0087439</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>BANK OF AMERICA CORPORATION</counterpartyName>
              <counterpartyLei>9DJT3UXIJIZJI4WXO774</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>-3128046.560000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>13590278.380000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>2697940.760000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARIVO ACCEPTANCE AUTO LOAN RECEIVABLES TRUST 2021-1A</name>
        <lei>N/A</lei>
        <title>ARIVO ACCEPTANCE AUTO LOAN REC ARIVO 2021 1A A 144A</title>
        <cusip>04047AAA2</cusip>
        <identifiers>
          <isin value="US04047AAA25"/>
        </identifiers>
        <balance>11026717.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11052231.520000</valUSD>
        <pctVal>0.2246876</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.19</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARROYO MORTGAGE TRUST 2021-1R</name>
        <lei>N/A</lei>
        <title>ARROYO MORTGAGE TRUST ARRW 2021 1R A1 144A</title>
        <cusip>042853AA9</cusip>
        <identifiers>
          <isin value="US042853AA99"/>
        </identifiers>
        <balance>10500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10539191.250000</valUSD>
        <pctVal>0.2142576</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.175</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARROYO MORTGAGE TRUST 2021-1R</name>
        <lei>N/A</lei>
        <title>ARROYO MORTGAGE TRUST ARRW 2021 1R A2 144A</title>
        <cusip>042853AB7</cusip>
        <identifiers>
          <isin value="US042853AB72"/>
        </identifiers>
        <balance>13801000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13805679.780000</valUSD>
        <pctVal>0.2806641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.483</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARROYO MORTGAGE TRUST 2021-1R</name>
        <lei>N/A</lei>
        <title>ARROYO MORTGAGE TRUST ARRW 2021 1R A3 144A</title>
        <cusip>042853AC5</cusip>
        <identifiers>
          <isin value="US042853AC55"/>
        </identifiers>
        <balance>7000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7003139.010000</valUSD>
        <pctVal>0.1423711</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2048-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.637</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASHFORD HOSPITALITY TRUST 2018-ASHF</name>
        <lei>N/A</lei>
        <title>ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A</title>
        <cusip>04410RAA4</cusip>
        <identifiers>
          <isin value="US04410RAA41"/>
        </identifiers>
        <balance>10223908.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10230946.990000</valUSD>
        <pctVal>0.2079912</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.973</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASHFORD HOSPITALITY TRUST 2018-KEYS</name>
        <lei>N/A</lei>
        <title>ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS B 144A</title>
        <cusip>04410CAG4</cusip>
        <identifiers>
          <isin value="US04410CAG42"/>
        </identifiers>
        <balance>3100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3104635.120000</valUSD>
        <pctVal>0.0631160</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.52288</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>2021-08-12</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>
