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        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21LEKBCJDKC"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="ILS" exchangeRt="3.157500"/>
        <valUSD>35944.420000</valUSD>
        <pctVal>0.0009100</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <amtCurSold>11300000.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21LGKBCHCT1"/>
        </identifiers>
        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22APKBCK8HH"/>
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        <balance>1.000000</balance>
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        <assetCat>DFE</assetCat>
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        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22APKBCK9SV"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ILS" exchangeRt="3.158700"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>2935670.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AQKBCHKHT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.158700"/>
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        <pctVal>0.0002846</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
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            <amtCurSold>10831075.000000</amtCurSold>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="22ARKBCG59Q"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ILS" exchangeRt="3.157500"/>
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        <assetCat>DFE</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="22ARKBCG850"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ILS" exchangeRt="3.152800"/>
        <valUSD>-1731.250000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="22ARKBCHCW0"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ILS" exchangeRt="3.152800"/>
        <valUSD>-16587.710000</valUSD>
        <pctVal>-0.0004200</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
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        <currencyConditional curCd="ZAR" exchangeRt="14.857000"/>
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        <fairValLevel>2</fairValLevel>
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          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Citibank, National Association</counterpartyName>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="21KEKBBSP55"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="ZAR" exchangeRt="14.690800"/>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
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              <counterpartyName>Citibank, National Association</counterpartyName>
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        <securityLending>
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      <invstOrSec>
        <name>N/A</name>
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        <title>ERAEMLT TRS EQUITY 1ML+110 BPS</title>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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                <issuerName>N/A</issuerName>
                <issueTitle>ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS)</issueTitle>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01FBK7"/>
        </identifiers>
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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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            <curCd>USD</curCd>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS)</issueTitle>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="87.000000" pmntAmt="0.000000">
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            <curCd>USD</curCd>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS)</issueTitle>
                <identifiers>
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                </identifiers>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI EmgMkts T" floatingRtSpread="0.000000" pmntAmt="0.000000">
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              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
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            <terminationDt>2022-10-12</terminationDt>
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            <upfrontRcpt>0.000000</upfrontRcpt>
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            <curCd>USD</curCd>
            <unrealizedAppr>3925860.670000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVIATION CAPITAL GROUP LLC</name>
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        <identifiers>
          <isin value="US05369AAF84"/>
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        <curCd>USD</curCd>
        <valUSD>11990.850000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-01-30</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ERAEMLT TRS EQUITY FEDL01+95 JPM</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01GLE8"/>
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        <curCd>USD</curCd>
        <valUSD>-2505008.620000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ENHANCED RAFI EMERGING MARKETS STRATEGY (ERAFI EMERGING MARKETS)</issueTitle>
                <identifiers>
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            <swapFlag>Y</swapFlag>
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            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-2505008.620000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ERAEMLT TRS EQUITY FEDL01+98 JPM</title>
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          <other otherDesc="Internal ID" value="SWU01G5U0"/>
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        <curCd>USD</curCd>
        <valUSD>-3692093.250000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="98.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>ERADXULT TRS EQUITY 1ML+47 JPM</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="SWU01ASK0"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01G605"/>
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        <fairValLevel>2</fairValLevel>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="SWU01GK74"/>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>BNP PARIBAS</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI intrnl LrgT" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="59.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01E9W7"/>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI intrnl LrgT" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="65.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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                  <other otherDesc="Internal ID" value="SWU01BJ85-ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL)"/>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI@ US Small T" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="17.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01C4D8"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI@ US Small T" floatingRtSpread="0.000000" pmntAmt="0.000000">
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            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="USD-LIBOR-BBA-Bloomberg 1M" floatingRtSpread="19.000000" pmntAmt="0.000000">
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL)</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU01FN40-ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL)"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI@ US Small T" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="19.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-05-11</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>21136364.620000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>541387.370000</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>ERAUSST TRS EQUITY FEDL01+5 BPS</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWU01GMD9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>154764.740000</valUSD>
        <pctVal>0.0039182</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
              <counterpartyLei>R0MUWSFPU8MPRO8K5P83</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL)</issueTitle>
                <identifiers>
                  <other otherDesc="Internal ID" value="SWU01GMD9-ENHANCED RAFI US SMALL STRATEGY (ERAFI US SMALL)"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="eRAFI@ US Small T" floatingRtSpread="0.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="0" resetDt="Month" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingRecDesc>
            <floatingPmntDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="US Federal Funds Effective Rate (continuous series)" floatingRtSpread="5.000000" pmntAmt="0.000000">
              <rtResetTenors>
                <rtResetTenor rateTenor="Day" rateTenorUnit="1" resetDt="Day" resetDtUnit="1"/>
              </rtResetTenors>
            </floatingPmntDesc>
            <terminationDt>2022-05-25</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>6014792.140000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>154764.740000</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>FORD MOTOR COMPANY SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0K6W7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>26295.100000</valUSD>
        <pctVal>0.0006657</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>FORD MOTOR COMPANY</issuerName>
                <issueTitle>FORD MOTOR COMPANY SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US345370CR99"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2022-06-22</terminationDt>
            <upfrontPmnt>94270.430000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>2500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-67975.330000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVIATION CAPITAL GROUP LLC</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>AVIATION CAPITAL GROUP SR UNSECURED 144A 08/25 4.125</title>
        <cusip>05369AAD3</cusip>
        <identifiers>
          <isin value="US05369AAD37"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1191817.760000</valUSD>
        <pctVal>0.0301733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.125</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>AVIATION CAPITAL GROUP LLC</name>
        <lei>549300ODEK8HY3445C77</lei>
        <title>AVIATION CAPITAL GROUP SR UNSECURED 144A 12/24 5.5</title>
        <cusip>05369AAH4</cusip>
        <identifiers>
          <isin value="US05369AAH41"/>
        </identifiers>
        <balance>1660000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1710157.650000</valUSD>
        <pctVal>0.0432962</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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>N/A</name>
        <lei>N/A</lei>
        <title>GENERAL ELECTRIC COMPANY SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0JYY5"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>62198.200000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>GENERAL ELECTRIC COMPANY</issuerName>
                <issueTitle>GENERAL ELECTRIC CO SR UNSEC</issueTitle>
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                  <isin value="US369604BD45"/>
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            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-06-21</terminationDt>
            <upfrontPmnt>34287.540000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>5100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>27910.660000</unrealizedAppr>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GENERAL ELECTRIC COMPANY SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KBE1"/>
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        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4792.340000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>GENERAL ELECTRIC COMPANY</issuerName>
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                  <isin value="US369604BD45"/>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            <upfrontPmnt>5805.920000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
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            <curCd>USD</curCd>
            <unrealizedAppr>-1013.580000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>GENERAL MOTORS COMPANY SNR S* ICE</title>
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        <curCd>USD</curCd>
        <valUSD>1864938.440000</valUSD>
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        <payoffProfile>N/A</payoffProfile>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
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                <issuerName>GENERAL MOTORS COMPANY</issuerName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            <pmntCurCd>USD</pmntCurCd>
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            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>12700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-662447.550000</unrealizedAppr>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EURO-BUND FUTURE  JUN22 XEUR 20220608</title>
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        <identifiers>
          <isin value="DE000C1T6JE8"/>
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        <balance>-215.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <expDate>2022-06-08</expDate>
            <notionalAmt>-37736281.120000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>1748609.170000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>EURO-BUXL 30Y BND JUN22 XEUR 20220608</title>
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        <identifiers>
          <isin value="DE000C1T6JH1"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <assetCat>DIR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <derivativeInfo>
          <futrDeriv derivCat="FUT">
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            <payOffProf>Short</payOffProf>
            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
                <issueTitle>GERMANY GOVT</issueTitle>
                <identifiers>
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            <expDate>2022-06-08</expDate>
            <notionalAmt>-9681234.130000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>406541.120000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
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        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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            <curPur>DKK</curPur>
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            <unrealizedAppr>-25602.200000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBBQG5R"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>15402536.860000</amtCurSold>
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            <curPur>EUR</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>124225.280000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BLKBBS134"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="121.625900"/>
        <valUSD>-292882.320000</valUSD>
        <pctVal>-0.0074149</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>5802399.760000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>670100000.000000</amtCurPur>
            <curPur>JPY</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-292882.320000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AFKBB83Q6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-4608.400000</valUSD>
        <pctVal>-0.0001167</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>47177.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3626236.520000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-4608.400000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AFKBB8TST"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-4554.600000</valUSD>
        <pctVal>-0.0001153</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>47179.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3630990.200000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-4554.600000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AHKBB5328"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-2184.960000</valUSD>
        <pctVal>-0.0000553</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>20961.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1599450.070000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-2184.960000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AHKBB538B"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-2178.470000</valUSD>
        <pctVal>-0.0000552</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>20962.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1600088.150000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-2178.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AIKBB8PWM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-3266.660000</valUSD>
        <pctVal>-0.0000827</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>31528.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2407462.320000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-3266.660000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BCKBB77KX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-3468.250000</valUSD>
        <pctVal>-0.0000878</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>32849.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2578810.750000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-3468.250000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BFKBBZRD3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-2839.500000</valUSD>
        <pctVal>-0.0000719</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>23461.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1809992.690000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-2839.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BGKBB56VD"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-4448.760000</valUSD>
        <pctVal>-0.0001126</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>35211.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2700067.510000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-4448.760000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVOLON HOLDINGS FUNDING LIMITED</name>
        <lei>635400ZRKEX9L1BKCH30</lei>
        <title>AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 04/26 4.25</title>
        <cusip>05401AAL5</cusip>
        <identifiers>
          <isin value="US05401AAL52"/>
        </identifiers>
        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>691290.630000</valUSD>
        <pctVal>0.0175015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AVOLON HOLDINGS FUNDING LIMITED</name>
        <lei>635400ZRKEX9L1BKCH30</lei>
        <title>AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528</title>
        <cusip>05401AAR2</cusip>
        <identifiers>
          <isin value="US05401AAR23"/>
        </identifiers>
        <balance>2755000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2438531.520000</valUSD>
        <pctVal>0.0617365</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-18</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.528</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>N/A</name>
        <lei>N/A</lei>
        <title>SOLD KRW/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBBZGXJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="KRW" exchangeRt="1215.734700"/>
        <valUSD>-2683.880000</valUSD>
        <pctVal>-0.0000679</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>KR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>221515225.000000</amtCurSold>
            <curSold>KRW</curSold>
            <amtCurPur>179523.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>-2683.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BIKBB0NXL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.145500"/>
        <valUSD>-579868.880000</valUSD>
        <pctVal>-0.0146806</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>337336000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>16165074.130000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-579868.880000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBB576X"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.591300"/>
        <valUSD>775.970000</valUSD>
        <pctVal>0.0000196</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
              <counterpartyLei>KD3XUN7C6T14HNAYLU02</counterpartyLei>
            </counterparties>
            <amtCurSold>1952157.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>69054.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>775.970000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ZAR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BKKBB6HB4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.746100"/>
        <valUSD>-27636.820000</valUSD>
        <pctVal>-0.0006997</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Goldman Sachs Bank USA</counterpartyName>
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            <amtCurSold>10805887.160000</amtCurSold>
            <curSold>ZAR</curSold>
            <amtCurPur>705161.000000</amtCurPur>
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            <unrealizedAppr>-27636.820000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>AVOLON HOLDINGS FUNDING LIMITED</name>
        <lei>635400ZRKEX9L1BKCH30</lei>
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        <cusip>05401AAM3</cusip>
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          <isin value="US05401AAM36"/>
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        <balance>400000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>365710.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-21</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>HOCHTIEF AG SNR SE SP JPM</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0JUL7"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>267857.810000</valUSD>
        <pctVal>0.0067814</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
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            <descRefInstrmnt>
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                <issuerName>HOCHTIEF AG</issuerName>
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            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="5.000000"/>
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            <pmntCurCd>EUR</pmntCurCd>
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            <rcptCurCd>EUR</rcptCurCd>
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            <curCd>EUR</curCd>
            <unrealizedAppr>-102355.760000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBBQ5N3"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>861.690000</valUSD>
        <pctVal>0.0000218</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>5078710.510000</amtCurSold>
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            <unrealizedAppr>861.690000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AVON FINANCE NO 2 PLC 2A</name>
        <lei>N/A</lei>
        <title>AVON FINANCE AVON 2A A 144A</title>
        <cusip>ACI1RJQB0</cusip>
        <identifiers>
          <isin value="XS2229041616"/>
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        <balance>4280757.660000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>5621170.190000</valUSD>
        <pctVal>0.1423115</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2048-09-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBBXH9L"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="INR" exchangeRt="76.428300"/>
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        <pctVal>0.0000029</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>8611.000000</amtCurSold>
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            <unrealizedAppr>112.640000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT JPY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBBQ5DB"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="121.625900"/>
        <valUSD>-55404.490000</valUSD>
        <pctVal>-0.0014027</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>2137197.980000</amtCurSold>
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            <amtCurPur>253200000.000000</amtCurPur>
            <curPur>JPY</curPur>
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            <unrealizedAppr>-55404.490000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BKKBB8D9D"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CHF" exchangeRt="0.922500"/>
        <valUSD>-23974.080000</valUSD>
        <pctVal>-0.0006070</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>31089000.000000</amtCurSold>
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            <unrealizedAppr>-23974.080000</unrealizedAppr>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBB6RXT"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="6.372500"/>
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        <pctVal>0.0000172</pctVal>
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        <assetCat>DFE</assetCat>
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        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>1467151.930000</amtCurSold>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BOKBB90DG"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
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        <assetCat>DFE</assetCat>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="22CEKBBS1JX"/>
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          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <title>SOLD IDR/BOUGHT USD</title>
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          <other otherDesc="Internal ID" value="22CFKBBRZFZ"/>
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      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="22CHKBB9C93"/>
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          <fwdDeriv derivCat="FWD">
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <other otherDesc="Internal ID" value="22BIKBBS2JK"/>
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              <counterpartyName>HSBC BANK PLC</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AKKBBXJC2"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>HSBC BANK PLC</counterpartyName>
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            <amtCurSold>42097.000000</amtCurSold>
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      <invstOrSec>
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      <invstOrSec>
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        <invCountry>US</invCountry>

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

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        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <delta>XXXX</delta>
            <unrealizedAppr>8903.050000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  <descRefInstrmnt>
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            <delta>XXXX</delta>
            <unrealizedAppr>4694.180000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <derivativeInfo>
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                  <derivAddlInfo>
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      </invstOrSec>
      <invstOrSec>
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        <lei>N/A</lei>
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        <invCountry>US</invCountry>

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        <derivativeInfo>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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            <delta>XXXX</delta>
            <unrealizedAppr>9734.970000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <issuerName>N/A</issuerName>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <ticker value="ITRX"/>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>6164.130000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317514OF9 PIMCO CDSOPT PUT EUR 0.95 20220615</title>
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        <identifiers>
          <ticker value="ITRX"/>
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        <balance>-6300000.000000</balance>
        <units>NC</units>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                      <identifiers>
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                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.950000</exercisePrice>
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            <expDt>2022-06-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>1717.500000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <ticker value="ITRX"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  <descRefInstrmnt>
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                  <rcptCurCd>EUR</rcptCurCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.900000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>5134.540000</unrealizedAppr>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
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        </identifiers>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                  <descRefInstrmnt>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>1.050000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>6647.900000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
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        </identifiers>
        <balance>-7900000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <unrealizedAppr>2222.270000</unrealizedAppr>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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          <ticker value="ITRX"/>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
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                      <issuerName>N/A</issuerName>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>5158.800000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="ITRX"/>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>5155.880000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <identifiers>
          <ticker value="ITRX"/>
        </identifiers>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  </derivAddlInfo>
                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                  <pmntCurCd>EUR</pmntCurCd>
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                  <rcptCurCd>EUR</rcptCurCd>
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                  <curCd>EUR</curCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.950000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>5096.010000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                      <issuerName>N/A</issuerName>
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                  <rcptCurCd>EUR</rcptCurCd>
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            <delta>XXXX</delta>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        </identifiers>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                  <rcptCurCd>EUR</rcptCurCd>
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            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>4556.370000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <units>NC</units>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
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                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN36 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPC36MA5"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>EUR</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>EUR</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.850000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>12586.870000</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>CDX ITRAXX MAIN36 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KBS0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>4478885.840000</valUSD>
        <pctVal>0.1133922</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ITRAXX EUROPE SERIES 36</issueTitle>
                <identifiers>
                  <ticker value="ITRX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>5498513.890000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>249300000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-1019628.050000</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>317514FO0 PIMCO CDSOPT PUT EUR 1.2 20220720</title>
        <cusip>OP001L267</cusip>
        <identifiers>
          <ticker value="ITRX"/>
        </identifiers>
        <balance>-4300000.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>-7987.170000</valUSD>
        <pctVal>-0.0002022</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPC37MA3"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <currencyConditional curCd="EUR" exchangeRt="N/A"/>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX ITRAXX MAIN37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPC37MA3"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2027-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>EUR</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>EUR</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>EUR</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>EUR</exercisePriceCurCd>
            <expDt>2022-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5120.290000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX ITRAXX MAIN37 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KS45"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>938174.620000</valUSD>
        <pctVal>0.0237518</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>ITRAXX EUROPE SERIES 37</issueTitle>
                <identifiers>
                  <ticker value="ITRX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2027-06-22</terminationDt>
            <upfrontPmnt>919318.400000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>60700000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>18856.220000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2004-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3</title>
        <cusip>06051GAX7</cusip>
        <identifiers>
          <isin value="US06051GAX79"/>
        </identifiers>
        <balance>799.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>801.800000</valUSD>
        <pctVal>0.0000203</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-09-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.496</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CJKBBWQ7S"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>10055.370000</valUSD>
        <pctVal>0.0002546</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>1215289.970000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>933000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>10055.370000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD AUD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBCB3X3"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="AUD" exchangeRt="1.335500"/>
        <valUSD>-1203896.810000</valUSD>
        <pctVal>-0.0304791</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>32808000.000000</amtCurSold>
            <curSold>AUD</curSold>
            <amtCurPur>23361789.410000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-1203896.810000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21LFKBCG6BC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.157500"/>
        <valUSD>195525.490000</valUSD>
        <pctVal>0.0049501</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>25905180.000000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>8399863.810000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-12-07</settlementDt>
            <unrealizedAppr>195525.490000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD NOK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BLKBBSWZ2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="NOK" exchangeRt="8.807600"/>
        <valUSD>-25205.740000</valUSD>
        <pctVal>-0.0006381</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>20360000.000000</amtCurSold>
            <curSold>NOK</curSold>
            <amtCurPur>2286439.120000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-25205.740000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2005-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 4A1</title>
        <cusip>05946XQX4</cusip>
        <identifiers>
          <isin value="US05946XQX48"/>
        </identifiers>
        <balance>8950.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9273.890000</valUSD>
        <pctVal>0.0002348</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>3.09853</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBBZQ14"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="INR" exchangeRt="76.428300"/>
        <valUSD>80.510000</valUSD>
        <pctVal>0.0000020</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>8229.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>635081.300000</amtCurPur>
            <curPur>INR</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>80.510000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT TWD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBB7PM7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.591300"/>
        <valUSD>-1469.050000</valUSD>
        <pctVal>-0.0000372</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
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            <amtCurSold>79056.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2218311.000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>-1469.050000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBB4PTM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.372500"/>
        <valUSD>742.730000</valUSD>
        <pctVal>0.0000188</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>1414469.400000</amtCurSold>
            <curSold>CNY</curSold>
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            <curPur>USD</curPur>
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            <unrealizedAppr>742.730000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CIKBCG120"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="CNY" exchangeRt="6.372500"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>861102.040000</amtCurSold>
            <curSold>CNY</curSold>
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            <unrealizedAppr>37.160000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD IDR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBB8Q1G"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14363.530300"/>
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        <pctVal>0.0000008</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>406350081.000000</amtCurSold>
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            <amtCurPur>28323.000000</amtCurPur>
            <curPur>USD</curPur>
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          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2006-6</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4</title>
        <cusip>05950RBJ7</cusip>
        <identifiers>
          <isin value="US05950RBJ77"/>
        </identifiers>
        <balance>8038.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7990.840000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBCJB3N"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>26958527.780000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>201634.460000</amtCurPur>
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            <unrealizedAppr>-114833.240000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD RUB/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBCJB3P"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
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        <pctVal>-0.0028837</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>27608189.310000</amtCurSold>
            <curSold>RUB</curSold>
            <amtCurPur>200640.910000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-113903.020000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBB7PLX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.379900"/>
        <valUSD>1629.200000</valUSD>
        <pctVal>0.0000412</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <amtCurSold>2197362.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>79056.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>1629.200000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BLKBB8M3V"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.761100"/>
        <valUSD>283739.590000</valUSD>
        <pctVal>0.0071835</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>2955044.030000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>15420010.770000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2022-04-04</settlementDt>
            <unrealizedAppr>283739.590000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT BRL/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CPKBB85F9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.799400"/>
        <valUSD>15112.510000</valUSD>
        <pctVal>0.0003826</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>418467.650000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2080935.000000</amtCurPur>
            <curPur>BRL</curPur>
            <settlementDt>2022-05-03</settlementDt>
            <unrealizedAppr>15112.510000</unrealizedAppr>
          </fwdDeriv>
        </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 4A1</title>
        <cusip>05950PAK9</cusip>
        <identifiers>
          <isin value="US05950PAK93"/>
        </identifiers>
        <balance>465803.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>437396.500000</valUSD>
        <pctVal>0.0110736</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>2.91014</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>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CSKBB2TJK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>126492.570000</valUSD>
        <pctVal>0.0032024</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>23692164.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>160159028.640000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>126492.570000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT DKK/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CTKBB94XB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>165371.820000</valUSD>
        <pctVal>0.0041867</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>20403242.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>138305416.220000</amtCurPur>
            <curPur>DKK</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>165371.820000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CVKBBQHQL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>-10203.530000</valUSD>
        <pctVal>-0.0002583</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>1824890.390000</amtCurSold>
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            <amtCurPur>1638000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-10203.530000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <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>
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        <identifiers>
          <isin value="US05950PAU75"/>
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        <balance>6241.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5175.720000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CLKBB9CMS"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14368.363600"/>
        <valUSD>-167.960000</valUSD>
        <pctVal>-0.0000043</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>39979.290000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>572023681.000000</amtCurPur>
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            <settlementDt>2022-05-31</settlementDt>
            <unrealizedAppr>-167.960000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BEKBB7HVB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-4336.320000</valUSD>
        <pctVal>-0.0001098</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>37336.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2896452.210000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-4336.320000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT TRY/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBB3VGM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TRY" exchangeRt="14.884600"/>
        <valUSD>-256817.780000</valUSD>
        <pctVal>-0.0065019</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>4628743.790000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>65074583.190000</amtCurPur>
            <curPur>TRY</curPur>
            <settlementDt>2022-04-22</settlementDt>
            <unrealizedAppr>-256817.780000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT TWD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CNKBB4KLL"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.591300"/>
        <valUSD>-473.460000</valUSD>
        <pctVal>-0.0000120</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>32131.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>905130.000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>-473.460000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BNKBB0FDM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.761100"/>
        <valUSD>-233093.590000</valUSD>
        <pctVal>-0.0059012</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>13339075.770000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>2568615.230000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-04</settlementDt>
            <unrealizedAppr>-233093.590000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD BRL/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CPKBB848Q"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="BRL" exchangeRt="4.761100"/>
        <valUSD>-15363.380000</valUSD>
        <pctVal>-0.0003890</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>2080935.000000</amtCurSold>
            <curSold>BRL</curSold>
            <amtCurPur>421711.420000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-04</settlementDt>
            <unrealizedAppr>-15363.380000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <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"/>
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        <balance>354.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>344.090000</valUSD>
        <pctVal>0.0000087</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>3.48177</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>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IRKBB7DH9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>188583.380000</valUSD>
        <pctVal>0.0047744</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
            </counterparties>
            <amtCurSold>20264646.250000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>3202317.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>188583.380000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21ISKBBTQ2V"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
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        <pctVal>0.0049511</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <curSold>DKK</curSold>
            <amtCurPur>3450235.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>195563.430000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BIKBBPGZ8"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>94146.100000</valUSD>
        <pctVal>0.0023835</pctVal>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <curSold>DKK</curSold>
            <amtCurPur>3119829.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>94146.100000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CSKBB2TJ6"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.701100"/>
        <valUSD>-119274.500000</valUSD>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <curPur>USD</curPur>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CTKBCH1TD"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.701100"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <unrealizedAppr>-158512.050000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
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          <other otherDesc="Internal ID" value="22CWKBB0FV9"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.701100"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <amtCurPur>6320239.950000</amtCurPur>
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            <unrealizedAppr>22033.680000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
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        <identifiers>
          <other otherDesc="Internal ID" value="22BKKBB09X4"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="JPY" exchangeRt="121.625900"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
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              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
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            <amtCurPur>79016486.980000</amtCurPur>
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        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SGD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBB1MV5"/>
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        <balance>1.000000</balance>
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        <currencyConditional curCd="SGD" exchangeRt="1.355400"/>
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        <pctVal>-0.0001207</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. INTERNATIONAL PLC</counterpartyName>
              <counterpartyLei>4PQUHN3JPFGFNF3BB653</counterpartyLei>
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            <amtCurSold>1464963.190000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>1076079.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-4766.440000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBBWGH2"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.591300"/>
        <valUSD>741.680000</valUSD>
        <pctVal>0.0000188</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
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        </derivativeInfo>
        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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              <counterpartyName>MERRILL LYNCH INTERNATIONAL</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
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            <swapFlag>Y</swapFlag>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2007-A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-20</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2007-B</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1</title>
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          <isin value="US05952EAA47"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BANC OF AMERICA FUNDING CORP 2007-D</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 3A1</title>
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          <isin value="US05952GAT85"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-20</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
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            <descRefInstrmnt>
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                <issuerName>N/A</issuerName>
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            <swapFlag>Y</swapFlag>
            <floatingRecDesc curCd="USD" fixedOrFloating="Floating" floatingRtIndex="RAFI Dynamic Multi-Factor Developed ex US Index" floatingRtSpread="0.000000" pmntAmt="0.000000">
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>BNP PARIBAS</counterpartyName>
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            <swapFlag>Y</swapFlag>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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            <swapFlag>Y</swapFlag>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <other otherDesc="Internal ID" value="SWU01DCE5"/>
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        <curCd>USD</curCd>
        <valUSD>-2440774.580000</valUSD>
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        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
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        <name>N/A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>N/A</name>
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            <swapFlag>Y</swapFlag>
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      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BFKBBZNK6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-7172.420000</valUSD>
        <pctVal>-0.0001816</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>58500.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4505130.340000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-7172.420000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CJKBCBRGH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.184300"/>
        <valUSD>-11296.310000</valUSD>
        <pctVal>-0.0002860</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>SOCIETE GENERALE</counterpartyName>
              <counterpartyLei>O2RNE8IBXP4R0TD8PU41</counterpartyLei>
            </counterparties>
            <amtCurSold>1660422.030000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>510139.370000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-11296.310000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBBQ5FN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>-11576.500000</valUSD>
        <pctVal>-0.0002931</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>2831315.460000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2147000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-11576.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBBTWPV"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="INR" exchangeRt="76.428300"/>
        <valUSD>145.000000</valUSD>
        <pctVal>0.0000037</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>8638.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>671269.350000</amtCurPur>
            <curPur>INR</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>145.000000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT INR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBB5G9K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="INR" exchangeRt="76.428300"/>
        <valUSD>29.140000</valUSD>
        <pctVal>0.0000007</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>3399.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>262006.480000</amtCurPur>
            <curPur>INR</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>29.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AIKBB8XMM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-3100.090000</valUSD>
        <pctVal>-0.0000785</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>29787.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2273343.840000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-3100.090000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CNH/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBB7M2L"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CNY" exchangeRt="6.372500"/>
        <valUSD>490.230000</valUSD>
        <pctVal>0.0000124</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CN</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>1463687.000000</amtCurSold>
            <curSold>CNY</curSold>
            <amtCurPur>230180.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>490.230000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SGD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBB9DDB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.355400"/>
        <valUSD>-3165.020000</valUSD>
        <pctVal>-0.0000801</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>STANDARD CHARTERED BANK</counterpartyName>
              <counterpartyLei>RILFO74KP1CM8P6PCT96</counterpartyLei>
            </counterparties>
            <amtCurSold>1428467.540000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>1050754.040000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-3165.020000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>STELLANTIS NV SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KG30"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1125709.000000</valUSD>
        <pctVal>0.0284996</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>STELLANTIS NV</issuerName>
                <issueTitle>FIAT CHRYSLER AUTOMOBILE SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US31562QAF46"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>1406979.260000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>6100000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-281270.260000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
        <lei>K8MS7FD7N5Z2WQ51AZ71</lei>
        <title>BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>BF2PHRII3</cusip>
        <identifiers>
          <isin value="ES0813211002"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1145659.910000</valUSD>
        <pctVal>0.0290047</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
              <title>BANCO BILBAO VIZCAYA ARGENTA</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0113211835"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="266.667" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
        <lei>K8MS7FD7N5Z2WQ51AZ71</lei>
        <title>BANCO BILBAO VIZCAYA ARG JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>BGRFX8II0</cusip>
        <identifiers>
          <isin value="ES0813211002"/>
        </identifiers>
        <balance>1400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1603923.870000</valUSD>
        <pctVal>0.0406066</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)</name>
              <title>BANCO BILBAO VIZCAYA ARGENTA</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0113211835"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="266.667" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANCO BTG PACTUAL SA/CAYMAN ISLANDS BRANCH</name>
        <lei>ZXLTQRYIK6IJH3R0IK66</lei>
        <title>BANCO BTG PACTUAL/CAYMAN SR UNSECURED 144A 01/25 4.5</title>
        <cusip>05971AAE1</cusip>
        <identifiers>
          <isin value="US05971AAE10"/>
        </identifiers>
        <balance>954000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>948137.670000</valUSD>
        <pctVal>0.0240041</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-10</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>N/A</name>
        <lei>N/A</lei>
        <title>317U915X4 PIMCO SWAPTION 0.0185 PUT USD 202403</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="OP000T4N2"/>
        </identifiers>
        <balance>241600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5277051.360000</valUSD>
        <pctVal>0.1335995</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>Citibank, National Association</counterpartyName>
              <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Purchased</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Citibank, National Association</counterpartyName>
                    <counterpartyLei>E57ODZWZ7FF32TWEFA76</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>IRS USD R 1.85000 03/20/24-2Y LCH</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWU019GJ9"/>
                    </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>
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                    <indexBasketInfo>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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              <title>BANCO SANTANDER SA</title>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
        <name>N/A</name>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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        <derivativeInfo>
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              <counterpartyName>London Clearing house</counterpartyName>
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      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTGE SEC 2003-D</name>
        <lei>N/A</lei>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>N/A</name>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BANK OF AMERICA MTGE SECURITIES 2004-A</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2</title>
        <cusip>05948XT27</cusip>
        <identifiers>
          <isin value="US05948XT270"/>
        </identifiers>
        <balance>6490.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6616.140000</valUSD>
        <pctVal>0.0001675</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>Fixed</couponKind>
          <annualizedRt>2.6239</annualizedRt>
          <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>5528.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5580.490000</valUSD>
        <pctVal>0.0001413</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>2.75917</annualizedRt>
          <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-L</name>
        <lei>N/A</lei>
        <title>BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1</title>
        <cusip>05949AZE3</cusip>
        <identifiers>
          <isin value="US05949AZE36"/>
        </identifiers>
        <balance>7553.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7662.930000</valUSD>
        <pctVal>0.0001940</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>2.55685</annualizedRt>
          <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 IRELAND GROUP PLC</name>
        <lei>635400C8EK6DRI12LJ39</lei>
        <title>BANK OF IRELAND GROUP JR SUBORDINA REGS VAR</title>
        <cusip>ACI1MF377</cusip>
        <identifiers>
          <isin value="XS2178043530"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>361620.210000</valUSD>
        <pctVal>0.0091552</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-19</maturityDt>
          <couponKind>Floating</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>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22AKKBCRBHM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="85.185700"/>
        <valUSD>-7209.930000</valUSD>
        <pctVal>-0.0001825</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>88299.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>6907630.770000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-04-21</settlementDt>
            <unrealizedAppr>-7209.930000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BBKBB7DQT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-3708.160000</valUSD>
        <pctVal>-0.0000939</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>33836.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2644384.910000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-3708.160000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BDKBBTQN5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-4345.300000</valUSD>
        <pctVal>-0.0001100</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>39109.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>3051284.180000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-4345.300000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT RUB/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBBZ6X4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="RUB" exchangeRt="87.772100"/>
        <valUSD>-5848.110000</valUSD>
        <pctVal>-0.0001481</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>RU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>60874.500000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>4829782.830000</amtCurPur>
            <curPur>RUB</curPur>
            <settlementDt>2022-05-23</settlementDt>
            <unrealizedAppr>-5848.110000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CHF/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BMKBBPQXK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CHF" exchangeRt="0.922500"/>
        <valUSD>6453.320000</valUSD>
        <pctVal>0.0001634</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>1321000.000000</amtCurSold>
            <curSold>CHF</curSold>
            <amtCurPur>1438383.610000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>6453.320000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBBS4X5"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>68378.940000</valUSD>
        <pctVal>0.0017312</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>20545000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>3123806.430000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>68378.940000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BKKBBPXGJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>283458.660000</valUSD>
        <pctVal>0.0071763</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>72220000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>11023929.500000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>283458.660000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BLKBBS13K"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>92464.300000</valUSD>
        <pctVal>0.0023409</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>UBS AG</counterpartyName>
              <counterpartyLei>BFM8T61CT2L1QCEMIK50</counterpartyLei>
            </counterparties>
            <amtCurSold>20680000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>3167968.830000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>92464.300000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS BANK PLC</name>
        <lei>G5GSEF7VJP5I7OUK5573</lei>
        <title>BARCLAYS BANK PLC SUBORDINATED 11/22 7.625</title>
        <cusip>06740L8C2</cusip>
        <identifiers>
          <isin value="US06740L8C27"/>
        </identifiers>
        <balance>842000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>863336.130000</valUSD>
        <pctVal>0.0218571</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-21</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>06738EBA2</cusip>
        <identifiers>
          <isin value="US06738EBA29"/>
        </identifiers>
        <balance>3900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4052236.500000</valUSD>
        <pctVal>0.1025907</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="467.29" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0G5LH6</cusip>
        <identifiers>
          <isin value="XS1274156097"/>
        </identifiers>
        <balance>1200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>1609144.580000</valUSD>
        <pctVal>0.0407388</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI0SSSH6</cusip>
        <identifiers>
          <isin value="XS1571333811"/>
        </identifiers>
        <balance>2400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>3243463.940000</valUSD>
        <pctVal>0.0821150</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA REGS VAR</title>
        <cusip>931ZUKII2</cusip>
        <identifiers>
          <isin value="XS1658012023"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>660549.000000</valUSD>
        <pctVal>0.0167232</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 10YR NOTE (CBT)JUN22 XCBT 20220621</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TYM2"/>
        </identifiers>
        <balance>965.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3311766.040000</valUSD>
        <pctVal>-0.0838442</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>
          <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="ADI2177M7-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-06-21</expDate>
            <notionalAmt>118446211.420000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-3311766.040000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC JR SUBORDINA VAR</title>
        <cusip>ACI1CH093</cusip>
        <identifiers>
          <isin value="XS1998799792"/>
        </identifiers>
        <balance>2273000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>3148879.460000</valUSD>
        <pctVal>0.0797204</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>BARCLAYS PLC</name>
              <title>BARCLAYS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0031348658"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="606.061" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US 2YR NOTE (CBT) JUN22 XCBT 20220630</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="TUM2"/>
        </identifiers>
        <balance>1594.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4614938.670000</valUSD>
        <pctVal>-0.1168367</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>
          <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="ADI2178C8-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-06-30</expDate>
            <notionalAmt>337597990.990000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-4614938.670000</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) JUN22 XCBT 20220630</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="FVM2"/>
        </identifiers>
        <balance>-1221.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3692601.840000</valUSD>
        <pctVal>0.0934858</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>
          <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="ADI21JCT0-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-06-30</expDate>
            <notionalAmt>-139866503.600000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>3692601.840000</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) JUN22 XCBT 20220621</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="USM2"/>
        </identifiers>
        <balance>295.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1228749.340000</valUSD>
        <pctVal>-0.0311083</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>
          <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="ADI223MT3-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-06-21</expDate>
            <notionalAmt>44291484.380000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1228749.340000</unrealizedAppr>
          </futrDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>US ULTRA BOND CBT JUN22 XCBT 20220621</title>
        <cusip>000000000</cusip>
        <identifiers>
          <ticker value="WNM2"/>
        </identifiers>
        <balance>-698.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>4767552.830000</valUSD>
        <pctVal>0.1207004</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>
          <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="ADI217CD1-UNITED STATES GOVT"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <expDate>2022-06-21</expDate>
            <notionalAmt>-123535093.750000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>4767552.830000</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>VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0JPI0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>208669.800000</valUSD>
        <pctVal>0.0052829</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>VOLKSWAGEN INTERNATIONAL FINANCE NV</issuerName>
                <issueTitle>VOLKSWAGEN INTL FIN NV CO GTD</issueTitle>
                <identifiers>
                  <isin value="XS1167644407"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="EUR" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2025-12-21</terminationDt>
            <upfrontPmnt>298311.530000</upfrontPmnt>
            <pmntCurCd>EUR</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>EUR</rcptCurCd>
            <notionalAmt>24300000.000000</notionalAmt>
            <curCd>EUR</curCd>
            <unrealizedAppr>-89641.730000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SR UNSECURED 05/24 VAR</title>
        <cusip>06738EBC8</cusip>
        <identifiers>
          <isin value="US06738EBC84"/>
        </identifiers>
        <balance>924000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>928631.950000</valUSD>
        <pctVal>0.0235102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.83857</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BARCLAYS PLC</name>
        <lei>213800LBQA1Y9L22JB70</lei>
        <title>BARCLAYS PLC SUBORDINATED REGS 02/28 VAR</title>
        <cusip>ACI0XFYR9</cusip>
        <identifiers>
          <isin value="XS1678970291"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>445167.290000</valUSD>
        <pctVal>0.0112703</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-02-07</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>BAT CAPITAL CORPORATION</name>
        <lei>2138005GYEXN7XRHFA84</lei>
        <title>BAT CAPITAL CORP COMPANY GUAR 08/24 3.222</title>
        <cusip>05526DAZ8</cusip>
        <identifiers>
          <isin value="US05526DAZ87"/>
        </identifiers>
        <balance>86000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86033.410000</valUSD>
        <pctVal>0.0021781</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.222</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAT INTERNATIONAL FINANCE PLC</name>
        <lei>21380041YBGOQDFAC823</lei>
        <title>BAT INTL FINANCE PLC COMPANY GUAR 144A 06/25 3.95</title>
        <cusip>05530QAK6</cusip>
        <identifiers>
          <isin value="US05530QAK67"/>
        </identifiers>
        <balance>152000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>151272.950000</valUSD>
        <pctVal>0.0038298</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BAYVIEW OPPORTUNITY MASTER FUND IVA TRUST 2019-SBR1</name>
        <lei>N/A</lei>
        <title>BAYVIEW OPPORTUNITY MASTER FUN BOMFT 2019 SBR1 A1 144A</title>
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          <isin value="US07333YAA64"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-28</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BCAP LLC TRUST 2007-AA1</name>
        <lei>N/A</lei>
        <title>BCAP LLC TRUST BCAP 2007 AA1 2A1</title>
        <cusip>05530PAP7</cusip>
        <identifiers>
          <isin value="US05530PAP71"/>
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        <balance>1859916.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1776594.930000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.63657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ABS INC 2004-2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2004 2 M1</title>
        <cusip>073879GZ5</cusip>
        <identifiers>
          <isin value="US073879GZ57"/>
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        <balance>815554.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>816885.980000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.65657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2003-2</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 2 A5 144A</title>
        <cusip>07384MTD4</cusip>
        <identifiers>
          <isin value="US07384MTD47"/>
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        <balance>37925.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39137.770000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56952</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2003-5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 2A1</title>
        <cusip>07384MWN8</cusip>
        <identifiers>
          <isin value="US07384MWN81"/>
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        <balance>14048.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14026.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.5941</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2003-6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1</title>
        <cusip>07384MXB3</cusip>
        <identifiers>
          <isin value="US07384MXB35"/>
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        <balance>3002.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2980.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.39622</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2004-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1</title>
        <cusip>07384M3D2</cusip>
        <identifiers>
          <isin value="US07384M3D25"/>
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        <balance>214.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214.470000</valUSD>
        <pctVal>0.0000054</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>2.73149</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJ RATE MTGE TR 2006-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1</title>
        <cusip>07387AGZ2</cusip>
        <identifiers>
          <isin value="US07387AGZ21"/>
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        <balance>3995.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4048.620000</valUSD>
        <pctVal>0.0001025</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>2.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1</title>
        <cusip>07384MZQ8</cusip>
        <identifiers>
          <isin value="US07384MZQ85"/>
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        <balance>2.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2.670000</valUSD>
        <pctVal>0.0000001</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>2.32096</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1</title>
        <cusip>07384M4E9</cusip>
        <identifiers>
          <isin value="US07384M4E98"/>
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        <balance>334.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>337.820000</valUSD>
        <pctVal>0.0000086</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>2.7105</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </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 23A1</title>
        <cusip>07387AGE9</cusip>
        <identifiers>
          <isin value="US07387AGE91"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2003-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2003 3 1A</title>
        <cusip>07386HCE9</cusip>
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          <isin value="US07386HCE99"/>
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        <balance>218.450000</balance>
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        <valUSD>220.670000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2033-10-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-10</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1</title>
        <cusip>07386HYW5</cusip>
        <identifiers>
          <isin value="US07386HYW59"/>
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        <balance>6458.610000</balance>
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        <curCd>USD</curCd>
        <valUSD>9497.280000</valUSD>
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        <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>
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          <isDefault>Y</isDefault>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1</title>
        <cusip>07386HSY8</cusip>
        <identifiers>
          <isin value="US07386HSY89"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2</title>
        <cusip>07386HSZ5</cusip>
        <identifiers>
          <isin value="US07386HSZ54"/>
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        <balance>19066.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19002.240000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.62686</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS 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"/>
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        <balance>62817.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49390.350000</valUSD>
        <pctVal>0.0012504</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>2.55151</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1</title>
        <cusip>07386HWZ0</cusip>
        <identifiers>
          <isin value="US07386HWZ09"/>
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        <balance>59604.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55674.930000</valUSD>
        <pctVal>0.0014095</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.54949</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ALT-A TRUST 2005-9</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1</title>
        <cusip>07386HXZ9</cusip>
        <identifiers>
          <isin value="US07386HXZ99"/>
        </identifiers>
        <balance>67484.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64737.340000</valUSD>
        <pctVal>0.0016390</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>2.67694</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 13A1</title>
        <cusip>073871AE5</cusip>
        <identifiers>
          <isin value="US073871AE56"/>
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        <balance>408111.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>389861.580000</valUSD>
        <pctVal>0.0098702</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>0.77657</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 2006-7</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2006 7 1A1</title>
        <cusip>073875AA4</cusip>
        <identifiers>
          <isin value="US073875AA49"/>
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        <balance>4166.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4022.620000</valUSD>
        <pctVal>0.0001018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79657</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 2007-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ALT A TRUST BALTA 2007 1 1A1</title>
        <cusip>07386XAA4</cusip>
        <identifiers>
          <isin value="US07386XAA46"/>
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        <balance>39948.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37591.200000</valUSD>
        <pctVal>0.0009517</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>0.77657</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 2003-1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1</title>
        <cusip>07384MTM4</cusip>
        <identifiers>
          <isin value="US07384MTM46"/>
        </identifiers>
        <balance>1340.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1399.440000</valUSD>
        <pctVal>0.0000354</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>2.06664</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ARM TR 2004-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2</title>
        <cusip>07384MR87</cusip>
        <identifiers>
          <isin value="US07384MR877"/>
        </identifiers>
        <balance>5876.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5661.480000</valUSD>
        <pctVal>0.0001433</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>3.03904</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ARM TR 2004-8</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1</title>
        <cusip>07384M2E1</cusip>
        <identifiers>
          <isin value="US07384M2E17"/>
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        <balance>1539.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1540.540000</valUSD>
        <pctVal>0.0000390</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>3.01836</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ARM TRUST 2002-11</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1</title>
        <cusip>07384MSH6</cusip>
        <identifiers>
          <isin value="US07384MSH69"/>
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        <balance>263.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270.080000</valUSD>
        <pctVal>0.0000068</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>2.49998</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1</title>
        <cusip>07384YPX8</cusip>
        <identifiers>
          <isin value="US07384YPX84"/>
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        <balance>1447803.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1418844.210000</valUSD>
        <pctVal>0.0359210</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>1.43157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3</title>
        <cusip>073879PA0</cusip>
        <identifiers>
          <isin value="US073879PA06"/>
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        <balance>5355754.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5335811.380000</valUSD>
        <pctVal>0.1350871</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>2.33157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A1</title>
        <cusip>073888AN9</cusip>
        <identifiers>
          <isin value="US073888AN98"/>
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        <balance>25909.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25799.000000</valUSD>
        <pctVal>0.0006532</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>2.67009</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 1A1</title>
        <cusip>07389NAA3</cusip>
        <identifiers>
          <isin value="US07389NAA37"/>
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        <balance>5711.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5674.990000</valUSD>
        <pctVal>0.0001437</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>3.00607</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE5</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE5 1A3</title>
        <cusip>073859AC4</cusip>
        <identifiers>
          <isin value="US073859AC47"/>
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        <balance>780650.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>778869.090000</valUSD>
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        <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>0.69657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A</title>
        <cusip>07387YAE3</cusip>
        <identifiers>
          <isin value="US07387YAE32"/>
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        <balance>450409.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>430363.780000</valUSD>
        <pctVal>0.0108955</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>1.50657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS 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"/>
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        <balance>217696.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>211829.210000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.77657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BEAR STEARNS ASSETBACKED SEC 2006-3</name>
        <lei>N/A</lei>
        <title>BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1</title>
        <cusip>07388GAD3</cusip>
        <identifiers>
          <isin value="US07388GAD34"/>
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        <balance>78339.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78064.950000</valUSD>
        <pctVal>0.0019764</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>1.13157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BENEFIT STREET PARTNERS CLO XII LTD 2017-12A</name>
        <lei>N/A</lei>
        <title>BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A2R 144A</title>
        <cusip>08179HAG5</cusip>
        <identifiers>
          <isin value="US08179HAG56"/>
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        <balance>8150000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8069679.310000</valUSD>
        <pctVal>0.2043006</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.74129</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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        <name>BERKSHIRE HATHAWAY ENERGY COMPANY</name>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <name>BERKSHIRE HATHAWAY ENERGY COMPANY</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BLACK DIAMOND CLO 2019-1 DAC 19-1A</name>
        <lei>N/A</lei>
        <title>BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A</title>
        <cusip>ACI20P3Q5</cusip>
        <identifiers>
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        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BLACKROCK EUROPEAN CLO VII DAC 7A</name>
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        <cusip>ACI1W2WD0</cusip>
        <identifiers>
          <isin value="XS2304369759"/>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A</name>
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        <title>BLUEMOUNTAIN EUR CLO BLUME 2017 2A AR 144A</title>
        <cusip>ACI1VBS38</cusip>
        <identifiers>
          <isin value="XS2292479644"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>BNP PARIBAS</name>
        <lei>R0MUWSFPU8MPRO8K5P83</lei>
        <title>BNP PARIBAS SR UNSECURED 144A 01/27 VAR</title>
        <cusip>09659W2N3</cusip>
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        <balance>3500000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>3191148.350000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>FR</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      <invstOrSec>
        <name>BOEING CO/THE</name>
        <lei>RVHJWBXLJ1RFUBSY1F30</lei>
        <title>BOEING CO SR UNSECURED 02/26 2.75</title>
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          <isin value="US097023DA04"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BOEING CO/THE</name>
        <lei>RVHJWBXLJ1RFUBSY1F30</lei>
        <title>BOEING CO SR UNSECURED 02/35 3.25</title>
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        <identifiers>
          <isin value="US097023CP81"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>447385.090000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>3.25</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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        <name>BPCRE HOLDER LLC 2021-FL1</name>
        <lei>N/A</lei>
        <title>BPCRE HOLDER LLC BPCRE 2021 FL1 A 144A</title>
        <cusip>05601GAA4</cusip>
        <identifiers>
          <isin value="US05601GAA40"/>
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        <balance>35471.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35070.360000</valUSD>
        <pctVal>0.0008879</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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        <name>BRAZIL GOVT</name>
        <lei>254900ZFY40OYEADAP90</lei>
        <title>FED REPUBLIC OF BRAZIL SR UNSECURED 01/50 4.75</title>
        <cusip>105756CB4</cusip>
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          <isin value="US105756CB40"/>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>BR</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC COMPANY GUAR 11/30 4.15</title>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC COMPANY GUAR 144A 02/31 2.45</title>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC COMPANY GUAR 144A 02/51 3.75</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC SR UNSECURED 144A 04/33 3.419</title>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC SR UNSECURED 144A 04/34 3.469</title>
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          <isin value="US11135FBL40"/>
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        <curCd>USD</curCd>
        <valUSD>4780341.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC SR UNSECURED 144A 11/35 3.137</title>
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          <isin value="US11135FBP53"/>
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        <balance>2300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2031098.170000</valUSD>
        <pctVal>0.0514214</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.137</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>BROADCOM INC</name>
        <lei>549300WV6GIDOZJTV909</lei>
        <title>BROADCOM INC SR UNSECURED 144A 11/36 3.187</title>
        <cusip>11135FBQ3</cusip>
        <identifiers>
          <isin value="US11135FBQ37"/>
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        <balance>2136000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1858716.160000</valUSD>
        <pctVal>0.0470572</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.187</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>BX TRUST 2021-ARIA</name>
        <lei>N/A</lei>
        <title>BX TRUST BX 2021 ARIA B 144A</title>
        <cusip>05608RAE5</cusip>
        <identifiers>
          <isin value="US05608RAE53"/>
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        <balance>16000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15702859.200000</valUSD>
        <pctVal>0.3975503</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.694</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAIRN CLO IV BV 14-4A</name>
        <lei>N/A</lei>
        <title>CAIRN CLO DAC CRNCL 2014 4A ARRR 144A</title>
        <cusip>ACI1W1H64</cusip>
        <identifiers>
          <isin value="XS2306571816"/>
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        <balance>4400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>4847783.370000</valUSD>
        <pctVal>0.1227316</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-30</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAIRN CLO VII BV 16-7A</name>
        <lei>N/A</lei>
        <title>CAIRN CLO BV CRNCL 2016 7A A1R 144A</title>
        <cusip>ACI1G9KT1</cusip>
        <identifiers>
          <isin value="XS2066880928"/>
        </identifiers>
        <balance>681009.510000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>749360.500000</valUSD>
        <pctVal>0.0189716</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-31</maturityDt>
          <couponKind>Floating</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>CAIRN CLO X BV 18-10A</name>
        <lei>N/A</lei>
        <title>CAIRN CLO BV CRNCL 2018 10A AR 144A</title>
        <cusip>ACI1YFN80</cusip>
        <identifiers>
          <isin value="XS2350603374"/>
        </identifiers>
        <balance>2900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>3171610.840000</valUSD>
        <pctVal>0.0802959</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.78</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAIXABANK SA (AKA: LA CAIXA)</name>
        <lei>7CUNS533WID6K7DGFI87</lei>
        <title>CAIXABANK SA JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI0VK8S7</cusip>
        <identifiers>
          <isin value="ES0840609004"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1167686.440000</valUSD>
        <pctVal>0.0295624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-13</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>CAIXABANK SA (AKA: LA CAIXA)</name>
              <title>CAIXABANK SA</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0140609019"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="356.761" curCd="EUR"/>
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          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CAIXABANK SA (AKA: LA CAIXA)</name>
        <lei>7CUNS533WID6K7DGFI87</lei>
        <title>CAIXABANK SA JR SUBORDINA REGS VAR</title>
        <cusip>ACI0W5SY4</cusip>
        <identifiers>
          <isin value="XS1645651909"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>223739.010000</valUSD>
        <pctVal>0.0056644</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ES</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-07-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>CAIXABANK SA (AKA: LA CAIXA)</name>
              <title>CAIXABANK SA</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="ES0140609019"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="229.885" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CALIFORNIA STATE PUBLIC WORKS BOARD</name>
        <lei>N/A</lei>
        <title>CALIFORNIA ST PUBLIC WKS BRD L CASFAC 03/35 FIXED 7.804</title>
        <cusip>130685C81</cusip>
        <identifiers>
          <isin value="US130685C814"/>
        </identifiers>
        <balance>35000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46670.170000</valUSD>
        <pctVal>0.0011816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.804</annualizedRt>
          <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 EURO CLO 2019-2 DAC 19-2A</name>
        <lei>N/A</lei>
        <title>CARLYLE EURO CLO CGMSE 2019 2A A1R 144A</title>
        <cusip>ACI1ZPM05</cusip>
        <identifiers>
          <isin value="XS2373706519"/>
        </identifiers>
        <balance>7900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>8663527.920000</valUSD>
        <pctVal>0.2193351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.89</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CARRINGTON MTGE LOAN TRUST 2005-NC5</name>
        <lei>N/A</lei>
        <title>CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC5 M2</title>
        <cusip>144531DP2</cusip>
        <identifiers>
          <isin value="US144531DP28"/>
        </identifiers>
        <balance>1564000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1532802.270000</valUSD>
        <pctVal>0.0388061</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>1.20657</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>CARRINGTON MTGE LOAN TRUST 2007-FRE1</name>
        <lei>N/A</lei>
        <title>CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3</title>
        <cusip>144527AC2</cusip>
        <identifiers>
          <isin value="US144527AC22"/>
        </identifiers>
        <balance>376671.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>366090.880000</valUSD>
        <pctVal>0.0092683</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>0.71657</annualizedRt>
          <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 8A</name>
        <lei>N/A</lei>
        <title>CBAM CLO MANAGEMENT CBAM 2018 8A A1 144A</title>
        <cusip>12478CAA9</cusip>
        <identifiers>
          <isin value="US12478CAA99"/>
        </identifiers>
        <balance>1899741.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1900417.280000</valUSD>
        <pctVal>0.0481130</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.374</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CENTENE CORPORATION</name>
        <lei>549300Z7JJ4TQSQGT333</lei>
        <title>CENTENE CORP SR UNSECURED 12/29 4.625</title>
        <cusip>15135BAT8</cusip>
        <identifiers>
          <isin value="US15135BAT89"/>
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        <balance>55000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>55541.200000</valUSD>
        <pctVal>0.0014061</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</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>CENTEX HOME EQUITY 2004-B</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2004 B M1</title>
        <cusip>152314JV3</cusip>
        <identifiers>
          <isin value="US152314JV38"/>
        </identifiers>
        <balance>224683.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>219023.250000</valUSD>
        <pctVal>0.0055450</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>1.10157</annualizedRt>
          <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 LOAN TRUST 2006-A</name>
        <lei>N/A</lei>
        <title>CENTEX HOME EQUITY CXHE 2006 A M3</title>
        <cusip>15231AAG1</cusip>
        <identifiers>
          <isin value="US15231AAG13"/>
        </identifiers>
        <balance>9500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8908927.100000</valUSD>
        <pctVal>0.2255479</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>0.95157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHARTER COMMUNICATIONS (CCO HOLDINGS LLC/CCO HOLDINGS CAPITAL CO)</name>
        <lei>N/A</lei>
        <title>CCO HLDGS LLC/CAP CORP SR UNSECURED 144A 06/33 4.5</title>
        <cusip>1248EPCL5</cusip>
        <identifiers>
          <isin value="US1248EPCL57"/>
        </identifiers>
        <balance>900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>809073.000000</valUSD>
        <pctVal>0.0204834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
        <lei>N/A</lei>
        <title>CHARTER COMM OPT LLC/CAP SR SECURED 02/24 VAR</title>
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          <isin value="US161175BP82"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1052390.750000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
        <lei>N/A</lei>
        <title>CHARTER COMM OPT LLC/CAP SR SECURED 06/52 3.9</title>
        <cusip>161175CA0</cusip>
        <identifiers>
          <isin value="US161175CA05"/>
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        <balance>4000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3385588.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2052-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.9</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL</name>
        <lei>N/A</lei>
        <title>CHARTER COMM OPT LLC/CAP SR SECURED 07/25 4.908</title>
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        <identifiers>
          <isin value="US161175AY09"/>
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        <balance>789000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>818965.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-23</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.908</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE FUNDING MTGE LN ASSET BK 2002-3</name>
        <lei>N/A</lei>
        <title>CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1</title>
        <cusip>161546DB9</cusip>
        <identifiers>
          <isin value="US161546DB96"/>
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        <balance>11207.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10804.580000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.09657</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORGAGE FINANCE CORP 2005-A1</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1</title>
        <cusip>16162WPB9</cusip>
        <identifiers>
          <isin value="US16162WPB99"/>
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        <balance>7365.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6975.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.78692</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORGAGE FINANCE CORP 2005-A2</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 1A3</title>
        <cusip>16162WPX1</cusip>
        <identifiers>
          <isin value="US16162WPX10"/>
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        <balance>6348.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6038.910000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHASE MORTGAGE FINANCE CORP 2006-A1</name>
        <lei>N/A</lei>
        <title>CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1</title>
        <cusip>16163CAN2</cusip>
        <identifiers>
          <isin value="US16163CAN20"/>
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        <balance>127975.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116698.040000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.8604</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CHASEFLEX TRUST 2007-3</name>
        <lei>N/A</lei>
        <title>CHASEFLEX TRUST CFLX 2007 3 2A1</title>
        <cusip>16165AAD6</cusip>
        <identifiers>
          <isin value="US16165AAD63"/>
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        <balance>2864797.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2726504.640000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.75657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHENIERE CORPUS CHRISTI HOLDINGS LLC</name>
        <lei>549300I7CIEWU1BBLQ53</lei>
        <title>CHENIERE CORP CHRISTI HD SR SECURED 11/29 3.7</title>
        <cusip>16412XAJ4</cusip>
        <identifiers>
          <isin value="US16412XAJ46"/>
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        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1297966.810000</valUSD>
        <pctVal>0.0328607</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.7</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHEVY CHASE MORTGAGE FUND CORP 2005-2A</name>
        <lei>N/A</lei>
        <title>CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A</title>
        <cusip>16678RDL8</cusip>
        <identifiers>
          <isin value="US16678RDL87"/>
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        <balance>107188.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100280.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.68657</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CHL MORTGAGE PASS-THROUGH TRUST 2006-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 12 A1</title>
        <cusip>125432AE4</cusip>
        <identifiers>
          <isin value="US125432AE49"/>
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        <balance>266461.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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      </invstOrSec>
      <invstOrSec>
        <name>CHL MORTGAGE PASS-THROUGH TRUST 2007-19</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2007 19 1A1</title>
        <cusip>12544PAA0</cusip>
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          <isin value="US12544PAA03"/>
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        <balance>368093.520000</balance>
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        <curCd>USD</curCd>
        <valUSD>211927.230000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CIT MTGE LOAN TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>CIT MORTGAGE LOAN TRUST CITM 2007 1 1A 144A</title>
        <cusip>12559QAA0</cusip>
        <identifiers>
          <isin value="US12559QAA04"/>
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        <balance>64911.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65003.360000</valUSD>
        <pctVal>0.0016457</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>1.80657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>CITIGROUP COMMERCIAL MORTGAGE TRUST 2012-GC8</name>
        <lei>N/A</lei>
        <title>CITIGROUP COMMERCIAL MORTGAGE CGCMT 2012 GC8 XA 144A</title>
        <cusip>17318UAK0</cusip>
        <identifiers>
          <isin value="US17318UAK07"/>
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        <balance>111943.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127.150000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-09-10</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.72422</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TR 2006-WF2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1</title>
        <cusip>17309BAL1</cusip>
        <identifiers>
          <isin value="US17309BAL18"/>
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        <balance>404029.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>264150.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>7.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M2</title>
        <cusip>17309QAF1</cusip>
        <identifiers>
          <isin value="US17309QAF19"/>
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        <balance>265491.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>264191.980000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.90657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP 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"/>
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        <balance>492407.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>492428.170000</valUSD>
        <pctVal>0.0124668</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>CITIGROUP MORTGAGE LOAN TRUST 2019-E</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2019 E A1 144A</title>
        <cusip>17328DAA8</cusip>
        <identifiers>
          <isin value="US17328DAA81"/>
        </identifiers>
        <balance>119484.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>119561.840000</valUSD>
        <pctVal>0.0030270</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-11-25</maturityDt>
          <couponKind>Fixed</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 MORTGAGE LOAN TRUST INC 2005-HE3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4</title>
        <cusip>17307GWU8</cusip>
        <identifiers>
          <isin value="US17307GWU83"/>
        </identifiers>
        <balance>4930000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4808809.750000</valUSD>
        <pctVal>0.1217450</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>1.35657</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>CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M3</title>
        <cusip>17309LAH8</cusip>
        <identifiers>
          <isin value="US17309LAH87"/>
        </identifiers>
        <balance>3282000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3057303.120000</valUSD>
        <pctVal>0.0774019</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>0.93657</annualizedRt>
          <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-AR1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1</title>
        <cusip>17307G2Z0</cusip>
        <identifiers>
          <isin value="US17307G2Z05"/>
        </identifiers>
        <balance>13754.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14044.830000</valUSD>
        <pctVal>0.0003556</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>3.15</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>CITIGROUP MTGE LOAN TR INC 2006-AR1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1</title>
        <cusip>17307G3C0</cusip>
        <identifiers>
          <isin value="US17307G3C01"/>
        </identifiers>
        <balance>32788.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31901.130000</valUSD>
        <pctVal>0.0008076</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>2.49</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>CITIGROUP MTGE LOAN TR INC 2006-FX1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 FX1 A3</title>
        <cusip>17309YAC1</cusip>
        <identifiers>
          <isin value="US17309YAC12"/>
        </identifiers>
        <balance>105037.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76700.120000</valUSD>
        <pctVal>0.0019418</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>0.75657</annualizedRt>
          <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-NC2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B</title>
        <cusip>17309TAC2</cusip>
        <identifiers>
          <isin value="US17309TAC27"/>
        </identifiers>
        <balance>40298.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33702.800000</valUSD>
        <pctVal>0.0008533</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>0.77657</annualizedRt>
          <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-WFH2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2</title>
        <cusip>17309MAF0</cusip>
        <identifiers>
          <isin value="US17309MAF05"/>
        </identifiers>
        <balance>3291000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3244440.250000</valUSD>
        <pctVal>0.0821397</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>0.87657</annualizedRt>
          <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 2007-10</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA</title>
        <cusip>17313QAL2</cusip>
        <identifiers>
          <isin value="US17313QAL23"/>
        </identifiers>
        <balance>157774.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149415.970000</valUSD>
        <pctVal>0.0037828</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>3.18455</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>CITIGROUP MTGE LOAN TR INC 2007-AHL2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A</title>
        <cusip>17312TAA1</cusip>
        <identifiers>
          <isin value="US17312TAA16"/>
        </identifiers>
        <balance>1614024.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1268496.330000</valUSD>
        <pctVal>0.0321146</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>0.64657</annualizedRt>
          <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-AHL2</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B</title>
        <cusip>17312TAJ2</cusip>
        <identifiers>
          <isin value="US17312TAJ25"/>
        </identifiers>
        <balance>2505794.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1999018.190000</valUSD>
        <pctVal>0.0506093</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>0.65657</annualizedRt>
          <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-AMC1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B</title>
        <cusip>17311BAB9</cusip>
        <identifiers>
          <isin value="US17311BAB99"/>
        </identifiers>
        <balance>330969.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155890.330000</valUSD>
        <pctVal>0.0039467</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>0.60657</annualizedRt>
          <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 A3B</title>
        <cusip>17311XAB1</cusip>
        <identifiers>
          <isin value="US17311XAB10"/>
        </identifiers>
        <balance>4749193.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4009459.840000</valUSD>
        <pctVal>0.1015078</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>0.63657</annualizedRt>
          <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-AR1</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A2</title>
        <cusip>17310UAB8</cusip>
        <identifiers>
          <isin value="US17310UAB89"/>
        </identifiers>
        <balance>117552.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108174.140000</valUSD>
        <pctVal>0.0027387</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>0.77657</annualizedRt>
          <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>10248.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10249.380000</valUSD>
        <pctVal>0.0002595</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>2.47</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 2005-3</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B</title>
        <cusip>17307GTK4</cusip>
        <identifiers>
          <isin value="US17307GTK49"/>
        </identifiers>
        <balance>4132.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3473.830000</valUSD>
        <pctVal>0.0000879</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>2.82072</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>CITIGROUP MTGE LOAN TRUST INC 2005-6</name>
        <lei>N/A</lei>
        <title>CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2</title>
        <cusip>17307GXQ6</cusip>
        <identifiers>
          <isin value="US17307GXQ62"/>
        </identifiers>
        <balance>10646.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10951.520000</valUSD>
        <pctVal>0.0002773</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>2.21</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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        <name>COMM MORTGAGE TRUST 2016-787S</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-11CB</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-51</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-56</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-61</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB</name>
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      <invstOrSec>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-24</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4</name>
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        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1</name>
        <lei>N/A</lei>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1</title>
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        <issuerCat>CORP</issuerCat>
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        </debtSec>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2005-27</name>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2005-27</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11</name>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9</name>
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          <isin value="US02146YAC03"/>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1</name>
        <lei>N/A</lei>
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        <cusip>126694A32</cusip>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A5</title>
        <cusip>126694S41</cusip>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1</title>
        <cusip>12668BB44</cusip>
        <identifiers>
          <isin value="US12668BB444"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.85657</annualizedRt>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 2A2B</title>
        <cusip>232434AD2</cusip>
        <identifiers>
          <isin value="US232434AD26"/>
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        <balance>3386.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>3</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79657</annualizedRt>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A3</title>
        <cusip>02150JAV4</cusip>
        <identifiers>
          <isin value="US02150JAV44"/>
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        <balance>109843.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>68553.540000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4</title>
        <cusip>12667GTQ6</cusip>
        <identifiers>
          <isin value="US12667GTQ63"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1</title>
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          <isin value="US12667G6K42"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1</title>
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          <isin value="US12668AWH49"/>
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        <curCd>USD</curCd>
        <valUSD>44403.680000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7</title>
        <cusip>02146TAG2</cusip>
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          <isin value="US02146TAG22"/>
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        <curCd>USD</curCd>
        <valUSD>492168.420000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERT 2007-QH1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A</title>
        <cusip>12669HAA7</cusip>
        <identifiers>
          <isin value="US12669HAA77"/>
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        <balance>113207.060000</balance>
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        <curCd>USD</curCd>
        <valUSD>106706.010000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERT 2007-QH2</name>
        <lei>N/A</lei>
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        <cusip>12668JAA4</cusip>
        <identifiers>
          <isin value="US12668JAA43"/>
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        <balance>255519.480000</balance>
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        <curCd>USD</curCd>
        <valUSD>230134.280000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.93657</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A</title>
        <cusip>23246LAA7</cusip>
        <identifiers>
          <isin value="US23246LAA70"/>
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        <balance>39811.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38947.830000</valUSD>
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        <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>0.63657</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-20</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A</title>
        <cusip>12667HAA9</cusip>
        <identifiers>
          <isin value="US12667HAA95"/>
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        <balance>69949.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67975.310000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-22</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A</title>
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        <invCountry>US</invCountry>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET BACKED CERTS 2006-BC5</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A</title>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2004-10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2004 10 MV3</title>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV4</title>
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          <isin value="US126670DD79"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2005-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV7</title>
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          <isin value="US126673C261"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-10</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5</title>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-09-25</maturityDt>
          <couponKind>Variable</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-16</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A</title>
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        <identifiers>
          <isin value="US23242FAA49"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-17</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 17 2A2</title>
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        <identifiers>
          <isin value="US12666VAC54"/>
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        <curCd>USD</curCd>
        <valUSD>536633.130000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-18</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A</title>
        <cusip>23243WAA6</cusip>
        <identifiers>
          <isin value="US23243WAA62"/>
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        <balance>158471.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-24</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 2A3</title>
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        <identifiers>
          <isin value="US23243HAD35"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23776.850000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-5</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 1A</title>
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          <isin value="US126670YE24"/>
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        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2006-5</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 5 2A3</title>
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          <isin value="US126670YH54"/>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-1</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 2A3</title>
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      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-10</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-11</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 11 2A3</title>
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          <isin value="US23247LAC28"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERT 2007-12</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1</title>
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          <isin value="US126697AA90"/>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.19657</annualizedRt>
          <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 2007-6</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3</title>
        <cusip>12669LAD2</cusip>
        <identifiers>
          <isin value="US12669LAD29"/>
        </identifiers>
        <balance>184566.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190541.690000</valUSD>
        <pctVal>0.0048240</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>0.67657</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 2007-7</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4</title>
        <cusip>12669VAE8</cusip>
        <identifiers>
          <isin value="US12669VAE83"/>
        </identifiers>
        <balance>7600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7131830.120000</valUSD>
        <pctVal>0.1805570</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.74657</annualizedRt>
          <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 2007-9</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A</title>
        <cusip>12670FAA8</cusip>
        <identifiers>
          <isin value="US12670FAA84"/>
        </identifiers>
        <balance>69850.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64616.940000</valUSD>
        <pctVal>0.0016359</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>0.65657</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 CERTIFICAT 2007-3</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3</title>
        <cusip>12668UAG6</cusip>
        <identifiers>
          <isin value="US12668UAG67"/>
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        <balance>115905.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111562.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66657</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 2005-8</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M6</title>
        <cusip>1266735Z1</cusip>
        <identifiers>
          <isin value="US1266735Z13"/>
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        <balance>145000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>142994.190000</valUSD>
        <pctVal>0.0036202</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>1.49157</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC1 2A4</title>
        <cusip>12668TAE4</cusip>
        <identifiers>
          <isin value="US12668TAE47"/>
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        <balance>694639.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>672407.460000</valUSD>
        <pctVal>0.0170234</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>0.68657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-13</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 13 MV1</title>
        <cusip>126670HJ0</cusip>
        <identifiers>
          <isin value="US126670HJ04"/>
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        <balance>232307.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232139.540000</valUSD>
        <pctVal>0.0058771</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>1.11657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A1</title>
        <cusip>126670KK3</cusip>
        <identifiers>
          <isin value="US126670KK30"/>
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        <balance>308344.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291393.970000</valUSD>
        <pctVal>0.0073772</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>0.99657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2006-1</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 MV1</title>
        <cusip>126670TW8</cusip>
        <identifiers>
          <isin value="US126670TW86"/>
        </identifiers>
        <balance>3831508.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3765106.300000</valUSD>
        <pctVal>0.0953214</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>1.04157</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE ASSET-BACKED CERTS 2006-2</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE ASSET BACKED CERTI CWL 2006 2 M1</title>
        <cusip>126670UW6</cusip>
        <identifiers>
          <isin value="US126670UW67"/>
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        <balance>29239.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29118.240000</valUSD>
        <pctVal>0.0007372</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>1.05657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2006 19 1A7</title>
        <cusip>12543XAG1</cusip>
        <identifiers>
          <isin value="US12543XAG16"/>
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        <balance>169302.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>111478.660000</valUSD>
        <pctVal>0.0028223</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>1383.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1400.470000</valUSD>
        <pctVal>0.0000355</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>3.09475</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-15</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 15 4A</title>
        <cusip>12669FL50</cusip>
        <identifiers>
          <isin value="US12669FL509"/>
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        <balance>30586.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30590.910000</valUSD>
        <pctVal>0.0007745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.4068</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-22</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 22 A3</title>
        <cusip>12669F6Z1</cusip>
        <identifiers>
          <isin value="US12669F6Z19"/>
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        <balance>12875.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12830.530000</valUSD>
        <pctVal>0.0003248</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>2.69569</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2004-29</name>
        <lei>N/A</lei>
        <title>COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1</title>
        <cusip>12669GJB8</cusip>
        <identifiers>
          <isin value="US12669GJB86"/>
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        <balance>7706.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6953.710000</valUSD>
        <pctVal>0.0001760</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>1.11657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>320.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>322.500000</valUSD>
        <pctVal>0.0000082</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>2.50455</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>844.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>815.390000</valUSD>
        <pctVal>0.0000206</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-3</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-9</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
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        <issuerCat>CORP</issuerCat>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2005-R2</name>
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        <title>COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A</title>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2006-20</name>
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      </invstOrSec>
      <invstOrSec>
        <name>COUNTRYWIDE HOME LOANS 2007-5</name>
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        <title>COUNTRYWIDE HOME LOANS CWHL 2007 5 A51</title>
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          <isin value="US12544VCN73"/>
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      <invstOrSec>
        <name>COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>CREDIT SUISSE GROUP AG</name>
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        <lei>549300506SI9CRFV9Z86</lei>
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        <name>CREDIT SUISSE GROUP AG</name>
        <lei>549300506SI9CRFV9Z86</lei>
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        <name>CREDIT SUISSE GROUP AG</name>
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        <name>CREDIT SUISSE GROUP AG</name>
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        <name>CREDIT SUISSE GROUP AG</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE GROUP AG</name>
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        <fairValLevel>2</fairValLevel>
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            <dbtSecRefInstrument>
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      <invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE GROUP AG</name>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2007-2</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2007-6</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAP CERT 2009-3R</name>
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        <balance>27188.770000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-27</maturityDt>
          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R</name>
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        <cusip>12651DAG3</cusip>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2019-RP10</name>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE TRUST 2010-16</name>
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          <couponKind>Variable</couponKind>
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        <name>CREDIT SUISSE MORTGAGE TRUST 2014-7R</name>
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      <invstOrSec>
        <name>CREDIT SUISSE MORTGAGE TRUST 2020-RPL6</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CREDIT SUISSE MRTG CAPITAL CERT 2006-7</name>
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        <fairValLevel>2</fairValLevel>
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        <name>CROWN CASTLE INTERNATIONAL CORP (CCI)</name>
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      <invstOrSec>
        <name>CS FIRST BOSTON MTGE SEC CORP 2003-AR15</name>
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      <invstOrSec>
        <name>CSAB MORTGAGE BACKED TR 2006-4</name>
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        <title>CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A</title>
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        <balance>1421495.720000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>CSFB MORTGAGE SECURITIES CORP 2005 8</name>
        <lei>N/A</lei>
        <title>CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 1A1</title>
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        <balance>243193.910000</balance>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.25</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>CVC CORDATUS LOAN FUND V LTD 5A</name>
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      <invstOrSec>
        <name>CVC CORDATUS LOAN FUND VII DAC 7A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>CVC CORDATUS LOAN FUND XI DAC 21-1</name>
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          <isin value="XS2310127027"/>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>CVS HEALTH CORPORATION</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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        <name>CVS HEALTH CORPORATION</name>
        <lei>549300EJG376EN5NQE29</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>CVS HEALTH CORPORATION</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS HEALTH CORP SR UNSECURED 04/40 4.125</title>
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          <isin value="US126650DK33"/>
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        <valUSD>18359.060000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>CVS HEALTH CORPORATION</name>
        <lei>549300EJG376EN5NQE29</lei>
        <title>CVS HEALTH CORP SR UNSECURED 04/50 4.25</title>
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          <isin value="US126650DL16"/>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <name>CVS PASS-THROUGH TRUST</name>
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          <isin value="US126650BQ21"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DAE FUNDING LLC</name>
        <lei>635400SZTPQL3Y1P2C76</lei>
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          <isin value="US23371DAH70"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>1.625</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>DAE FUNDING LLC</name>
        <lei>635400SZTPQL3Y1P2C76</lei>
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          <isin value="US23371DAF15"/>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DAE FUNDING LLC</name>
        <lei>635400SZTPQL3Y1P2C76</lei>
        <title>DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375</title>
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        <valUSD>1692000.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DELL INTERNATIONAL LLC / EMC CORP</name>
        <lei>N/A</lei>
        <title>DELL INT LLC / EMC CORP SR UNSECURED 07/25 5.85</title>
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          <isin value="US24703TAC09"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DELL INTERNATIONAL LLC / EMC CORP</name>
        <lei>N/A</lei>
        <title>DELL INT LLC / EMC CORP SR UNSECURED 10/26 4.9</title>
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        <identifiers>
          <isin value="US24703TAE64"/>
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        <curCd>USD</curCd>
        <valUSD>23097.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DELL INTERNATIONAL LLC / EMC CORP</name>
        <lei>N/A</lei>
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          <isin value="US24703TAG13"/>
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        <balance>65000.000000</balance>
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        <valUSD>70912.850000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DELTA AIR LINES INC / SKYMILES IP LTD</name>
        <lei>N/A</lei>
        <title>DELTA AIR LINES/SKYMILES SR SECURED 144A 10/25 4.5</title>
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        <identifiers>
          <isin value="US830867AA59"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1006596.580000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-10-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SEC INC MTGE LO 2005-1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A1</title>
        <cusip>251510CV3</cusip>
        <identifiers>
          <isin value="US251510CV37"/>
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        <balance>85580.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85193.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SEC INC MTGE LO 2005-1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4</title>
        <cusip>251510DG5</cusip>
        <identifiers>
          <isin value="US251510DG50"/>
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        <balance>39449.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39270.550000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES INC 2006-AR1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3</title>
        <cusip>251510LD3</cusip>
        <identifiers>
          <isin value="US251510LD38"/>
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        <balance>152251.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>155288.970000</valUSD>
        <pctVal>0.0039315</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>1.11657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES INC 2006-AR6</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR6 A6</title>
        <cusip>25150RAF2</cusip>
        <identifiers>
          <isin value="US25150RAF29"/>
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        <balance>514927.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>502198.670000</valUSD>
        <pctVal>0.0127142</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>0.83657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE ALT-A SECURITIES INC 2007-AR1</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR1 A4</title>
        <cusip>25151RAF1</cusip>
        <identifiers>
          <isin value="US25151RAF10"/>
        </identifiers>
        <balance>21270.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26700.030000</valUSD>
        <pctVal>0.0006760</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>0.77657</annualizedRt>
          <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 MORTGAGE LOAN TRUST SERIES 2007-3</name>
        <lei>N/A</lei>
        <title>DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1</title>
        <cusip>25151KAC3</cusip>
        <identifiers>
          <isin value="US25151KAC36"/>
        </identifiers>
        <balance>208645.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191295.920000</valUSD>
        <pctVal>0.0048431</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.20657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625</title>
        <cusip>ACI1J0CL3</cusip>
        <identifiers>
          <isin value="DE000DL19U23"/>
        </identifiers>
        <balance>3600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>3880949.380000</valUSD>
        <pctVal>0.0982542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 01/28 1.75</title>
        <cusip>ACI0ZWMV4</cusip>
        <identifiers>
          <isin value="DE000DL19T26"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>320665.520000</valUSD>
        <pctVal>0.0081183</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-17</maturityDt>
          <couponKind>Fixed</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>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 09/26 VAR</title>
        <cusip>ACI1QTHL7</cusip>
        <identifiers>
          <isin value="DE000DL19VP0"/>
        </identifiers>
        <balance>1900000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>2063488.010000</valUSD>
        <pctVal>0.0522415</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-03</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK AG SR UNSECURED REGS 11/30 VAR</title>
        <cusip>ACI1SQBN3</cusip>
        <identifiers>
          <isin value="DE000DL19VS4"/>
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        <balance>1700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1763437.230000</valUSD>
        <pctVal>0.0446451</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-11-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 02/23 VAR</title>
        <cusip>251526BS7</cusip>
        <identifiers>
          <isin value="US251526BS76"/>
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        <balance>2766000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2781165.230000</valUSD>
        <pctVal>0.0704109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-02-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.73786</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 05/32 VAR</title>
        <cusip>251526CK3</cusip>
        <identifiers>
          <isin value="US251526CK32"/>
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        <balance>3100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2790810.530000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-05-28</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 09/31 VAR</title>
        <cusip>251526CD9</cusip>
        <identifiers>
          <isin value="US251526CD98"/>
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        <balance>4633000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4376114.140000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.547</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 11/25 VAR</title>
        <cusip>251526CB3</cusip>
        <identifiers>
          <isin value="US251526CB33"/>
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        <balance>1993000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1993290.740000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.961</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DEUTSCHE BANK AG/NEW YORK BRANCH</name>
        <lei>7LTWFZYICNSX8D621K86</lei>
        <title>DEUTSCHE BANK NY SR UNSECURED 11/26 VAR</title>
        <cusip>251526CE7</cusip>
        <identifiers>
          <isin value="US251526CE71"/>
        </identifiers>
        <balance>4400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4083877.340000</valUSD>
        <pctVal>0.1033918</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>Y</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-24</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>DISCOVERY COMMUNICATIONS (MAGALLANES INC)</name>
        <lei>549300DXR29GD4N0A520</lei>
        <title>MAGALLANES INC COMPANY GUAR 144A 03/29 4.054</title>
        <cusip>55903VAJ2</cusip>
        <identifiers>
          <isin value="US55903VAJ26"/>
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        <balance>1700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1710397.100000</valUSD>
        <pctVal>0.0433022</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.054</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DISCOVERY COMMUNICATIONS (MAGALLANES INC)</name>
        <lei>549300DXR29GD4N0A520</lei>
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          <isin value="US55903VAL71"/>
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        <curCd>USD</curCd>
        <valUSD>8347207.080000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>DORIC NIMROD AIR FINANCE ALPHA LTD 2012-1 CLASS A PASS THROUGH TRUST</name>
        <lei>N/A</lei>
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        <cusip>258258AA0</cusip>
        <identifiers>
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        <balance>28762.430000</balance>
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        <curCd>USD</curCd>
        <valUSD>28551.750000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.125</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DRYDEN 52 EURO CLO 2017 17-52A</name>
        <lei>N/A</lei>
        <title>DRYDEN EURO CLO DRYD 2017 52A AR 144A</title>
        <cusip>ACI1YL2T4</cusip>
        <identifiers>
          <isin value="XS2353412633"/>
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        <balance>9100000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <pctVal>0.2532761</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.86</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DRYDEN XXVII-R EURO CLO BV 2017-27A</name>
        <lei>N/A</lei>
        <title>DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A</title>
        <cusip>ACI1W43B2</cusip>
        <identifiers>
          <isin value="XS2305383288"/>
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        <balance>15500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <pctVal>0.4292247</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2004-AR1</name>
        <lei>N/A</lei>
        <title>DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A</title>
        <cusip>23332UAC8</cusip>
        <identifiers>
          <isin value="US23332UAC80"/>
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        <balance>26817.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26144.950000</valUSD>
        <pctVal>0.0006619</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-09-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.26857</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2004-AR3</name>
        <lei>N/A</lei>
        <title>DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1</title>
        <cusip>23332UBF0</cusip>
        <identifiers>
          <isin value="US23332UBF03"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.49479</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2005-AR4</name>
        <lei>N/A</lei>
        <title>DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A</title>
        <cusip>23332UEM2</cusip>
        <identifiers>
          <isin value="US23332UEM27"/>
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        <balance>3607.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3460.210000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.96857</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2006-AR2</name>
        <lei>N/A</lei>
        <title>DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 1A1A</title>
        <cusip>23332QAA1</cusip>
        <identifiers>
          <isin value="US23332QAA13"/>
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        <balance>142725.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>131899.710000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.63857</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>DSLA MORTGAGE LOAN TRUST 2007-AR1</name>
        <lei>N/A</lei>
        <title>DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 1A1A</title>
        <cusip>23333YAA3</cusip>
        <identifiers>
          <isin value="US23333YAA38"/>
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        <balance>611394.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>555587.270000</valUSD>
        <pctVal>0.0140658</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-04-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.58857</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>DTE ELECTRIC CO (AKA: DETROIT EDISON COMPANY)</name>
        <lei>9N0FWODEJVKHC2DYLO03</lei>
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        <cusip>23338VAM8</cusip>
        <identifiers>
          <isin value="US23338VAM81"/>
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        <balance>311000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>296103.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.625</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMORGAN CHASE + CO JR SUBORDINA 12/49 VAR</title>
        <cusip>46625HHA1</cusip>
        <identifiers>
          <isin value="US46625HHA14"/>
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        <balance>2569000.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>2569018.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ECMC GROUP STUDENT LOAN TRUST 2019-1A</name>
        <lei>N/A</lei>
        <title>ECMC GROUP STUDENT LOAN TRUST ECMC 2019 1A A1B 144A</title>
        <cusip>26829XAB7</cusip>
        <identifiers>
          <isin value="US26829XAB73"/>
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        <balance>377401.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>378220.420000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2069-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.45657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>EDISON INTERNATIONAL</name>
        <lei>549300I7ROF15MAEVP56</lei>
        <title>EDISON INTERNATIONAL SR UNSECURED 06/27 5.75</title>
        <cusip>281020AN7</cusip>
        <identifiers>
          <isin value="US281020AN70"/>
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        <balance>54000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57929.600000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
        <lei>8I5DZWZKVSZI1NUHU748</lei>
        <title>JPMORGAN CHASE + CO JR SUBORDINA 12/99 VAR</title>
        <cusip>48128BAG6</cusip>
        <identifiers>
          <isin value="US48128BAG68"/>
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        <balance>145000.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>140106.250000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ELLINGTON LOAN ACQUISITION TRUST 2007-1</name>
        <lei>N/A</lei>
        <title>ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A</title>
        <cusip>288542AA1</cusip>
        <identifiers>
          <isin value="US288542AA12"/>
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        <balance>2400433.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2375942.140000</valUSD>
        <pctVal>0.0601519</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>1.55657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>EMC MORTGAGE LOAN TRUST 2002-B</name>
        <lei>N/A</lei>
        <title>EMC MORTGAGE LOAN TRUST EMCM 2002 B A1 144A</title>
        <cusip>268668BD1</cusip>
        <identifiers>
          <isin value="US268668BD18"/>
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        <balance>4073.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4009.520000</valUSD>
        <pctVal>0.0001015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.75657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ENCORE CREDIT RECEIVABLES TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>ENCORE CREDIT RECEIVABLES TRUS ECR 2005 2 M3</title>
        <cusip>126673J37</cusip>
        <identifiers>
          <isin value="US126673J373"/>
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        <balance>41973.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41861.710000</valUSD>
        <pctVal>0.0010598</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>1.19157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ENERGY TRANSFER LP</name>
        <lei>MTLVN9N7JE8MIBIJ1H73</lei>
        <title>ENERGY TRANSFER LP SR UNSECURED 03/23 4.25</title>
        <cusip>29278NAL7</cusip>
        <identifiers>
          <isin value="US29278NAL73"/>
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        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>ENERGY TRANSFER LP / REGENCY ENERGY FINANCE CORP</name>
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        <cusip>75886AAQ1</cusip>
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          <isin value="US75886AAQ13"/>
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        <curCd>USD</curCd>
        <valUSD>22180.650000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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      <invstOrSec>
        <name>EQUINIX INC</name>
        <lei>549300EVUN2BTLJ3GT74</lei>
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        <curCd>USD</curCd>
        <valUSD>196416.540000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>EQUINOR ASA</name>
        <lei>OW6OFBNCKXC4US5C7523</lei>
        <title>EQUINOR ASA COMPANY GUAR 04/30 3.125</title>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>EQUINOR ASA</name>
        <lei>OW6OFBNCKXC4US5C7523</lei>
        <title>EQUINOR ASA COMPANY GUAR 04/50 3.7</title>
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          <isin value="US29446MAH51"/>
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        <curCd>USD</curCd>
        <valUSD>18291.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NO</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-06</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EQUITABLE HOLDINGS INC</name>
        <lei>549300FIBAKMNHPZ4009</lei>
        <title>EQUITABLE HOLDINGS INC SR UNSECURED 04/28 4.35</title>
        <cusip>054561AJ4</cusip>
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          <isin value="US054561AJ49"/>
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        <balance>1587000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>1624128.440000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-20</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.35</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>ERSTE GROUP BANK AG</name>
        <lei>PQOH26KWDF7CG10L6792</lei>
        <title>ERSTE GROUP BANK AG JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>BDRXT5II9</cusip>
        <identifiers>
          <isin value="XS1597324950"/>
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        <balance>3400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <pctVal>0.1002720</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EURO-GALAXY III CLO BV 13-3A</name>
        <lei>N/A</lei>
        <title>EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A</title>
        <cusip>ACI1W6FF5</cusip>
        <identifiers>
          <isin value="XS2305240843"/>
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        <balance>3150000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>3445226.320000</valUSD>
        <pctVal>0.0872230</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-04-24</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.62</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>EUROHOME UK MORTGAGES 2007-1 A</name>
        <lei>N/A</lei>
        <title>EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS</title>
        <cusip>B1VBS4II2</cusip>
        <identifiers>
          <isin value="XS0290416527"/>
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        <balance>19367.030000</balance>
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        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>24827.650000</valUSD>
        <pctVal>0.0006286</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-06-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.1866</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EUROPEAN LOAN CONDUIT 36A</name>
        <lei>N/A</lei>
        <title>EUROPEAN LOAN CONDUIT EURO 36A A1 144A</title>
        <cusip>ACI1G9KP9</cusip>
        <identifiers>
          <isin value="XS2069480866"/>
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        <balance>108870.140000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>119383.740000</valUSD>
        <pctVal>0.0030224</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-02-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EXELON CORPORATION</name>
        <lei>3SOUA6IRML7435B56G12</lei>
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        <identifiers>
          <isin value="US30161NAX93"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18605.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EXPEDIA GROUP INC</name>
        <lei>N/A</lei>
        <title>EXPEDIA GROUP INC COMPANY GUAR 03/31 2.95</title>
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        <identifiers>
          <isin value="US30212PBH73"/>
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        <curCd>USD</curCd>
        <valUSD>649249.940000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.95</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>EXPEDIA GROUP INC</name>
        <lei>N/A</lei>
        <title>EXPEDIA GROUP INC COMPANY GUAR 08/27 4.625</title>
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          <isin value="US30212PBK03"/>
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        <curCd>USD</curCd>
        <valUSD>416260.060000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>EXPEDIA GROUP INC</name>
        <lei>N/A</lei>
        <title>EXPEDIA GROUP INC COMPANY GUAR 144A 05/25 6.25</title>
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          <isin value="US30212PAS48"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FAIRFAX FINANCIAL HOLDINGS LIMITED</name>
        <lei>GLS7OQD0WOEDI8YAP031</lei>
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        <cusip>BD9MMZII4</cusip>
        <identifiers>
          <isin value="XS1794676400"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-29</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 1994-77</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1994 77 FB</title>
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          <isin value="US31359HA875"/>
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        <balance>100.450000</balance>
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        <curCd>USD</curCd>
        <valUSD>101.350000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      <invstOrSec>
        <name>FANNIE MAE 2003-66</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2003 66 SA</title>
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          <isin value="US31393C4W07"/>
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        <balance>17093.590000</balance>
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        <curCd>USD</curCd>
        <valUSD>2700.810000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      <invstOrSec>
        <name>FANNIE MAE 2004-11</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2004 11 A</title>
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        <balance>25.690000</balance>
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        <curCd>USD</curCd>
        <valUSD>25.600000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.57657</annualizedRt>
          <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 2005-79</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 79 NF</title>
        <cusip>31394FHD0</cusip>
        <identifiers>
          <isin value="US31394FHD06"/>
        </identifiers>
        <balance>18161.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18213.030000</valUSD>
        <pctVal>0.0004611</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>Floating</couponKind>
          <annualizedRt>0.86657</annualizedRt>
          <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 2006-115</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 115 ES</title>
        <cusip>31396LT26</cusip>
        <identifiers>
          <isin value="US31396LT267"/>
        </identifiers>
        <balance>4310.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5593.300000</valUSD>
        <pctVal>0.0001416</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>24.7337</annualizedRt>
          <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>1027.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1022.590000</valUSD>
        <pctVal>0.0000259</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>0.31686</annualizedRt>
          <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 2006-16</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2006 16 SM</title>
        <cusip>31394V6K1</cusip>
        <identifiers>
          <isin value="US31394V6K15"/>
        </identifiers>
        <balance>74604.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9401.390000</valUSD>
        <pctVal>0.0002380</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>6.24343</annualizedRt>
          <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 2007-15</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 15 AI</title>
        <cusip>31396PWK3</cusip>
        <identifiers>
          <isin value="US31396PWK38"/>
        </identifiers>
        <balance>72045.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9883.000000</valUSD>
        <pctVal>0.0002502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.92343</annualizedRt>
          <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 2007-4</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 4 SL</title>
        <cusip>31396PMQ1</cusip>
        <identifiers>
          <isin value="US31396PMQ18"/>
        </identifiers>
        <balance>30187.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5241.030000</valUSD>
        <pctVal>0.0001327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.74343</annualizedRt>
          <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 2007-63</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 63 FC</title>
        <cusip>31396WTU0</cusip>
        <identifiers>
          <isin value="US31396WTU08"/>
        </identifiers>
        <balance>6649.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6655.410000</valUSD>
        <pctVal>0.0001685</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>0.80657</annualizedRt>
          <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 2007-65</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 65 KF</title>
        <cusip>31396WLX2</cusip>
        <identifiers>
          <isin value="US31396WLX29"/>
        </identifiers>
        <balance>10533.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10558.100000</valUSD>
        <pctVal>0.0002673</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>0.83657</annualizedRt>
          <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 2007-96</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 96 AF</title>
        <cusip>31396XNT7</cusip>
        <identifiers>
          <isin value="US31396XNT71"/>
        </identifiers>
        <balance>83602.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85071.730000</valUSD>
        <pctVal>0.0021538</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17657</annualizedRt>
          <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 2009-87</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2009 87 HS</title>
        <cusip>31398FR45</cusip>
        <identifiers>
          <isin value="US31398FR459"/>
        </identifiers>
        <balance>28497.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3814.440000</valUSD>
        <pctVal>0.0000966</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.69343</annualizedRt>
          <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 2010-111</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 111 FC</title>
        <cusip>31398NWE0</cusip>
        <identifiers>
          <isin value="US31398NWE02"/>
        </identifiers>
        <balance>6563.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6621.000000</valUSD>
        <pctVal>0.0001676</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.97657</annualizedRt>
          <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 2010-151</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 151 YF</title>
        <cusip>31397QW61</cusip>
        <identifiers>
          <isin value="US31397QW615"/>
        </identifiers>
        <balance>6776.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6890.750000</valUSD>
        <pctVal>0.0001745</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2051-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.05657</annualizedRt>
          <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 2010-2</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 2 LS</title>
        <cusip>31398G7B9</cusip>
        <identifiers>
          <isin value="US31398G7B90"/>
        </identifiers>
        <balance>165668.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21554.100000</valUSD>
        <pctVal>0.0005457</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.94343</annualizedRt>
          <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 2007-22</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 22 SW</title>
        <cusip>31396PT92</cusip>
        <identifiers>
          <isin value="US31396PT920"/>
        </identifiers>
        <balance>54344.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7729.920000</valUSD>
        <pctVal>0.0001957</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.59343</annualizedRt>
          <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 2007-25</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 25 FB</title>
        <cusip>31396VCB2</cusip>
        <identifiers>
          <isin value="US31396VCB27"/>
        </identifiers>
        <balance>1141.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1141.670000</valUSD>
        <pctVal>0.0000289</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.78657</annualizedRt>
          <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 2007-32</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 32 JS</title>
        <cusip>31396VDT2</cusip>
        <identifiers>
          <isin value="US31396VDT26"/>
        </identifiers>
        <balance>336476.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53453.080000</valUSD>
        <pctVal>0.0013533</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.33343</annualizedRt>
          <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 2007-32</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2007 32 SA</title>
        <cusip>31396VDR6</cusip>
        <identifiers>
          <isin value="US31396VDR69"/>
        </identifiers>
        <balance>163308.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23713.490000</valUSD>
        <pctVal>0.0006004</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.64343</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2007-70</name>
        <lei>N/A</lei>
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        <cusip>31396WRQ1</cusip>
        <identifiers>
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        <curCd>USD</curCd>
        <valUSD>2206.670000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.80657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2010-99</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2010 99 CL</title>
        <cusip>31398T5D9</cusip>
        <identifiers>
          <isin value="US31398T5D93"/>
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        <balance>452000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>491522.110000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2011-17</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2011 17 KS</title>
        <cusip>31397QZU5</cusip>
        <identifiers>
          <isin value="US31397QZU56"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23081.130000</valUSD>
        <pctVal>0.0005843</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.39343</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2011-40</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2011 40 SX</title>
        <cusip>31397SWJ9</cusip>
        <identifiers>
          <isin value="US31397SWJ94"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>858.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>9.61205</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE REMICS 2011-60</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2011 60 OA</title>
        <cusip>31397U3F4</cusip>
        <identifiers>
          <isin value="US31397U3F44"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95468.770000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-25</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-1993-202</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 1993 202 FY</title>
        <cusip>31359FDB1</cusip>
        <identifiers>
          <isin value="US31359FDB13"/>
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        <balance>89.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>87.970000</valUSD>
        <pctVal>0.0000022</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.625</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-2005-75</name>
        <lei>N/A</lei>
        <title>FANNIE MAE FNR 2005 75 AF</title>
        <cusip>31394FAF2</cusip>
        <identifiers>
          <isin value="US31394FAF27"/>
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        <balance>22508.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22574.460000</valUSD>
        <pctVal>0.0005715</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>Floating</couponKind>
          <annualizedRt>0.85657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIE MAE-ACES 2020-M33</name>
        <lei>N/A</lei>
        <title>FANNIEMAE ACES FNA 2020 M33 X2</title>
        <cusip>3136BBAR3</cusip>
        <identifiers>
          <isin value="US3136BBAR38"/>
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        <balance>803959.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100344.920000</valUSD>
        <pctVal>0.0025404</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-01-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>2.25081</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FANNIEMAE WHOLE LOAN 2003-W6</name>
        <lei>N/A</lei>
        <title>FANNIEMAE WHOLE LOAN FNW 2003 W6 F</title>
        <cusip>31393BX75</cusip>
        <identifiers>
          <isin value="US31393BX754"/>
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        <balance>3950.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3935.750000</valUSD>
        <pctVal>0.0000996</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.53686</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>320.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>330.430000</valUSD>
        <pctVal>0.0000084</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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR</title>
        <cusip>3128JREM4</cusip>
        <identifiers>
          <isin value="US3128JREM41"/>
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        <balance>334.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>344.290000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-11-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.145</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR</title>
        <cusip>3128JRGY6</cusip>
        <identifiers>
          <isin value="US3128JRGY60"/>
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        <balance>586.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>613.960000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A27987 FG 07/34 FIXED 5</title>
        <cusip>31297F2U6</cusip>
        <identifiers>
          <isin value="US31297F2U64"/>
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        <balance>1651.700000</balance>
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        <curCd>USD</curCd>
        <valUSD>1741.810000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <debtSec>
          <maturityDt>2034-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A36784 FG 09/35 FIXED 5</title>
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        <identifiers>
          <isin value="US31297SRD98"/>
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        <balance>241.710000</balance>
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        <curCd>USD</curCd>
        <valUSD>262.010000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A39333 FG 10/35 FIXED 5</title>
        <cusip>31297VLN6</cusip>
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          <isin value="US31297VLN63"/>
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        <balance>635.560000</balance>
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        <curCd>USD</curCd>
        <valUSD>671.360000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A47333 FG 10/35 FIXED 5</title>
        <cusip>3128K8EE2</cusip>
        <identifiers>
          <isin value="US3128K8EE28"/>
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        <balance>2389.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2582.900000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A47673 FG 11/35 FIXED 5</title>
        <cusip>3128K8Q25</cusip>
        <identifiers>
          <isin value="US3128K8Q254"/>
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        <balance>225.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>244.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A48592 FG 03/36 FIXED 6</title>
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        <valUSD>2219.660000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A48943 FG 05/36 FIXED 5.5</title>
        <cusip>3128K95C4</cusip>
        <identifiers>
          <isin value="US3128K95C43"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5592.680000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A53791 FG 11/36 FIXED 5</title>
        <cusip>3128KGF86</cusip>
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          <isin value="US3128KGF865"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>519.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A56730 FG 01/37 FIXED 5</title>
        <cusip>3128KKPP8</cusip>
        <identifiers>
          <isin value="US3128KKPP80"/>
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        <balance>796.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>840.030000</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>2037-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A57043 FG 02/37 FIXED 5</title>
        <cusip>3128KKZG7</cusip>
        <identifiers>
          <isin value="US3128KKZG71"/>
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        <balance>5033.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5454.720000</valUSD>
        <pctVal>0.0001381</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A69435 FG 12/37 FIXED 6</title>
        <cusip>3128L1PU8</cusip>
        <identifiers>
          <isin value="US3128L1PU87"/>
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        <balance>522.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>565.210000</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>2037-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A72047 FG 01/38 FIXED 5</title>
        <cusip>3128L5HY0</cusip>
        <identifiers>
          <isin value="US3128L5HY06"/>
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        <balance>4037.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4391.760000</valUSD>
        <pctVal>0.0001112</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A73952 FG 02/38 FIXED 5</title>
        <cusip>3128L7L96</cusip>
        <identifiers>
          <isin value="US3128L7L967"/>
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        <balance>7109.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7676.800000</valUSD>
        <pctVal>0.0001944</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A75692 FG 04/38 FIXED 5</title>
        <cusip>3128L9KD4</cusip>
        <identifiers>
          <isin value="US3128L9KD44"/>
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        <balance>6005.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6509.370000</valUSD>
        <pctVal>0.0001648</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5</title>
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        <identifiers>
          <isin value="US3128LAFY17"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>489.730000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL A77292 FG 04/38 FIXED 5</title>
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          <isin value="US3128LBC556"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <maturityDt>2038-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US312929MQ29"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3129296L18"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31292JH788"/>
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        <curCd>USD</curCd>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C90690 FG 07/23 FIXED 5</title>
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          <isin value="US31335HXT57"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3128P7H714"/>
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        <curCd>USD</curCd>
        <valUSD>20704.520000</valUSD>
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          <couponKind>Fixed</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <identifiers>
          <isin value="US3128P7JU80"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2022.240000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL C91276 FG 11/29 FIXED 5</title>
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        <identifiers>
          <isin value="US3128P7MZ31"/>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <cusip>3128M4W90</cusip>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <cusip>3128M5BY5</cusip>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <issuerCat>USGSE</issuerCat>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G08789 FG 11/47 FIXED 4</title>
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          <isin value="US3128MJ2X72"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FED HM LN PC POOL G30340 FG 08/27 FIXED 6</title>
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          <isin value="US3128CULV68"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>FHLMC STRUCTURED PASS THRU SEC T-61</name>
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        <name>FHLMC STRUCTURED PASS THRU SEC T-62</name>
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      <invstOrSec>
        <name>FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1</name>
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        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.83657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1</name>
        <lei>N/A</lei>
        <title>FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A3</title>
        <cusip>31659TEZ4</cusip>
        <identifiers>
          <isin value="US31659TEZ49"/>
        </identifiers>
        <balance>2821805.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2216353.350000</valUSD>
        <pctVal>0.0561116</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>0.99657</annualizedRt>
          <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 MORTGAGE LOAN TRUST 2006-FF7</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF7 2A4</title>
        <cusip>320277AF3</cusip>
        <identifiers>
          <isin value="US320277AF35"/>
        </identifiers>
        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2593319.960000</valUSD>
        <pctVal>0.0656553</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>0.93657</annualizedRt>
          <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-FF12</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5</title>
        <cusip>32027GAE6</cusip>
        <identifiers>
          <isin value="US32027GAE61"/>
        </identifiers>
        <balance>8390531.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8051058.100000</valUSD>
        <pctVal>0.2038292</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>0.76657</annualizedRt>
          <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-FF5</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A4</title>
        <cusip>32027EAF8</cusip>
        <identifiers>
          <isin value="US32027EAF88"/>
        </identifiers>
        <balance>2757261.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2602115.160000</valUSD>
        <pctVal>0.0658779</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>0.93657</annualizedRt>
          <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 2005-FF10</name>
        <lei>N/A</lei>
        <title>FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5</title>
        <cusip>32027NWP2</cusip>
        <identifiers>
          <isin value="US32027NWP22"/>
        </identifiers>
        <balance>421739.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>408331.700000</valUSD>
        <pctVal>0.0103378</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>1.17657</annualizedRt>
          <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 A5</title>
        <cusip>32028GAE5</cusip>
        <identifiers>
          <isin value="US32028GAE52"/>
        </identifiers>
        <balance>163066.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161357.360000</valUSD>
        <pctVal>0.0040851</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>0.61657</annualizedRt>
          <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 2A4</title>
        <cusip>320276AF5</cusip>
        <identifiers>
          <isin value="US320276AF51"/>
        </identifiers>
        <balance>3500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3207253.000000</valUSD>
        <pctVal>0.0811982</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>0.95657</annualizedRt>
          <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>1030.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>734.940000</valUSD>
        <pctVal>0.0000186</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>2.77063</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 ALTERNATIVE MORTGAGE SECURITIES 2005-AA10</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1</title>
        <cusip>32051GA88</cusip>
        <identifiers>
          <isin value="US32051GA887"/>
        </identifiers>
        <balance>32609.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29396.190000</valUSD>
        <pctVal>0.0007442</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>2.33649</annualizedRt>
          <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 ALTERNATIVE MORTGAGE SECURITIES 2006-AA3</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1</title>
        <cusip>320516AA5</cusip>
        <identifiers>
          <isin value="US320516AA56"/>
        </identifiers>
        <balance>363083.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>323808.300000</valUSD>
        <pctVal>0.0081979</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>2.55274</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 MTGE PASS-THRU TR 2005-AR4</name>
        <lei>N/A</lei>
        <title>FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1</title>
        <cusip>32051GTX3</cusip>
        <identifiers>
          <isin value="US32051GTX33"/>
        </identifiers>
        <balance>78627.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>78214.110000</valUSD>
        <pctVal>0.0019802</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>2.93705</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 190363 FN 11/35 FIXED VAR</title>
        <cusip>31368HML4</cusip>
        <identifiers>
          <isin value="US31368HML41"/>
        </identifiers>
        <balance>1391.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1525.660000</valUSD>
        <pctVal>0.0000386</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 190367 FN 01/36 FIXED VAR</title>
        <cusip>31368HMQ3</cusip>
        <identifiers>
          <isin value="US31368HMQ38"/>
        </identifiers>
        <balance>2287.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2506.710000</valUSD>
        <pctVal>0.0000635</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254514 FN 11/32 FIXED 5.5</title>
        <cusip>31371KVF5</cusip>
        <identifiers>
          <isin value="US31371KVF55"/>
        </identifiers>
        <balance>378.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>415.120000</valUSD>
        <pctVal>0.0000105</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254831 FN 08/23 FIXED 5</title>
        <cusip>31371LA82</cusip>
        <identifiers>
          <isin value="US31371LA823"/>
        </identifiers>
        <balance>613.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>644.930000</valUSD>
        <pctVal>0.0000163</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>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 254985 FN 11/23 FIXED 5</title>
        <cusip>31371LF20</cusip>
        <identifiers>
          <isin value="US31371LF202"/>
        </identifiers>
        <balance>7913.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8322.260000</valUSD>
        <pctVal>0.0002107</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>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255029 FN 12/23 FIXED 5</title>
        <cusip>31371LHE2</cusip>
        <identifiers>
          <isin value="US31371LHE20"/>
        </identifiers>
        <balance>898.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>945.420000</valUSD>
        <pctVal>0.0000239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>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 255042 FN 11/23 FIXED 4.5</title>
        <cusip>31371LHT9</cusip>
        <identifiers>
          <isin value="US31371LHT98"/>
        </identifiers>
        <balance>156.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>161.950000</valUSD>
        <pctVal>0.0000041</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>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255094 FN 12/23 FIXED 4.5</title>
        <cusip>31371LKF5</cusip>
        <identifiers>
          <isin value="US31371LKF57"/>
        </identifiers>
        <balance>2374.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2460.720000</valUSD>
        <pctVal>0.0000623</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255628 FN 02/25 FIXED 5.5</title>
        <cusip>31371L4M8</cusip>
        <identifiers>
          <isin value="US31371L4M89"/>
        </identifiers>
        <balance>960.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1020.400000</valUSD>
        <pctVal>0.0000258</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255893 FN 09/25 FIXED 5.5</title>
        <cusip>31371MGA9</cusip>
        <identifiers>
          <isin value="US31371MGA99"/>
        </identifiers>
        <balance>73.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77.930000</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>2025-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255935 FN 11/25 FIXED 5</title>
        <cusip>31371MHL4</cusip>
        <identifiers>
          <isin value="US31371MHL46"/>
        </identifiers>
        <balance>384.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>404.580000</valUSD>
        <pctVal>0.0000102</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 255994 FN 11/25 FIXED 5.5</title>
        <cusip>31371MKF3</cusip>
        <identifiers>
          <isin value="US31371MKF31"/>
        </identifiers>
        <balance>1958.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2082.200000</valUSD>
        <pctVal>0.0000527</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256041 FN 12/25 FIXED 5.5</title>
        <cusip>31371MLW5</cusip>
        <identifiers>
          <isin value="US31371MLW54"/>
        </identifiers>
        <balance>4979.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5293.760000</valUSD>
        <pctVal>0.0001340</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256125 FN 01/26 FIXED 5</title>
        <cusip>31371MPJ0</cusip>
        <identifiers>
          <isin value="US31371MPJ08"/>
        </identifiers>
        <balance>2341.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2463.150000</valUSD>
        <pctVal>0.0000624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256151 FN 03/36 FIXED 5.5</title>
        <cusip>31371MQC4</cusip>
        <identifiers>
          <isin value="US31371MQC46"/>
        </identifiers>
        <balance>122.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133.640000</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>2036-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256153 FN 03/26 FIXED 5.5</title>
        <cusip>31371MQE0</cusip>
        <identifiers>
          <isin value="US31371MQE02"/>
        </identifiers>
        <balance>2012.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2140.050000</valUSD>
        <pctVal>0.0000542</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256197 FN 04/36 FIXED 6</title>
        <cusip>31371MRS8</cusip>
        <identifiers>
          <isin value="US31371MRS88"/>
        </identifiers>
        <balance>77.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86.480000</valUSD>
        <pctVal>0.0000022</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256212 FN 04/26 FIXED 5</title>
        <cusip>31371MR90</cusip>
        <identifiers>
          <isin value="US31371MR908"/>
        </identifiers>
        <balance>17104.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17996.240000</valUSD>
        <pctVal>0.0004556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256448 FN 10/26 FIXED 6</title>
        <cusip>31371MZM2</cusip>
        <identifiers>
          <isin value="US31371MZM27"/>
        </identifiers>
        <balance>605.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>646.020000</valUSD>
        <pctVal>0.0000164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256513 FN 12/36 FIXED 5.5</title>
        <cusip>31371M3W5</cusip>
        <identifiers>
          <isin value="US31371M3W52"/>
        </identifiers>
        <balance>14610.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16061.420000</valUSD>
        <pctVal>0.0004066</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256553 FN 01/37 FIXED 6</title>
        <cusip>31371M5N3</cusip>
        <identifiers>
          <isin value="US31371M5N36"/>
        </identifiers>
        <balance>1641.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1832.720000</valUSD>
        <pctVal>0.0000464</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256597 FN 02/37 FIXED 5.5</title>
        <cusip>31371M7J0</cusip>
        <identifiers>
          <isin value="US31371M7J06"/>
        </identifiers>
        <balance>19.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21.720000</valUSD>
        <pctVal>0.0000005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256599 FN 02/27 FIXED 5</title>
        <cusip>31371M7L5</cusip>
        <identifiers>
          <isin value="US31371M7L51"/>
        </identifiers>
        <balance>1122.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1181.030000</valUSD>
        <pctVal>0.0000299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256600 FN 02/27 FIXED 5.5</title>
        <cusip>31371M7M3</cusip>
        <identifiers>
          <isin value="US31371M7M35"/>
        </identifiers>
        <balance>7044.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7490.340000</valUSD>
        <pctVal>0.0001896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</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 256601 FN 02/27 FIXED 6</title>
        <cusip>31371NAA3</cusip>
        <identifiers>
          <isin value="US31371NAA37"/>
        </identifiers>
        <balance>504.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>538.930000</valUSD>
        <pctVal>0.0000136</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>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256713 FN 05/27 FIXED 5</title>
        <cusip>31371NDS1</cusip>
        <identifiers>
          <isin value="US31371NDS18"/>
        </identifiers>
        <balance>12103.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12739.120000</valUSD>
        <pctVal>0.0003225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256715 FN 05/27 FIXED 6</title>
        <cusip>31371NDU6</cusip>
        <identifiers>
          <isin value="US31371NDU63"/>
        </identifiers>
        <balance>724.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>774.100000</valUSD>
        <pctVal>0.0000196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256885 FN 09/27 FIXED 6</title>
        <cusip>31371NJ63</cusip>
        <identifiers>
          <isin value="US31371NJ630"/>
        </identifiers>
        <balance>10018.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10699.440000</valUSD>
        <pctVal>0.0002709</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256927 FN 10/27 FIXED 5.5</title>
        <cusip>31371NLG8</cusip>
        <identifiers>
          <isin value="US31371NLG87"/>
        </identifiers>
        <balance>1218.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1295.360000</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>2027-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256928 FN 10/27 FIXED 6</title>
        <cusip>31371NLH6</cusip>
        <identifiers>
          <isin value="US31371NLH60"/>
        </identifiers>
        <balance>943.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1007.210000</valUSD>
        <pctVal>0.0000255</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 256962 FN 11/27 FIXED 6</title>
        <cusip>31371NMK8</cusip>
        <identifiers>
          <isin value="US31371NMK80"/>
        </identifiers>
        <balance>2416.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2580.340000</valUSD>
        <pctVal>0.0000653</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257057 FN 01/28 FIXED 5</title>
        <cusip>31371NQJ7</cusip>
        <identifiers>
          <isin value="US31371NQJ71"/>
        </identifiers>
        <balance>603.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>635.220000</valUSD>
        <pctVal>0.0000161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257125 FN 03/28 FIXED 5.5</title>
        <cusip>31371NSN6</cusip>
        <identifiers>
          <isin value="US31371NSN65"/>
        </identifiers>
        <balance>1173.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1248.770000</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>2028-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257132 FN 03/28 FIXED 5</title>
        <cusip>31371NSV8</cusip>
        <identifiers>
          <isin value="US31371NSV81"/>
        </identifiers>
        <balance>8330.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8770.890000</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>2028-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257163 FN 04/28 FIXED 5</title>
        <cusip>31371NTU9</cusip>
        <identifiers>
          <isin value="US31371NTU99"/>
        </identifiers>
        <balance>226.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>238.220000</valUSD>
        <pctVal>0.0000060</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257202 FN 04/28 FIXED 4.5</title>
        <cusip>31371NU37</cusip>
        <identifiers>
          <isin value="US31371NU371"/>
        </identifiers>
        <balance>723.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>750.670000</valUSD>
        <pctVal>0.0000190</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257204 FN 05/28 FIXED 5.5</title>
        <cusip>31371NU52</cusip>
        <identifiers>
          <isin value="US31371NU520"/>
        </identifiers>
        <balance>508.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>541.530000</valUSD>
        <pctVal>0.0000137</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257372 FN 09/28 FIXED 6</title>
        <cusip>31371N2D6</cusip>
        <identifiers>
          <isin value="US31371N2D62"/>
        </identifiers>
        <balance>3790.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4046.890000</valUSD>
        <pctVal>0.0001025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257499 FN 12/28 FIXED 5.5</title>
        <cusip>31371N7L3</cusip>
        <identifiers>
          <isin value="US31371N7L34"/>
        </identifiers>
        <balance>1462.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1556.960000</valUSD>
        <pctVal>0.0000394</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 257575 FN 01/29 FIXED 5</title>
        <cusip>31371PCL2</cusip>
        <identifiers>
          <isin value="US31371PCL22"/>
        </identifiers>
        <balance>346.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>365.370000</valUSD>
        <pctVal>0.0000093</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 310122 FN 06/28 FIXED VAR</title>
        <cusip>31374CPF7</cusip>
        <identifiers>
          <isin value="US31374CPF76"/>
        </identifiers>
        <balance>3254.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3427.180000</valUSD>
        <pctVal>0.0000868</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 357639 FN 11/34 FIXED 5.5</title>
        <cusip>31376KHQ2</cusip>
        <identifiers>
          <isin value="US31376KHQ22"/>
        </identifiers>
        <balance>99.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108.590000</valUSD>
        <pctVal>0.0000027</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 357872 FN 07/25 FIXED 5</title>
        <cusip>31376KQZ2</cusip>
        <identifiers>
          <isin value="US31376KQZ20"/>
        </identifiers>
        <balance>166.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>175.070000</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>2025-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 357929 FN 08/25 FIXED 5</title>
        <cusip>31376KSS6</cusip>
        <identifiers>
          <isin value="US31376KSS68"/>
        </identifiers>
        <balance>1095.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1152.130000</valUSD>
        <pctVal>0.0000292</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 454945 FN 12/28 FIXED 6</title>
        <cusip>31381AL25</cusip>
        <identifiers>
          <isin value="US31381AL251"/>
        </identifiers>
        <balance>461.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>492.610000</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>2028-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 555800 FN 10/33 FIXED VAR</title>
        <cusip>31385XNR4</cusip>
        <identifiers>
          <isin value="US31385XNR43"/>
        </identifiers>
        <balance>858.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>939.480000</valUSD>
        <pctVal>0.0000238</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 606116 FN 09/31 FLOATING VAR</title>
        <cusip>31388JK53</cusip>
        <identifiers>
          <isin value="US31388JK531"/>
        </identifiers>
        <balance>8.170000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8.170000</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>2031-09-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.318</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 650988 FN 07/32 FLOATING VAR</title>
        <cusip>31390NF56</cusip>
        <identifiers>
          <isin value="US31390NF562"/>
        </identifiers>
        <balance>201.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>201.410000</valUSD>
        <pctVal>0.0000051</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-07-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.153</annualizedRt>
          <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 658746 FN 08/36 FIXED 6</title>
        <cusip>31390WZK1</cusip>
        <identifiers>
          <isin value="US31390WZK16"/>
        </identifiers>
        <balance>65.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69.990000</valUSD>
        <pctVal>0.0000018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 682705 FN 01/33 FIXED 5.5</title>
        <cusip>31400BNW2</cusip>
        <identifiers>
          <isin value="US31400BNW27"/>
        </identifiers>
        <balance>162.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172.410000</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>2033-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 689108 FN 02/33 FIXED 5.5</title>
        <cusip>31400JR50</cusip>
        <identifiers>
          <isin value="US31400JR505"/>
        </identifiers>
        <balance>3173.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3476.350000</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>2033-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 695208 FN 03/33 FIXED 5.5</title>
        <cusip>31400RKV2</cusip>
        <identifiers>
          <isin value="US31400RKV23"/>
        </identifiers>
        <balance>12822.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14045.600000</valUSD>
        <pctVal>0.0003556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 721620 FN 07/33 FIXED 5.5</title>
        <cusip>31401XVM6</cusip>
        <identifiers>
          <isin value="US31401XVM63"/>
        </identifiers>
        <balance>219.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>235.300000</valUSD>
        <pctVal>0.0000060</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 725495 FN 02/34 FLOATING VAR</title>
        <cusip>31402C7G1</cusip>
        <identifiers>
          <isin value="US31402C7G11"/>
        </identifiers>
        <balance>562.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>572.200000</valUSD>
        <pctVal>0.0000145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.996</annualizedRt>
          <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 725690 FN 08/34 FIXED VAR</title>
        <cusip>31402DF70</cusip>
        <identifiers>
          <isin value="US31402DF707"/>
        </identifiers>
        <balance>26.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29.080000</valUSD>
        <pctVal>0.0000007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 725946 FN 11/34 FIXED VAR</title>
        <cusip>31402DP79</cusip>
        <identifiers>
          <isin value="US31402DP797"/>
        </identifiers>
        <balance>13.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14.940000</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>2034-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 731046 FN 10/23 FIXED 5</title>
        <cusip>31402KET7</cusip>
        <identifiers>
          <isin value="US31402KET79"/>
        </identifiers>
        <balance>1490.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1566.970000</valUSD>
        <pctVal>0.0000397</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735227 FN 02/35 FIXED VAR</title>
        <cusip>31402QYY1</cusip>
        <identifiers>
          <isin value="US31402QYY15"/>
        </identifiers>
        <balance>1230.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1348.600000</valUSD>
        <pctVal>0.0000341</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735813 FN 07/35 FLOATING VAR</title>
        <cusip>31402RN62</cusip>
        <identifiers>
          <isin value="US31402RN628"/>
        </identifiers>
        <balance>261.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>261.430000</valUSD>
        <pctVal>0.0000066</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>1.952</annualizedRt>
          <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 735896 FN 09/35 FIXED VAR</title>
        <cusip>31402RRR2</cusip>
        <identifiers>
          <isin value="US31402RRR20"/>
        </identifiers>
        <balance>1294.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1446.520000</valUSD>
        <pctVal>0.0000366</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 735961 FN 09/35 FLOATING VAR</title>
        <cusip>31402RTS8</cusip>
        <identifiers>
          <isin value="US31402RTS84"/>
        </identifiers>
        <balance>414.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>415.590000</valUSD>
        <pctVal>0.0000105</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>1.797</annualizedRt>
          <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 735972 FN 10/35 FIXED VAR</title>
        <cusip>31402RT58</cusip>
        <identifiers>
          <isin value="US31402RT583"/>
        </identifiers>
        <balance>347.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>380.890000</valUSD>
        <pctVal>0.0000096</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 741620 FN 10/33 FIXED 5.5</title>
        <cusip>31402X4D5</cusip>
        <identifiers>
          <isin value="US31402X4D54"/>
        </identifiers>
        <balance>120.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>127.910000</valUSD>
        <pctVal>0.0000032</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 744878 FN 11/33 FIXED 5.5</title>
        <cusip>31403CQ79</cusip>
        <identifiers>
          <isin value="US31403CQ795"/>
        </identifiers>
        <balance>3749.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4019.840000</valUSD>
        <pctVal>0.0001018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 745257 FN 01/36 FIXED VAR</title>
        <cusip>31403C5S6</cusip>
        <identifiers>
          <isin value="US31403C5S66"/>
        </identifiers>
        <balance>242.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>270.330000</valUSD>
        <pctVal>0.0000068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745281 FN 01/36 FIXED VAR</title>
        <cusip>31403C6S5</cusip>
        <identifiers>
          <isin value="US31403C6S57"/>
        </identifiers>
        <balance>1400.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1562.560000</valUSD>
        <pctVal>0.0000396</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745418 FN 04/36 FIXED VAR</title>
        <cusip>31403DDX4</cusip>
        <identifiers>
          <isin value="US31403DDX49"/>
        </identifiers>
        <balance>2719.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2945.170000</valUSD>
        <pctVal>0.0000746</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745516 FN 05/36 FIXED VAR</title>
        <cusip>31403DGZ6</cusip>
        <identifiers>
          <isin value="US31403DGZ69"/>
        </identifiers>
        <balance>2536.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2779.020000</valUSD>
        <pctVal>0.0000704</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 745822 FN 09/36 FIXED VAR</title>
        <cusip>31403DSK6</cusip>
        <identifiers>
          <isin value="US31403DSK62"/>
        </identifiers>
        <balance>3015.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3369.860000</valUSD>
        <pctVal>0.0000853</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 752191 FN 11/33 FIXED 5.5</title>
        <cusip>31403LUQ2</cusip>
        <identifiers>
          <isin value="US31403LUQ21"/>
        </identifiers>
        <balance>2078.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2269.740000</valUSD>
        <pctVal>0.0000575</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 753095 FN 12/33 FIXED 5.5</title>
        <cusip>31403MUU1</cusip>
        <identifiers>
          <isin value="US31403MUU16"/>
        </identifiers>
        <balance>3180.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3417.090000</valUSD>
        <pctVal>0.0000865</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 754031 FN 12/33 FLOATING VAR</title>
        <cusip>31403NVY0</cusip>
        <identifiers>
          <isin value="US31403NVY02"/>
        </identifiers>
        <balance>304.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>304.720000</valUSD>
        <pctVal>0.0000077</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>2.273</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 754744 FN 11/33 FIXED 5.5</title>
        <cusip>31403QP53</cusip>
        <identifiers>
          <isin value="US31403QP532"/>
        </identifiers>
        <balance>1097.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1168.720000</valUSD>
        <pctVal>0.0000296</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 758900 FN 12/33 FLOATING VAR</title>
        <cusip>31403VDD8</cusip>
        <identifiers>
          <isin value="US31403VDD82"/>
        </identifiers>
        <balance>89.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>89.420000</valUSD>
        <pctVal>0.0000023</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>2.071</annualizedRt>
          <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 761893 FN 01/34 FIXED 5.5</title>
        <cusip>31403YNJ8</cusip>
        <identifiers>
          <isin value="US31403YNJ81"/>
        </identifiers>
        <balance>1428.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1550.670000</valUSD>
        <pctVal>0.0000393</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 763688 FN 01/34 FIXED 5.5</title>
        <cusip>31404BND0</cusip>
        <identifiers>
          <isin value="US31404BND00"/>
        </identifiers>
        <balance>15565.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17052.870000</valUSD>
        <pctVal>0.0004317</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 769481 FN 02/34 FIXED 5.5</title>
        <cusip>31404H2N8</cusip>
        <identifiers>
          <isin value="US31404H2N87"/>
        </identifiers>
        <balance>485.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>531.490000</valUSD>
        <pctVal>0.0000135</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 773068 FN 03/34 FIXED 5.5</title>
        <cusip>31404MZ92</cusip>
        <identifiers>
          <isin value="US31404MZ926"/>
        </identifiers>
        <balance>41.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45.000000</valUSD>
        <pctVal>0.0000011</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 776488 FN 03/34 FLOATING VAR</title>
        <cusip>31404RUM7</cusip>
        <identifiers>
          <isin value="US31404RUM77"/>
        </identifiers>
        <balance>13388.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13845.970000</valUSD>
        <pctVal>0.0003505</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>1.957</annualizedRt>
          <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 779439 FN 06/34 FIXED 5.5</title>
        <cusip>31404U4Y3</cusip>
        <identifiers>
          <isin value="US31404U4Y36"/>
        </identifiers>
        <balance>96.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>104.660000</valUSD>
        <pctVal>0.0000026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 780365 FN 06/34 FLOATING VAR</title>
        <cusip>31404V6A1</cusip>
        <identifiers>
          <isin value="US31404V6A14"/>
        </identifiers>
        <balance>1097.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1100.490000</valUSD>
        <pctVal>0.0000279</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.344</annualizedRt>
          <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 794808 FN 10/34 FLOATING VAR</title>
        <cusip>31405PAH3</cusip>
        <identifiers>
          <isin value="US31405PAH38"/>
        </identifiers>
        <balance>5.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5.830000</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>2034-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.465</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 806513 FN 12/34 FLOATING VAR</title>
        <cusip>31406DAN6</cusip>
        <identifiers>
          <isin value="US31406DAN66"/>
        </identifiers>
        <balance>19939.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19944.400000</valUSD>
        <pctVal>0.0005049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.323</annualizedRt>
          <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 811801 FN 02/35 FLOATING VAR</title>
        <cusip>31406J3J0</cusip>
        <identifiers>
          <isin value="US31406J3J00"/>
        </identifiers>
        <balance>317.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>317.260000</valUSD>
        <pctVal>0.0000080</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>2.175</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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 813586 FN 03/35 FLOATING VAR</title>
        <cusip>31406L2T4</cusip>
        <identifiers>
          <isin value="US31406L2T47"/>
        </identifiers>
        <balance>14.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14.930000</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>2035-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.55</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 813595 FN 10/35 FLOATING VAR</title>
        <cusip>31406L3C0</cusip>
        <identifiers>
          <isin value="US31406L3C03"/>
        </identifiers>
        <balance>467.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>468.040000</valUSD>
        <pctVal>0.0000118</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.3</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 819297 FN 09/35 FIXED 6</title>
        <cusip>31406TGE5</cusip>
        <identifiers>
          <isin value="US31406TGE55"/>
        </identifiers>
        <balance>2393.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2620.720000</valUSD>
        <pctVal>0.0000663</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 819567 FN 04/35 FIXED 5.5</title>
        <cusip>31406TQU8</cusip>
        <identifiers>
          <isin value="US31406TQU87"/>
        </identifiers>
        <balance>815.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>886.770000</valUSD>
        <pctVal>0.0000225</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 823384 FN 05/35 FIXED 5.5</title>
        <cusip>31406XXM9</cusip>
        <identifiers>
          <isin value="US31406XXM90"/>
        </identifiers>
        <balance>1512.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1654.820000</valUSD>
        <pctVal>0.0000419</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 824601 FN 12/34 FIXED 5.5</title>
        <cusip>31407ADE8</cusip>
        <identifiers>
          <isin value="US31407ADE82"/>
        </identifiers>
        <balance>106.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>117.000000</valUSD>
        <pctVal>0.0000030</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 826082 FN 07/35 FLOATING VAR</title>
        <cusip>31407BXK0</cusip>
        <identifiers>
          <isin value="US31407BXK06"/>
        </identifiers>
        <balance>74.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74.570000</valUSD>
        <pctVal>0.0000019</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>1.805</annualizedRt>
          <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 828355 FN 07/35 FIXED 5.5</title>
        <cusip>31407EH89</cusip>
        <identifiers>
          <isin value="US31407EH890"/>
        </identifiers>
        <balance>55.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60.810000</valUSD>
        <pctVal>0.0000015</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 828809 FN 08/35 FLOATING VAR</title>
        <cusip>31407EYE7</cusip>
        <identifiers>
          <isin value="US31407EYE75"/>
        </identifiers>
        <balance>2757.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2769.430000</valUSD>
        <pctVal>0.0000701</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>1.825</annualizedRt>
          <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 829125 FN 10/35 FIXED 5.5</title>
        <cusip>31407FD64</cusip>
        <identifiers>
          <isin value="US31407FD649"/>
        </identifiers>
        <balance>1778.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1937.630000</valUSD>
        <pctVal>0.0000491</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 829708 FN 06/35 FLOATING VAR</title>
        <cusip>31407FYD6</cusip>
        <identifiers>
          <isin value="US31407FYD67"/>
        </identifiers>
        <balance>278.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291.230000</valUSD>
        <pctVal>0.0000074</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.099</annualizedRt>
          <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 831286 FN 02/36 FIXED 6</title>
        <cusip>31407HRF5</cusip>
        <identifiers>
          <isin value="US31407HRF54"/>
        </identifiers>
        <balance>1913.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2133.740000</valUSD>
        <pctVal>0.0000540</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 831819 FN 10/36 FIXED 6</title>
        <cusip>31407JDY5</cusip>
        <identifiers>
          <isin value="US31407JDY55"/>
        </identifiers>
        <balance>48.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54.190000</valUSD>
        <pctVal>0.0000014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 835058 FN 06/35 FLOATING VAR</title>
        <cusip>31407MWT8</cusip>
        <identifiers>
          <isin value="US31407MWT88"/>
        </identifiers>
        <balance>311.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>312.080000</valUSD>
        <pctVal>0.0000079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.404</annualizedRt>
          <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 835751 FN 08/35 FIXED 4.5</title>
        <cusip>31407NQC0</cusip>
        <identifiers>
          <isin value="US31407NQC01"/>
        </identifiers>
        <balance>139.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147.570000</valUSD>
        <pctVal>0.0000037</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>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 836362 FN 10/35 FIXED 5.5</title>
        <cusip>31407PFB9</cusip>
        <identifiers>
          <isin value="US31407PFB94"/>
        </identifiers>
        <balance>2514.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2753.070000</valUSD>
        <pctVal>0.0000697</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 836552 FN 10/35 FLOATING VAR</title>
        <cusip>31407PL97</cusip>
        <identifiers>
          <isin value="US31407PL971"/>
        </identifiers>
        <balance>1036.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1038.090000</valUSD>
        <pctVal>0.0000263</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.908</annualizedRt>
          <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 838630 FN 10/35 FIXED 4.5</title>
        <cusip>31407RVX9</cusip>
        <identifiers>
          <isin value="US31407RVX96"/>
        </identifiers>
        <balance>98.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105.090000</valUSD>
        <pctVal>0.0000027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 840699 FN 09/35 FIXED 5.5</title>
        <cusip>31407T7L8</cusip>
        <identifiers>
          <isin value="US31407T7L82"/>
        </identifiers>
        <balance>144.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>154.220000</valUSD>
        <pctVal>0.0000039</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 841068 FN 11/34 FLOATING VAR</title>
        <cusip>31407UMR5</cusip>
        <identifiers>
          <isin value="US31407UMR58"/>
        </identifiers>
        <balance>1013.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1062.430000</valUSD>
        <pctVal>0.0000269</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>2.424</annualizedRt>
          <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 843325 FN 10/35 FIXED 5.5</title>
        <cusip>31407W4J9</cusip>
        <identifiers>
          <isin value="US31407W4J91"/>
        </identifiers>
        <balance>171.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>182.670000</valUSD>
        <pctVal>0.0000046</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 844532 FN 11/35 FLOATING VAR</title>
        <cusip>31407YHH5</cusip>
        <identifiers>
          <isin value="US31407YHH53"/>
        </identifiers>
        <balance>84.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88.320000</valUSD>
        <pctVal>0.0000022</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>1.94</annualizedRt>
          <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 844703 FN 12/35 FIXED 5.5</title>
        <cusip>31407YNU9</cusip>
        <identifiers>
          <isin value="US31407YNU90"/>
        </identifiers>
        <balance>240.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>261.350000</valUSD>
        <pctVal>0.0000066</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 847031 FN 12/35 FIXED 5.5</title>
        <cusip>31408CA89</cusip>
        <identifiers>
          <isin value="US31408CA897"/>
        </identifiers>
        <balance>1920.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2084.640000</valUSD>
        <pctVal>0.0000528</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 848067 FN 10/35 FIXED 5.5</title>
        <cusip>31408DFG4</cusip>
        <identifiers>
          <isin value="US31408DFG43"/>
        </identifiers>
        <balance>1021.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1087.290000</valUSD>
        <pctVal>0.0000275</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 848205 FN 12/35 FIXED 5.5</title>
        <cusip>31408DKS2</cusip>
        <identifiers>
          <isin value="US31408DKS26"/>
        </identifiers>
        <balance>63.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>69.950000</valUSD>
        <pctVal>0.0000018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 850662 FN 03/36 FLOATING VAR</title>
        <cusip>31408GB71</cusip>
        <identifiers>
          <isin value="US31408GB714"/>
        </identifiers>
        <balance>1090.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1090.770000</valUSD>
        <pctVal>0.0000276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.047</annualizedRt>
          <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 865115 FN 02/36 FIXED 5.5</title>
        <cusip>31409ADU0</cusip>
        <identifiers>
          <isin value="US31409ADU07"/>
        </identifiers>
        <balance>155.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>170.190000</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>2036-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 865188 FN 02/36 FIXED 6</title>
        <cusip>31409AF53</cusip>
        <identifiers>
          <isin value="US31409AF534"/>
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        <balance>45.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51.020000</valUSD>
        <pctVal>0.0000013</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 870821 FN 10/36 FIXED 6</title>
        <cusip>31409GPE0</cusip>
        <identifiers>
          <isin value="US31409GPE07"/>
        </identifiers>
        <balance>606.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>647.490000</valUSD>
        <pctVal>0.0000164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 871136 FN 01/37 FIXED 6</title>
        <cusip>31409GY91</cusip>
        <identifiers>
          <isin value="US31409GY912"/>
        </identifiers>
        <balance>2707.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2892.650000</valUSD>
        <pctVal>0.0000732</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 872787 FN 06/36 FIXED 5.5</title>
        <cusip>31409JUL2</cusip>
        <identifiers>
          <isin value="US31409JUL24"/>
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        <balance>86.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>95.250000</valUSD>
        <pctVal>0.0000024</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 878481 FN 02/36 FIXED 6</title>
        <cusip>31409T6S2</cusip>
        <identifiers>
          <isin value="US31409T6S25"/>
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        <balance>613.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>659.240000</valUSD>
        <pctVal>0.0000167</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>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 879839 FN 01/36 FIXED 6</title>
        <cusip>31409VPY3</cusip>
        <identifiers>
          <isin value="US31409VPY38"/>
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        <balance>32.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34.760000</valUSD>
        <pctVal>0.0000009</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 880623 FN 04/36 FIXED 5.5</title>
        <cusip>31409WLC3</cusip>
        <identifiers>
          <isin value="US31409WLC37"/>
        </identifiers>
        <balance>1628.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1778.010000</valUSD>
        <pctVal>0.0000450</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 881635 FN 02/36 FIXED 5.5</title>
        <cusip>31409XPU7</cusip>
        <identifiers>
          <isin value="US31409XPU71"/>
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        <balance>1099.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1205.290000</valUSD>
        <pctVal>0.0000305</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 884729 FN 08/36 FLOATING VAR</title>
        <cusip>31410B4N1</cusip>
        <identifiers>
          <isin value="US31410B4N10"/>
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        <balance>431.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>430.770000</valUSD>
        <pctVal>0.0000109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 884863 FN 04/36 FIXED 5.5</title>
        <cusip>31410CB84</cusip>
        <identifiers>
          <isin value="US31410CB842"/>
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        <balance>9.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10.650000</valUSD>
        <pctVal>0.0000003</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888129 FN 02/37 FIXED VAR</title>
        <cusip>31410FVW2</cusip>
        <identifiers>
          <isin value="US31410FVW21"/>
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        <balance>61574.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>65982.740000</valUSD>
        <pctVal>0.0016705</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888227 FN 11/25 FIXED VAR</title>
        <cusip>31410FYY5</cusip>
        <identifiers>
          <isin value="US31410FYY59"/>
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        <balance>1644.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1729.800000</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>2025-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888301 FN 09/36 FIXED VAR</title>
        <cusip>31410F3J2</cusip>
        <identifiers>
          <isin value="US31410F3J26"/>
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        <balance>2269.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2486.170000</valUSD>
        <pctVal>0.0000629</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888638 FN 09/37 FIXED VAR</title>
        <cusip>31410GHP1</cusip>
        <identifiers>
          <isin value="US31410GHP19"/>
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        <balance>19555.990000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21534.210000</valUSD>
        <pctVal>0.0005452</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888794 FN 09/35 FIXED VAR</title>
        <cusip>31410GNK5</cusip>
        <identifiers>
          <isin value="US31410GNK57"/>
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        <balance>54.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57.800000</valUSD>
        <pctVal>0.0000015</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>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888795 FN 11/36 FIXED VAR</title>
        <cusip>31410GNL3</cusip>
        <identifiers>
          <isin value="US31410GNL31"/>
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        <balance>5191.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5689.500000</valUSD>
        <pctVal>0.0001440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888817 FN 08/37 FIXED VAR</title>
        <cusip>31410GPA5</cusip>
        <identifiers>
          <isin value="US31410GPA57"/>
        </identifiers>
        <balance>845.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>926.320000</valUSD>
        <pctVal>0.0000235</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888820 FN 07/37 FIXED VAR</title>
        <cusip>31410GPD9</cusip>
        <identifiers>
          <isin value="US31410GPD96"/>
        </identifiers>
        <balance>14423.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15878.900000</valUSD>
        <pctVal>0.0004020</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 888893 FN 08/37 FIXED VAR</title>
        <cusip>31410GRN5</cusip>
        <identifiers>
          <isin value="US31410GRN50"/>
        </identifiers>
        <balance>2357.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2583.760000</valUSD>
        <pctVal>0.0000654</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889176 FN 03/38 FIXED VAR</title>
        <cusip>31410G2H5</cusip>
        <identifiers>
          <isin value="US31410G2H50"/>
        </identifiers>
        <balance>1793.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1978.830000</valUSD>
        <pctVal>0.0000501</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889301 FN 11/35 FIXED VAR</title>
        <cusip>31410KAA2</cusip>
        <identifiers>
          <isin value="US31410KAA25"/>
        </identifiers>
        <balance>741.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>812.770000</valUSD>
        <pctVal>0.0000206</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889532 FN 04/38 FIXED VAR</title>
        <cusip>31410KHH0</cusip>
        <identifiers>
          <isin value="US31410KHH05"/>
        </identifiers>
        <balance>283.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>312.830000</valUSD>
        <pctVal>0.0000079</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889692 FN 05/38 FIXED VAR</title>
        <cusip>31410KNH3</cusip>
        <identifiers>
          <isin value="US31410KNH31"/>
        </identifiers>
        <balance>9481.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10461.630000</valUSD>
        <pctVal>0.0002649</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889982 FN 11/38 FIXED VAR</title>
        <cusip>31410KXK5</cusip>
        <identifiers>
          <isin value="US31410KXK59"/>
        </identifiers>
        <balance>13736.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15157.320000</valUSD>
        <pctVal>0.0003837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 889983 FN 10/38 FIXED VAR</title>
        <cusip>31410KXL3</cusip>
        <identifiers>
          <isin value="US31410KXL33"/>
        </identifiers>
        <balance>693.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>765.000000</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>2038-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 890489 FN 11/41 FIXED VAR</title>
        <cusip>31410LKA9</cusip>
        <identifiers>
          <isin value="US31410LKA97"/>
        </identifiers>
        <balance>459.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>487.530000</valUSD>
        <pctVal>0.0000123</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>4.5</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 892612 FN 09/36 FIXED 6</title>
        <cusip>31410NVD7</cusip>
        <identifiers>
          <isin value="US31410NVD73"/>
        </identifiers>
        <balance>71.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75.990000</valUSD>
        <pctVal>0.0000019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 893641 FN 09/36 FIXED 6</title>
        <cusip>31410PZE6</cusip>
        <identifiers>
          <isin value="US31410PZE68"/>
        </identifiers>
        <balance>1541.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1720.090000</valUSD>
        <pctVal>0.0000435</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 894959 FN 08/36 FIXED 6</title>
        <cusip>31410RJC4</cusip>
        <identifiers>
          <isin value="US31410RJC43"/>
        </identifiers>
        <balance>45.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>49.090000</valUSD>
        <pctVal>0.0000012</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 895096 FN 08/36 FIXED 6</title>
        <cusip>31410RNM7</cusip>
        <identifiers>
          <isin value="US31410RNM78"/>
        </identifiers>
        <balance>16.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18.290000</valUSD>
        <pctVal>0.0000005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 896141 FN 06/36 FIXED 5.5</title>
        <cusip>31410SS65</cusip>
        <identifiers>
          <isin value="US31410SS651"/>
        </identifiers>
        <balance>976.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1049.780000</valUSD>
        <pctVal>0.0000266</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 898317 FN 11/36 FIXED 6</title>
        <cusip>31410VAS9</cusip>
        <identifiers>
          <isin value="US31410VAS97"/>
        </identifiers>
        <balance>2749.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2936.570000</valUSD>
        <pctVal>0.0000743</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 898930 FN 08/36 FIXED 6</title>
        <cusip>31410VVX5</cusip>
        <identifiers>
          <isin value="US31410VVX53"/>
        </identifiers>
        <balance>248.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>277.480000</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>2036-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 899170 FN 02/37 FIXED 5.5</title>
        <cusip>31410V6F2</cusip>
        <identifiers>
          <isin value="US31410V6F24"/>
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        <balance>260.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>284.780000</valUSD>
        <pctVal>0.0000072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 899563 FN 06/37 FIXED 6</title>
        <cusip>31410WML9</cusip>
        <identifiers>
          <isin value="US31410WML99"/>
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        <balance>2988.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3302.250000</valUSD>
        <pctVal>0.0000836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 900134 FN 09/36 FIXED 6</title>
        <cusip>31410XBB1</cusip>
        <identifiers>
          <isin value="US31410XBB10"/>
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        <balance>98.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>105.670000</valUSD>
        <pctVal>0.0000027</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 902066 FN 12/36 FIXED 6</title>
        <cusip>31411AFF7</cusip>
        <identifiers>
          <isin value="US31411AFF75"/>
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        <balance>10533.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11251.210000</valUSD>
        <pctVal>0.0002848</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 902110 FN 10/36 FIXED 6</title>
        <cusip>31411AGT6</cusip>
        <identifiers>
          <isin value="US31411AGT60"/>
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        <balance>1290.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1386.260000</valUSD>
        <pctVal>0.0000351</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 902340 FN 11/36 FIXED 5.5</title>
        <cusip>31411APZ2</cusip>
        <identifiers>
          <isin value="US31411APZ20"/>
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        <balance>51.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56.280000</valUSD>
        <pctVal>0.0000014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 903504 FN 10/36 FIXED 6</title>
        <cusip>31411BX99</cusip>
        <identifiers>
          <isin value="US31411BX994"/>
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        <balance>78.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>84.240000</valUSD>
        <pctVal>0.0000021</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 903812 FN 12/36 FIXED 5.5</title>
        <cusip>31411CDR9</cusip>
        <identifiers>
          <isin value="US31411CDR97"/>
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        <balance>13298.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14588.540000</valUSD>
        <pctVal>0.0003693</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 904605 FN 11/36 FIXED 6</title>
        <cusip>31411DAE9</cusip>
        <identifiers>
          <isin value="US31411DAE94"/>
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        <balance>309.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>331.860000</valUSD>
        <pctVal>0.0000084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 905334 FN 12/36 FIXED 6</title>
        <cusip>31411DY78</cusip>
        <identifiers>
          <isin value="US31411DY782"/>
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        <balance>17.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19.140000</valUSD>
        <pctVal>0.0000005</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 905588 FN 12/36 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31411ECZ88"/>
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        <balance>6.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7.080000</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>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 905864 FN 11/36 FIXED 6</title>
        <cusip>31411EMM6</cusip>
        <identifiers>
          <isin value="US31411EMM65"/>
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        <balance>35955.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38640.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 906311 FN 01/37 FIXED 6</title>
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        <identifiers>
          <isin value="US31411E3U97"/>
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        <balance>4474.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4818.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 907746 FN 01/37 FIXED 6</title>
        <cusip>31411GP71</cusip>
        <identifiers>
          <isin value="US31411GP718"/>
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        <balance>14667.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16069.060000</valUSD>
        <pctVal>0.0004068</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 908098 FN 12/36 FIXED 6</title>
        <cusip>31411G3F7</cusip>
        <identifiers>
          <isin value="US31411G3F75"/>
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        <balance>11311.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12631.160000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 908588 FN 02/37 FIXED 6</title>
        <cusip>31411HND8</cusip>
        <identifiers>
          <isin value="US31411HND88"/>
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        <balance>6237.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6658.270000</valUSD>
        <pctVal>0.0001686</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 910669 FN 02/37 FIXED 6</title>
        <cusip>31411KW66</cusip>
        <identifiers>
          <isin value="US31411KW666"/>
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        <balance>13195.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14085.390000</valUSD>
        <pctVal>0.0003566</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 914370 FN 03/37 FIXED 6</title>
        <cusip>31411S2B1</cusip>
        <identifiers>
          <isin value="US31411S2B18"/>
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        <balance>25.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27.430000</valUSD>
        <pctVal>0.0000007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 916326 FN 04/37 FIXED 6</title>
        <cusip>31411WA31</cusip>
        <identifiers>
          <isin value="US31411WA311"/>
        </identifiers>
        <balance>3242.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3604.170000</valUSD>
        <pctVal>0.0000912</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 917129 FN 06/37 FIXED 6</title>
        <cusip>31411W4N4</cusip>
        <identifiers>
          <isin value="US31411W4N48"/>
        </identifiers>
        <balance>6678.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7455.380000</valUSD>
        <pctVal>0.0001887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 917555 FN 04/37 FIXED 6</title>
        <cusip>31411XMC6</cusip>
        <identifiers>
          <isin value="US31411XMC64"/>
        </identifiers>
        <balance>6493.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6946.040000</valUSD>
        <pctVal>0.0001759</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 919658 FN 09/37 FIXED 6</title>
        <cusip>31412AWT7</cusip>
        <identifiers>
          <isin value="US31412AWT77"/>
        </identifiers>
        <balance>1270.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1358.200000</valUSD>
        <pctVal>0.0000344</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 920077 FN 12/36 FIXED 5.5</title>
        <cusip>31412BFS6</cusip>
        <identifiers>
          <isin value="US31412BFS60"/>
        </identifiers>
        <balance>17801.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19465.120000</valUSD>
        <pctVal>0.0004928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 920078 FN 12/36 FIXED 5.5</title>
        <cusip>31412BFT4</cusip>
        <identifiers>
          <isin value="US31412BFT44"/>
        </identifiers>
        <balance>596.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>651.100000</valUSD>
        <pctVal>0.0000165</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 922039 FN 02/37 FIXED 5.5</title>
        <cusip>31412DLU0</cusip>
        <identifiers>
          <isin value="US31412DLU09"/>
        </identifiers>
        <balance>5324.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5826.030000</valUSD>
        <pctVal>0.0001475</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 922041 FN 02/37 FIXED 6</title>
        <cusip>31412DLW6</cusip>
        <identifiers>
          <isin value="US31412DLW64"/>
        </identifiers>
        <balance>16726.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18509.390000</valUSD>
        <pctVal>0.0004686</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 928382 FN 06/37 FIXED 5.5</title>
        <cusip>31412LM72</cusip>
        <identifiers>
          <isin value="US31412LM721"/>
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        <balance>1916.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2097.760000</valUSD>
        <pctVal>0.0000531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </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 928453 FN 07/27 FIXED 5.5</title>
        <cusip>31412LQE3</cusip>
        <identifiers>
          <isin value="US31412LQE38"/>
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        <balance>504.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>536.230000</valUSD>
        <pctVal>0.0000136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 929451 FN 05/38 FIXED 5.5</title>
        <cusip>31412MTG3</cusip>
        <identifiers>
          <isin value="US31412MTG32"/>
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        <balance>14273.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15739.710000</valUSD>
        <pctVal>0.0003985</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 929838 FN 08/38 FIXED 6</title>
        <cusip>31412NBF2</cusip>
        <identifiers>
          <isin value="US31412NBF24"/>
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        <balance>147.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>164.670000</valUSD>
        <pctVal>0.0000042</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 930498 FN 02/29 FIXED 5</title>
        <cusip>31412NX35</cusip>
        <identifiers>
          <isin value="US31412NX351"/>
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        <balance>11095.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>11683.320000</valUSD>
        <pctVal>0.0002958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 930667 FN 03/24 FIXED 4.5</title>
        <cusip>31412N6C5</cusip>
        <identifiers>
          <isin value="US31412N6C53"/>
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        <balance>306.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>314.770000</valUSD>
        <pctVal>0.0000080</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 931353 FN 06/39 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31412PWN76"/>
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        <balance>4529.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4821.890000</valUSD>
        <pctVal>0.0001221</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 932035 FN 03/38 FIXED 6</title>
        <cusip>31412QPU7</cusip>
        <identifiers>
          <isin value="US31412QPU75"/>
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        <balance>148.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>165.710000</valUSD>
        <pctVal>0.0000042</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 932359 FN 01/25 FIXED 4</title>
        <cusip>31412QZY8</cusip>
        <identifiers>
          <isin value="US31412QZY87"/>
        </identifiers>
        <balance>1651.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1698.620000</valUSD>
        <pctVal>0.0000430</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-01-01</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 932548 FN 02/40 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31412RBR75"/>
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        <balance>311.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>340.660000</valUSD>
        <pctVal>0.0000086</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 933121 FN 01/38 FIXED 5.5</title>
        <cusip>31412SD28</cusip>
        <identifiers>
          <isin value="US31412SD287"/>
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        <balance>487.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>538.220000</valUSD>
        <pctVal>0.0000136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 944526 FN 07/37 FIXED 6</title>
        <cusip>31413FYX4</cusip>
        <identifiers>
          <isin value="US31413FYX40"/>
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        <balance>35.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38.400000</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>2037-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 946254 FN 09/37 FIXED 6</title>
        <cusip>31413HWP9</cusip>
        <identifiers>
          <isin value="US31413HWP99"/>
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        <balance>513.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>573.590000</valUSD>
        <pctVal>0.0000145</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 950299 FN 08/37 FIXED 5.5</title>
        <cusip>31413NGG4</cusip>
        <identifiers>
          <isin value="US31413NGG43"/>
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        <balance>763.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>836.170000</valUSD>
        <pctVal>0.0000212</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 956694 FN 11/37 FIXED 6</title>
        <cusip>31413VKF3</cusip>
        <identifiers>
          <isin value="US31413VKF30"/>
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        <balance>714.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>766.950000</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>2037-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 960213 FN 09/27 FIXED 5.5</title>
        <cusip>31414AGW6</cusip>
        <identifiers>
          <isin value="US31414AGW62"/>
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        <balance>66.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70.440000</valUSD>
        <pctVal>0.0000018</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 962068 FN 03/38 FIXED 6</title>
        <cusip>31414CJM1</cusip>
        <identifiers>
          <isin value="US31414CJM10"/>
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        <balance>4062.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4472.170000</valUSD>
        <pctVal>0.0001132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 964677 FN 08/38 FIXED 6</title>
        <cusip>31414FFS5</cusip>
        <identifiers>
          <isin value="US31414FFS56"/>
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        <balance>27.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29.170000</valUSD>
        <pctVal>0.0000007</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 965040 FN 09/38 FIXED 4.5</title>
        <cusip>31414FS51</cusip>
        <identifiers>
          <isin value="US31414FS510"/>
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        <balance>1333.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1387.980000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 966202 FN 12/37 FIXED 6</title>
        <cusip>31414G3K3</cusip>
        <identifiers>
          <isin value="US31414G3K31"/>
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        <balance>3582.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4000.870000</valUSD>
        <pctVal>0.0001013</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 966578 FN 02/38 FIXED 6</title>
        <cusip>31414HJX6</cusip>
        <identifiers>
          <isin value="US31414HJX61"/>
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        <balance>1581.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1709.350000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 969064 FN 03/38 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31414LB985"/>
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        <balance>12467.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13648.920000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 969776 FN 02/38 FIXED 5.5</title>
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          <isin value="US31414L2H03"/>
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        <balance>1739.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1911.800000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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          <maturityDt>2038-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 970785 FN 11/38 FIXED 6</title>
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        <identifiers>
          <isin value="US31414M6W16"/>
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        <balance>878.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>954.110000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
          <maturityDt>2038-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 970853 FN 12/38 FIXED 6</title>
        <cusip>31414NBW3</cusip>
        <identifiers>
          <isin value="US31414NBW39"/>
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        <balance>8405.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9173.810000</valUSD>
        <pctVal>0.0002323</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 970952 FN 12/38 FIXED 6</title>
        <cusip>31414NEZ3</cusip>
        <identifiers>
          <isin value="US31414NEZ33"/>
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        <balance>4287.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4714.170000</valUSD>
        <pctVal>0.0001193</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 972305 FN 02/38 FIXED 6</title>
        <cusip>31414PU64</cusip>
        <identifiers>
          <isin value="US31414PU648"/>
        </identifiers>
        <balance>7613.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8464.070000</valUSD>
        <pctVal>0.0002143</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 973231 FN 10/36 FIXED 6</title>
        <cusip>31414QVY0</cusip>
        <identifiers>
          <isin value="US31414QVY06"/>
        </identifiers>
        <balance>67.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>74.550000</valUSD>
        <pctVal>0.0000019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 981705 FN 06/38 FIXED 4.5</title>
        <cusip>31415BDJ5</cusip>
        <identifiers>
          <isin value="US31415BDJ52"/>
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        <balance>781.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>810.840000</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>2038-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 983629 FN 05/23 FIXED 4.5</title>
        <cusip>31415LVW4</cusip>
        <identifiers>
          <isin value="US31415LVW44"/>
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        <balance>6.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6.990000</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>2023-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 985869 FN 08/38 FIXED 6</title>
        <cusip>31415QFJ0</cusip>
        <identifiers>
          <isin value="US31415QFJ04"/>
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        <balance>59.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63.370000</valUSD>
        <pctVal>0.0000016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 988580 FN 08/38 FIXED 6</title>
        <cusip>31415TFV7</cusip>
        <identifiers>
          <isin value="US31415TFV70"/>
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        <balance>87.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>97.200000</valUSD>
        <pctVal>0.0000025</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 988588 FN 08/38 FIXED 5.5</title>
        <cusip>31415TF54</cusip>
        <identifiers>
          <isin value="US31415TF549"/>
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        <balance>1318.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1449.510000</valUSD>
        <pctVal>0.0000367</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>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 990517 FN 09/38 FIXED 6</title>
        <cusip>31415VK61</cusip>
        <identifiers>
          <isin value="US31415VK610"/>
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        <balance>256.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>286.180000</valUSD>
        <pctVal>0.0000072</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 992302 FN 01/39 FIXED 5.5</title>
        <cusip>31415XKP5</cusip>
        <identifiers>
          <isin value="US31415XKP59"/>
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        <balance>1322.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1407.360000</valUSD>
        <pctVal>0.0000356</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 993265 FN 05/39 FIXED 4.5</title>
        <cusip>31415YMN6</cusip>
        <identifiers>
          <isin value="US31415YMN66"/>
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        <balance>120.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>125.690000</valUSD>
        <pctVal>0.0000032</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995113 FN 09/36 FIXED VAR</title>
        <cusip>31416BN61</cusip>
        <identifiers>
          <isin value="US31416BN614"/>
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        <balance>27.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30.340000</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>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995243 FN 08/38 FIXED VAR</title>
        <cusip>31416BS82</cusip>
        <identifiers>
          <isin value="US31416BS829"/>
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        <balance>950.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1011.980000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995279 FN 12/38 FIXED VAR</title>
        <cusip>31416BUC0</cusip>
        <identifiers>
          <isin value="US31416BUC08"/>
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        <balance>30.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33.950000</valUSD>
        <pctVal>0.0000009</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995482 FN 01/39 FIXED VAR</title>
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        <identifiers>
          <isin value="US31416B2P25"/>
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        <balance>427.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>471.750000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995721 FN 03/39 FIXED VAR</title>
        <cusip>31416CD29</cusip>
        <identifiers>
          <isin value="US31416CD290"/>
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        <balance>4203.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4694.880000</valUSD>
        <pctVal>0.0001189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL 995894 FN 04/39 FIXED VAR</title>
        <cusip>31416CKF2</cusip>
        <identifiers>
          <isin value="US31416CKF22"/>
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        <balance>6368.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7119.520000</valUSD>
        <pctVal>0.0001802</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>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA0836 FN 01/39 FIXED 4.5</title>
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        <identifiers>
          <isin value="US31416H4W21"/>
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        <balance>5094.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5422.630000</valUSD>
        <pctVal>0.0001373</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA0920 FN 08/37 FIXED 5.5</title>
        <cusip>31416JAW1</cusip>
        <identifiers>
          <isin value="US31416JAW18"/>
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        <balance>5104.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5597.660000</valUSD>
        <pctVal>0.0001417</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AA1265 FN 08/33 FIXED 4.5</title>
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          <isin value="US31416JMP39"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>109.160000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>PIMCO FUNDS</name>
        <lei>549300F9QJIJF2GM8419</lei>
        <title>PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND</title>
        <cusip>000000000</cusip>
        <identifiers>
          <isin value="US72202G3801"/>
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        <balance>554956.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5470758.670000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB0196 FN 02/39 FIXED 5.5</title>
        <cusip>31416VGE8</cusip>
        <identifiers>
          <isin value="US31416VGE83"/>
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        <balance>4343.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4756.970000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB0204 FN 12/38 FIXED 5.5</title>
        <cusip>31416VGN8</cusip>
        <identifiers>
          <isin value="US31416VGN82"/>
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        <balance>385.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>424.860000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB0293 FN 11/38 FIXED 6</title>
        <cusip>31416VKF0</cusip>
        <identifiers>
          <isin value="US31416VKF03"/>
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        <balance>7524.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8292.520000</valUSD>
        <pctVal>0.0002099</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB1129 FN 06/30 FIXED 4.5</title>
        <cusip>31416WHF2</cusip>
        <identifiers>
          <isin value="US31416WHF23"/>
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        <balance>41203.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>42748.480000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB2858 FN 01/39 FIXED 5.5</title>
        <cusip>31416YE87</cusip>
        <identifiers>
          <isin value="US31416YE870"/>
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        <balance>15072.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16286.960000</valUSD>
        <pctVal>0.0004123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AB3105 FN 05/41 FIXED 4.5</title>
        <cusip>31416YNX2</cusip>
        <identifiers>
          <isin value="US31416YNX21"/>
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        <balance>8565.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8885.300000</valUSD>
        <pctVal>0.0002249</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AC2749 FN 08/39 FIXED 4.5</title>
        <cusip>31417MBT9</cusip>
        <identifiers>
          <isin value="US31417MBT99"/>
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        <balance>1474.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1530.220000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AC6211 FN 11/39 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31417S3V02"/>
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        <balance>1499.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1615.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AC7291 FN 12/39 FIXED 4.5</title>
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        <identifiers>
          <isin value="US31417UC524"/>
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        <balance>382.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>407.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
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          <maturityDt>2039-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AC8113 FN 01/36 FIXED 5.5</title>
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        <identifiers>
          <isin value="US31417VAP85"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2925.480000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0198 FN 09/38 FIXED VAR</title>
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          <isin value="US31418MGG15"/>
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        <balance>27.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0220 FN 10/38 FIXED VAR</title>
        <cusip>31418MG63</cusip>
        <identifiers>
          <isin value="US31418MG637"/>
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        <balance>18.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>20.300000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0267 FN 08/25 FIXED VAR</title>
        <cusip>31418MJM5</cusip>
        <identifiers>
          <isin value="US31418MJM55"/>
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        <balance>328.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>345.420000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD0461 FN 09/36 FIXED VAR</title>
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        <identifiers>
          <isin value="US31418MQP04"/>
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        <balance>29043.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31219.010000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD1870 FN 08/40 FIXED 4.5</title>
        <cusip>31418PCG8</cusip>
        <identifiers>
          <isin value="US31418PCG81"/>
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        <balance>444.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>473.220000</valUSD>
        <pctVal>0.0000120</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD2336 FN 02/40 FIXED 4.5</title>
        <cusip>31418PS22</cusip>
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          <isin value="US31418PS221"/>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD3661 FN 05/40 FIXED 4.5</title>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31418U2M57"/>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD9398 FN 06/40 FIXED 4.5</title>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AD9988 FN 09/40 FIXED 4.5</title>
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          <isin value="US31418YC201"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>299.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE0245 FN 12/38 FIXED VAR</title>
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        <identifiers>
          <isin value="US31419AHX81"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE0318 FN 09/25 FIXED VAR</title>
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          <isin value="US31419AK897"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE0508 FN 10/40 FIXED VAR</title>
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        <identifiers>
          <isin value="US31419AR660"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31419A3K17"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AE1266 FN 09/41 FIXED 4.5</title>
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          <isin value="US31419BMQ58"/>
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        <units>PA</units>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31419CSC81"/>
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        <curCd>USD</curCd>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31419DG543"/>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US31419FVG89"/>
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        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH2687 FN 01/41 FIXED 4.5</title>
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          <isin value="US3138A36Z55"/>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US3138A37H49"/>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH4226 FN 03/41 FIXED 4.5</title>
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          <isin value="US3138A5VU38"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>483.100000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH4246 FN 04/41 FIXED 4.5</title>
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          <isin value="US3138A5WG35"/>
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        <balance>2165.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2261.990000</valUSD>
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        <issuerCat>USGSE</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH4268 FN 04/41 FIXED 4.5</title>
        <cusip>3138A5W65</cusip>
        <identifiers>
          <isin value="US3138A5W654"/>
        </identifiers>
        <balance>1328.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1378.630000</valUSD>
        <pctVal>0.0000349</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH6339 FN 04/41 FIXED 4.5</title>
        <cusip>3138A8BH8</cusip>
        <identifiers>
          <isin value="US3138A8BH85"/>
        </identifiers>
        <balance>180.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>187.050000</valUSD>
        <pctVal>0.0000047</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH8643 FN 04/41 FIXED 4.5</title>
        <cusip>3138AAS93</cusip>
        <identifiers>
          <isin value="US3138AAS937"/>
        </identifiers>
        <balance>862.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>918.280000</valUSD>
        <pctVal>0.0000232</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AH9109 FN 04/41 FIXED 4.5</title>
        <cusip>3138ABDP1</cusip>
        <identifiers>
          <isin value="US3138ABDP10"/>
        </identifiers>
        <balance>549.270000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>584.870000</valUSD>
        <pctVal>0.0000148</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI0726 FN 04/41 FIXED 4.5</title>
        <cusip>3138ADYY5</cusip>
        <identifiers>
          <isin value="US3138ADYY53"/>
        </identifiers>
        <balance>3436.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3582.500000</valUSD>
        <pctVal>0.0000907</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI1673 FN 06/41 FIXED 4.5</title>
        <cusip>3138AE2F9</cusip>
        <identifiers>
          <isin value="US3138AE2F95"/>
        </identifiers>
        <balance>3821.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3965.630000</valUSD>
        <pctVal>0.0001004</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI2430 FN 05/41 FIXED 4.5</title>
        <cusip>3138AFVY3</cusip>
        <identifiers>
          <isin value="US3138AFVY39"/>
        </identifiers>
        <balance>16720.160000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17804.590000</valUSD>
        <pctVal>0.0004508</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI3810 FN 06/41 FIXED 4.5</title>
        <cusip>3138AHGU4</cusip>
        <identifiers>
          <isin value="US3138AHGU48"/>
        </identifiers>
        <balance>512.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545.780000</valUSD>
        <pctVal>0.0000138</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI4142 FN 06/41 FIXED 4.5</title>
        <cusip>3138AHS80</cusip>
        <identifiers>
          <isin value="US3138AHS809"/>
        </identifiers>
        <balance>2695.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2851.210000</valUSD>
        <pctVal>0.0000722</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI5961 FN 06/26 FIXED 4</title>
        <cusip>3138AKTT6</cusip>
        <identifiers>
          <isin value="US3138AKTT66"/>
        </identifiers>
        <balance>2395.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2463.980000</valUSD>
        <pctVal>0.0000624</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-06-01</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 AI8356 FN 08/41 FIXED 4.5</title>
        <cusip>3138ANJA2</cusip>
        <identifiers>
          <isin value="US3138ANJA25"/>
        </identifiers>
        <balance>36633.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38954.070000</valUSD>
        <pctVal>0.0009862</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AI8831 FN 08/41 FIXED 4.5</title>
        <cusip>3138ANY56</cusip>
        <identifiers>
          <isin value="US3138ANY565"/>
        </identifiers>
        <balance>456.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>486.410000</valUSD>
        <pctVal>0.0000123</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-08-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AJ9204 FN 01/42 FIXED 4.5</title>
        <cusip>3138E2GN9</cusip>
        <identifiers>
          <isin value="US3138E2GN98"/>
        </identifiers>
        <balance>140.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>145.540000</valUSD>
        <pctVal>0.0000037</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-01-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AK8453 FN 04/42 FIXED 4.5</title>
        <cusip>3138EDMB4</cusip>
        <identifiers>
          <isin value="US3138EDMB43"/>
        </identifiers>
        <balance>531.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>567.120000</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>2042-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0520 FN 07/41 FIXED VAR</title>
        <cusip>3138EGSJ4</cusip>
        <identifiers>
          <isin value="US3138EGSJ46"/>
        </identifiers>
        <balance>12991.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14326.470000</valUSD>
        <pctVal>0.0003627</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <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 AL0525 FN 04/37 FIXED VAR</title>
        <cusip>3138EGSP0</cusip>
        <identifiers>
          <isin value="US3138EGSP06"/>
        </identifiers>
        <balance>1810.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1983.380000</valUSD>
        <pctVal>0.0000502</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0822 FN 10/41 FIXED VAR</title>
        <cusip>3138EG4G6</cusip>
        <identifiers>
          <isin value="US3138EG4G65"/>
        </identifiers>
        <balance>404.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>430.930000</valUSD>
        <pctVal>0.0000109</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL0869 FN 06/29 FIXED VAR</title>
        <cusip>3138EG6F6</cusip>
        <identifiers>
          <isin value="US3138EG6F64"/>
        </identifiers>
        <balance>26617.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27606.580000</valUSD>
        <pctVal>0.0006989</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <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 AL1319 FN 10/41 FIXED VAR</title>
        <cusip>3138EHPD8</cusip>
        <identifiers>
          <isin value="US3138EHPD85"/>
        </identifiers>
        <balance>3432.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3653.550000</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>2041-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL1572 FN 09/36 FIXED VAR</title>
        <cusip>3138EHXA5</cusip>
        <identifiers>
          <isin value="US3138EHXA54"/>
        </identifiers>
        <balance>2022.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2172.900000</valUSD>
        <pctVal>0.0000550</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL2935 FN 02/43 FIXED VAR</title>
        <cusip>3138EKHM0</cusip>
        <identifiers>
          <isin value="US3138EKHM06"/>
        </identifiers>
        <balance>16600.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16938.680000</valUSD>
        <pctVal>0.0004288</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-02-01</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 AL3185 FN 02/39 FIXED VAR</title>
        <cusip>3138EKRF4</cusip>
        <identifiers>
          <isin value="US3138EKRF45"/>
        </identifiers>
        <balance>3107.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3407.040000</valUSD>
        <pctVal>0.0000863</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3223 FN 09/41 FIXED VAR</title>
        <cusip>3138EKSM8</cusip>
        <identifiers>
          <isin value="US3138EKSM86"/>
        </identifiers>
        <balance>14373.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15853.840000</valUSD>
        <pctVal>0.0004014</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3351 FN 04/41 FIXED VAR</title>
        <cusip>3138EKWM3</cusip>
        <identifiers>
          <isin value="US3138EKWM31"/>
        </identifiers>
        <balance>20548.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22956.080000</valUSD>
        <pctVal>0.0005812</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>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3365 FN 05/41 FIXED VAR</title>
        <cusip>3138EKW35</cusip>
        <identifiers>
          <isin value="US3138EKW351"/>
        </identifiers>
        <balance>124917.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>138986.780000</valUSD>
        <pctVal>0.0035187</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-05-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3480 FN 07/40 FIXED VAR</title>
        <cusip>3138EK2N4</cusip>
        <identifiers>
          <isin value="US3138EK2N45"/>
        </identifiers>
        <balance>8768.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9525.050000</valUSD>
        <pctVal>0.0002411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AL3681 FN 10/40 FIXED VAR</title>
        <cusip>3138ELCT8</cusip>
        <identifiers>
          <isin value="US3138ELCT86"/>
        </identifiers>
        <balance>48770.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54484.620000</valUSD>
        <pctVal>0.0013794</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AO3526 FN 04/39 FIXED 4.5</title>
        <cusip>3138LT4L9</cusip>
        <identifiers>
          <isin value="US3138LT4L90"/>
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        <balance>1000.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1040.980000</valUSD>
        <pctVal>0.0000264</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AU0949 FN 08/43 FIXED 3.5</title>
        <cusip>3138X0BT4</cusip>
        <identifiers>
          <isin value="US3138X0BT40"/>
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        <balance>21709.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22151.920000</valUSD>
        <pctVal>0.0005608</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>9376527.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>91046082.670000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>STIV</assetCat>
        <issuerCat>RF</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL AW1350 FN 02/44 FIXED 4.5</title>
        <cusip>3138XQQC8</cusip>
        <identifiers>
          <isin value="US3138XQQC81"/>
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        <balance>8839.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9187.280000</valUSD>
        <pctVal>0.0002326</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH2712 FN 04/47 FIXED 3.5</title>
        <cusip>3140GRAN4</cusip>
        <identifiers>
          <isin value="US3140GRAN41"/>
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        <balance>36575.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36890.710000</valUSD>
        <pctVal>0.0009340</pctVal>
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        <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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH4101 FN 10/47 FIXED 3.5</title>
        <cusip>3140GSRX2</cusip>
        <identifiers>
          <isin value="US3140GSRX23"/>
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        <balance>338734.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>342707.030000</valUSD>
        <pctVal>0.0086763</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>3.5</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH5201 FN 09/47 FIXED 3.5</title>
        <cusip>3140GTX70</cusip>
        <identifiers>
          <isin value="US3140GTX708"/>
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        <balance>12559.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12621.700000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-09-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BH5752 FN 11/47 FIXED 3.5</title>
        <cusip>3140GUMA2</cusip>
        <identifiers>
          <isin value="US3140GUMA21"/>
        </identifiers>
        <balance>189812.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>191981.140000</valUSD>
        <pctVal>0.0048604</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 BH9215 FN 01/48 FIXED 3.5</title>
        <cusip>3140GYGZ6</cusip>
        <identifiers>
          <isin value="US3140GYGZ67"/>
        </identifiers>
        <balance>6226.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6279.220000</valUSD>
        <pctVal>0.0001590</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 BH9277 FN 02/48 FIXED 3.5</title>
        <cusip>3140GYJX8</cusip>
        <identifiers>
          <isin value="US3140GYJX82"/>
        </identifiers>
        <balance>122445.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>123806.360000</valUSD>
        <pctVal>0.0031344</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 BJ0163 FN 12/47 FIXED 3.5</title>
        <cusip>3140H1FD7</cusip>
        <identifiers>
          <isin value="US3140H1FD75"/>
        </identifiers>
        <balance>39263.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39705.380000</valUSD>
        <pctVal>0.0010052</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 BJ0179 FN 01/48 FIXED 3.5</title>
        <cusip>3140H1FV7</cusip>
        <identifiers>
          <isin value="US3140H1FV73"/>
        </identifiers>
        <balance>6745.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6788.510000</valUSD>
        <pctVal>0.0001719</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 BJ2553 FN 12/47 FIXED 3.5</title>
        <cusip>3140H3ZT6</cusip>
        <identifiers>
          <isin value="US3140H3ZT63"/>
        </identifiers>
        <balance>5570.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5641.260000</valUSD>
        <pctVal>0.0001428</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 BJ2692 FN 04/48 FIXED 3.5</title>
        <cusip>3140H37E0</cusip>
        <identifiers>
          <isin value="US3140H37E09"/>
        </identifiers>
        <balance>194024.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>195981.570000</valUSD>
        <pctVal>0.0049617</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 BJ2758 FN 05/48 FIXED 3.5</title>
        <cusip>3140H4B45</cusip>
        <identifiers>
          <isin value="US3140H4B452"/>
        </identifiers>
        <balance>43901.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44321.920000</valUSD>
        <pctVal>0.0011221</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>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 BJ3928 FN 12/47 FIXED 3.5</title>
        <cusip>3140H5LJ8</cusip>
        <identifiers>
          <isin value="US3140H5LJ85"/>
        </identifiers>
        <balance>38152.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38336.720000</valUSD>
        <pctVal>0.0009706</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 BJ3934 FN 12/47 FIXED 3.5</title>
        <cusip>3140H5LQ2</cusip>
        <identifiers>
          <isin value="US3140H5LQ29"/>
        </identifiers>
        <balance>6175.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6249.830000</valUSD>
        <pctVal>0.0001582</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 BJ3937 FN 01/48 FIXED 3.5</title>
        <cusip>3140H5LT6</cusip>
        <identifiers>
          <isin value="US3140H5LT67"/>
        </identifiers>
        <balance>29377.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29776.080000</valUSD>
        <pctVal>0.0007538</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 BJ3960 FN 01/48 FIXED 3.5</title>
        <cusip>3140H5MJ7</cusip>
        <identifiers>
          <isin value="US3140H5MJ76"/>
        </identifiers>
        <balance>45450.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45939.110000</valUSD>
        <pctVal>0.0011630</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3965 FN 01/48 FIXED 3.5</title>
        <cusip>3140H5MP3</cusip>
        <identifiers>
          <isin value="US3140H5MP37"/>
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        <balance>33918.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34298.980000</valUSD>
        <pctVal>0.0008683</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3970 FN 01/48 FIXED 3.5</title>
        <cusip>3140H5MU2</cusip>
        <identifiers>
          <isin value="US3140H5MU22"/>
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        <balance>928.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>935.310000</valUSD>
        <pctVal>0.0000237</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3977 FN 01/48 FIXED 3.5</title>
        <cusip>3140H5M32</cusip>
        <identifiers>
          <isin value="US3140H5M324"/>
        </identifiers>
        <balance>32476.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32773.500000</valUSD>
        <pctVal>0.0008297</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ3996 FN 02/48 FIXED 3.5</title>
        <cusip>3140H5NN7</cusip>
        <identifiers>
          <isin value="US3140H5NN79"/>
        </identifiers>
        <balance>36831.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>37228.760000</valUSD>
        <pctVal>0.0009425</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL BJ4012 FN 02/48 FIXED 3.5</title>
        <cusip>3140H5N64</cusip>
        <identifiers>
          <isin value="US3140H5N645"/>
        </identifiers>
        <balance>15110.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15188.900000</valUSD>
        <pctVal>0.0003845</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 BJ4581 FN 02/48 FIXED 3.5</title>
        <cusip>3140H6CT4</cusip>
        <identifiers>
          <isin value="US3140H6CT42"/>
        </identifiers>
        <balance>4823.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4874.350000</valUSD>
        <pctVal>0.0001234</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 BJ8558 FN 03/48 FIXED 3.5</title>
        <cusip>3140HAQL7</cusip>
        <identifiers>
          <isin value="US3140HAQL76"/>
        </identifiers>
        <balance>2396.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2413.310000</valUSD>
        <pctVal>0.0000611</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 BJ9279 FN 02/48 FIXED 3.5</title>
        <cusip>3140HBJZ2</cusip>
        <identifiers>
          <isin value="US3140HBJZ29"/>
        </identifiers>
        <balance>39461.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39684.200000</valUSD>
        <pctVal>0.0010047</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 BK1792 FN 03/48 FIXED 3.5</title>
        <cusip>3140HE7E6</cusip>
        <identifiers>
          <isin value="US3140HE7E68"/>
        </identifiers>
        <balance>17121.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17323.610000</valUSD>
        <pctVal>0.0004386</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 BM5807 FN 04/48 FIXED VAR</title>
        <cusip>3140JANZ7</cusip>
        <identifiers>
          <isin value="US3140JANZ71"/>
        </identifiers>
        <balance>60060.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60768.180000</valUSD>
        <pctVal>0.0015385</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 BN0508 FN 09/48 FIXED 3.5</title>
        <cusip>3140JGR64</cusip>
        <identifiers>
          <isin value="US3140JGR644"/>
        </identifiers>
        <balance>275272.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>278536.840000</valUSD>
        <pctVal>0.0070517</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>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 CA2028 FN 04/48 FIXED 3.5</title>
        <cusip>3140Q9HE6</cusip>
        <identifiers>
          <isin value="US3140Q9HE67"/>
        </identifiers>
        <balance>50328.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51041.560000</valUSD>
        <pctVal>0.0012922</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 MA0022 FN 04/29 FIXED 4.5</title>
        <cusip>31417YAY3</cusip>
        <identifiers>
          <isin value="US31417YAY32"/>
        </identifiers>
        <balance>6542.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6786.590000</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>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>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0096 FN 06/29 FIXED 4.5</title>
        <cusip>31417YDA2</cusip>
        <identifiers>
          <isin value="US31417YDA29"/>
        </identifiers>
        <balance>1721.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1785.170000</valUSD>
        <pctVal>0.0000452</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.5</annualizedRt>
          <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 MA0268 FN 12/29 FIXED 5</title>
        <cusip>31417YJN8</cusip>
        <identifiers>
          <isin value="US31417YJN85"/>
        </identifiers>
        <balance>997.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1060.730000</valUSD>
        <pctVal>0.0000269</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-12-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0280 FN 11/29 FIXED 5.5</title>
        <cusip>31417YJ24</cusip>
        <identifiers>
          <isin value="US31417YJ240"/>
        </identifiers>
        <balance>4174.230000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4439.830000</valUSD>
        <pctVal>0.0001124</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-11-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA0383 FN 04/30 FIXED 4.5</title>
        <cusip>31417YM95</cusip>
        <identifiers>
          <isin value="US31417YM954"/>
        </identifiers>
        <balance>4019.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4169.520000</valUSD>
        <pctVal>0.0001056</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>4.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>FNMA POOL MA2994 FN 05/47 FIXED 3.5</title>
        <cusip>31418CKG8</cusip>
        <identifiers>
          <isin value="US31418CKG86"/>
        </identifiers>
        <balance>8105.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8220.280000</valUSD>
        <pctVal>0.0002081</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>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 MA3238 FN 01/48 FIXED 3.5</title>
        <cusip>31418CS47</cusip>
        <identifiers>
          <isin value="US31418CS476"/>
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        <balance>50136.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50627.950000</valUSD>
        <pctVal>0.0012818</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 MA3276 FN 02/48 FIXED 3.5</title>
        <cusip>31418CUA0</cusip>
        <identifiers>
          <isin value="US31418CUA07"/>
        </identifiers>
        <balance>46349.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46906.270000</valUSD>
        <pctVal>0.0011875</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 MA3305 FN 03/48 FIXED 3.5</title>
        <cusip>31418CU77</cusip>
        <identifiers>
          <isin value="US31418CU779"/>
        </identifiers>
        <balance>161173.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>163054.020000</valUSD>
        <pctVal>0.0041280</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 MA3332 FN 04/48 FIXED 3.5</title>
        <cusip>31418CV27</cusip>
        <identifiers>
          <isin value="US31418CV272"/>
        </identifiers>
        <balance>45878.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46241.560000</valUSD>
        <pctVal>0.0011707</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 MA3356 FN 05/48 FIXED 3.5</title>
        <cusip>31418CWS9</cusip>
        <identifiers>
          <isin value="US31418CWS96"/>
        </identifiers>
        <balance>40702.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41107.670000</valUSD>
        <pctVal>0.0010407</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>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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        <name>FNMA PASS THRU POOLS</name>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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      <invstOrSec>
        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
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        <name>FORD MOTOR CREDIT COMPANY LLC</name>
        <lei>UDSQCVRUX5BONN0VY111</lei>
        <title>FORD MOTOR CREDIT CO LLC SR UNSECURED 12/22 VAR</title>
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        <name>FREDDIE MAC 2764</name>
        <lei>N/A</lei>
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        <name>FREDDIE MAC 3181</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC 3218</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3218 SA</title>
        <cusip>31397BJY8</cusip>
        <identifiers>
          <isin value="US31397BJY83"/>
        </identifiers>
        <balance>59304.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8048.730000</valUSD>
        <pctVal>0.0002038</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.17343</annualizedRt>
          <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 3311</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3311 FN</title>
        <cusip>31397H6P8</cusip>
        <identifiers>
          <isin value="US31397H6P87"/>
        </identifiers>
        <balance>2222.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2219.360000</valUSD>
        <pctVal>0.0000562</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.69657</annualizedRt>
          <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 3355</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3355 BF</title>
        <cusip>31397KC90</cusip>
        <identifiers>
          <isin value="US31397KC909"/>
        </identifiers>
        <balance>90588.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>92138.730000</valUSD>
        <pctVal>0.0023327</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.09657</annualizedRt>
          <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 3360</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3360 FC</title>
        <cusip>31397KE31</cusip>
        <identifiers>
          <isin value="US31397KE319"/>
        </identifiers>
        <balance>50435.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51321.560000</valUSD>
        <pctVal>0.0012993</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.11657</annualizedRt>
          <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 3368</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3368 AF</title>
        <cusip>31397KL82</cusip>
        <identifiers>
          <isin value="US31397KL827"/>
        </identifiers>
        <balance>55195.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56175.000000</valUSD>
        <pctVal>0.0014222</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.11657</annualizedRt>
          <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 REMICS 3376</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3376 FD</title>
        <cusip>31397KZG9</cusip>
        <identifiers>
          <isin value="US31397KZG92"/>
        </identifiers>
        <balance>14831.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15088.570000</valUSD>
        <pctVal>0.0003820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.10657</annualizedRt>
          <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 REMICS 3844</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3844 PC</title>
        <cusip>3137A8VQ8</cusip>
        <identifiers>
          <isin value="US3137A8VQ82"/>
        </identifiers>
        <balance>327000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>364729.000000</valUSD>
        <pctVal>0.0092339</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3848</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3848 WX</title>
        <cusip>3137A9D52</cusip>
        <identifiers>
          <isin value="US3137A9D525"/>
        </identifiers>
        <balance>96386.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>100588.210000</valUSD>
        <pctVal>0.0025466</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>FREDDIE MAC REMICS 3922</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3922 GS</title>
        <cusip>3137AFHT2</cusip>
        <identifiers>
          <isin value="US3137AFHT27"/>
        </identifiers>
        <balance>133692.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>153858.600000</valUSD>
        <pctVal>0.0038952</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-09-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>13.8583</annualizedRt>
          <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 REMICS 3951</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3951 US</title>
        <cusip>3137AHVF2</cusip>
        <identifiers>
          <isin value="US3137AHVF23"/>
        </identifiers>
        <balance>37651.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38922.370000</valUSD>
        <pctVal>0.0009854</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-02-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>10.0669</annualizedRt>
          <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 REMICS 4079</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4079 WZ</title>
        <cusip>3137ARVQ6</cusip>
        <identifiers>
          <isin value="US3137ARVQ69"/>
        </identifiers>
        <balance>868506.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>862827.730000</valUSD>
        <pctVal>0.0218443</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-07-15</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>FREDDIE MAC REMICS 4273</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 4273 PF</title>
        <cusip>3137B66E6</cusip>
        <identifiers>
          <isin value="US3137B66E61"/>
        </identifiers>
        <balance>27751.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27832.000000</valUSD>
        <pctVal>0.0007046</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2043-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79657</annualizedRt>
          <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-3136</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3136 NS</title>
        <cusip>31396NH41</cusip>
        <identifiers>
          <isin value="US31396NH417"/>
        </identifiers>
        <balance>17802.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1864.200000</valUSD>
        <pctVal>0.0000472</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.30343</annualizedRt>
          <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-3289</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3289 FG</title>
        <cusip>31397FNM0</cusip>
        <identifiers>
          <isin value="US31397FNM04"/>
        </identifiers>
        <balance>32297.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>32366.120000</valUSD>
        <pctVal>0.0008194</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.77657</annualizedRt>
          <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-3891</name>
        <lei>N/A</lei>
        <title>FREDDIE MAC FHR 3891 BF</title>
        <cusip>3137ADTZ0</cusip>
        <identifiers>
          <isin value="US3137ADTZ01"/>
        </identifiers>
        <balance>35961.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36344.860000</valUSD>
        <pctVal>0.0009201</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.94657</annualizedRt>
          <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 2022-1FP</name>
        <lei>N/A</lei>
        <title>FREED ABS TRUST FREED 2022 1FP B 144A</title>
        <cusip>35633KAB2</cusip>
        <identifiers>
          <isin value="US35633KAB26"/>
        </identifiers>
        <balance>10440000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10183672.940000</valUSD>
        <pctVal>0.2578207</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-O</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-19</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.91</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>FREMONT HOME LOAN TRUST 2004-3</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2004 3 M2</title>
        <cusip>35729PFM7</cusip>
        <identifiers>
          <isin value="US35729PFM77"/>
        </identifiers>
        <balance>419705.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414710.050000</valUSD>
        <pctVal>0.0104992</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>1.50657</annualizedRt>
          <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 2005-A</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2005 A M3</title>
        <cusip>35729PHN3</cusip>
        <identifiers>
          <isin value="US35729PHN33"/>
        </identifiers>
        <balance>185631.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>183265.350000</valUSD>
        <pctVal>0.0046397</pctVal>
        <payoffProfile>Long</payoffProfile>
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      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2005-C</name>
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          <isin value="US35729PKS82"/>
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        <valUSD>7488.710000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-3</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 3 2A3</title>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-B</name>
        <lei>N/A</lei>
        <title>FREMONT HOME LOAN TRUST FHLT 2006 B 2A3</title>
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          <isin value="US35729QAD07"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-C</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-C</name>
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        <name>FREMONT HOME LOAN TRUST 2006-D</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FREMONT HOME LOAN TRUST 2006-E</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>FROST CMBS 2021-1 DAC 21-1A</name>
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          <isin value="XS2402428853"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>FWD SECURITIZATION TRUST 2020-INV1</name>
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          <isin value="US302985AA49"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GALAXY XV CLO LTD 2013-15A</name>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>GE-WMC MORTGAGE SECURITIES LLC 2005-2</name>
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        <fairValLevel>2</fairValLevel>
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        <name>GENERAL MOTORS FINANCIAL COMPANY INC</name>
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        <name>GENERAL MOTORS FINANCIAL COMPANY INC</name>
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      <invstOrSec>
        <name>GEORGIA POWER COMPANY</name>
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        <issuerCat>CORP</issuerCat>
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        <name>GLG EURO CLO III DAC A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>SL GREEN REALTY CORP</name>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>1</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA II POOL MA2391 G2 11/44 FLOATING VAR</title>
        <cusip>36179QUQ2</cusip>
        <identifiers>
          <isin value="US36179QUQ27"/>
        </identifiers>
        <balance>150115.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>152951.590000</valUSD>
        <pctVal>0.0038723</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2044-11-20</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>STICHTING AK RABOBANK CERTIFICATEN</name>
        <lei>N/A</lei>
        <title>STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>BJBQCWII7</cusip>
        <identifiers>
          <isin value="XS1002121454"/>
        </identifiers>
        <balance>1236900.000000</balance>
        <units>NS</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1600421.660000</valUSD>
        <pctVal>0.0405180</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 487821 GN 03/39 FIXED 5</title>
        <cusip>36210B4E2</cusip>
        <identifiers>
          <isin value="US36210B4E28"/>
        </identifiers>
        <balance>3895.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4281.170000</valUSD>
        <pctVal>0.0001084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 542828 GN 06/35 FIXED 5</title>
        <cusip>36212TA53</cusip>
        <identifiers>
          <isin value="US36212TA538"/>
        </identifiers>
        <balance>1008.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1088.570000</valUSD>
        <pctVal>0.0000276</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 602480 GN 12/35 FIXED 5</title>
        <cusip>36200JJZ4</cusip>
        <identifiers>
          <isin value="US36200JJZ49"/>
        </identifiers>
        <balance>2716.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3000.600000</valUSD>
        <pctVal>0.0000760</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 604550 GN 08/33 FIXED 5</title>
        <cusip>36200MTF0</cusip>
        <identifiers>
          <isin value="US36200MTF04"/>
        </identifiers>
        <balance>6535.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7193.950000</valUSD>
        <pctVal>0.0001821</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 623958 GN 12/35 FIXED 5</title>
        <cusip>36291CE76</cusip>
        <identifiers>
          <isin value="US36291CE761"/>
        </identifiers>
        <balance>598.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>647.330000</valUSD>
        <pctVal>0.0000164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 637882 GN 04/35 FIXED 5</title>
        <cusip>36291TUF3</cusip>
        <identifiers>
          <isin value="US36291TUF38"/>
        </identifiers>
        <balance>3046.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3293.720000</valUSD>
        <pctVal>0.0000834</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 669739 GN 07/37 FIXED 6</title>
        <cusip>36295GBG6</cusip>
        <identifiers>
          <isin value="US36295GBG64"/>
        </identifiers>
        <balance>1146.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1225.170000</valUSD>
        <pctVal>0.0000310</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 669740 GN 08/37 FIXED 6</title>
        <cusip>36295GBH4</cusip>
        <identifiers>
          <isin value="US36295GBH48"/>
        </identifiers>
        <balance>725.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>775.650000</valUSD>
        <pctVal>0.0000196</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-08-15</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>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 672595 GN 02/38 FIXED 5</title>
        <cusip>36295KGC1</cusip>
        <identifiers>
          <isin value="US36295KGC18"/>
        </identifiers>
        <balance>94.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>102.570000</valUSD>
        <pctVal>0.0000026</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 673497 GN 04/38 FIXED 5</title>
        <cusip>36295LGE5</cusip>
        <identifiers>
          <isin value="US36295LGE56"/>
        </identifiers>
        <balance>2047.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2212.050000</valUSD>
        <pctVal>0.0000560</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 674114 GN 06/38 FIXED 5</title>
        <cusip>36295L3X7</cusip>
        <identifiers>
          <isin value="US36295L3X75"/>
        </identifiers>
        <balance>599.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>648.840000</valUSD>
        <pctVal>0.0000164</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 675179 GN 03/38 FIXED 5</title>
        <cusip>36295NCQ8</cusip>
        <identifiers>
          <isin value="US36295NCQ88"/>
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        <balance>103.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>114.650000</valUSD>
        <pctVal>0.0000029</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 675181 GN 03/38 FIXED 5</title>
        <cusip>36295NCS4</cusip>
        <identifiers>
          <isin value="US36295NCS45"/>
        </identifiers>
        <balance>19588.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21485.910000</valUSD>
        <pctVal>0.0005440</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 676882 GN 03/38 FIXED 5</title>
        <cusip>36295P6T4</cusip>
        <identifiers>
          <isin value="US36295P6T46"/>
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        <balance>173.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>188.250000</valUSD>
        <pctVal>0.0000048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 677312 GN 09/38 FIXED 5</title>
        <cusip>36295QN55</cusip>
        <identifiers>
          <isin value="US36295QN557"/>
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        <balance>393.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>425.640000</valUSD>
        <pctVal>0.0000108</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 682586 GN 04/38 FIXED 5</title>
        <cusip>36295WJ73</cusip>
        <identifiers>
          <isin value="US36295WJ736"/>
        </identifiers>
        <balance>2997.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3303.200000</valUSD>
        <pctVal>0.0000836</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 686095 GN 06/38 FIXED 5</title>
        <cusip>36296BGC0</cusip>
        <identifiers>
          <isin value="US36296BGC00"/>
        </identifiers>
        <balance>14.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15.820000</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>2038-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 686678 GN 05/38 FIXED 5</title>
        <cusip>36296B2K7</cusip>
        <identifiers>
          <isin value="US36296B2K70"/>
        </identifiers>
        <balance>70.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>76.720000</valUSD>
        <pctVal>0.0000019</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 688013 GN 10/38 FIXED 5</title>
        <cusip>36296DK23</cusip>
        <identifiers>
          <isin value="US36296DK237"/>
        </identifiers>
        <balance>2271.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2493.480000</valUSD>
        <pctVal>0.0000631</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 688141 GN 12/38 FIXED 5</title>
        <cusip>36296DP28</cusip>
        <identifiers>
          <isin value="US36296DP285"/>
        </identifiers>
        <balance>5157.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5696.740000</valUSD>
        <pctVal>0.0001442</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 688442 GN 05/38 FIXED 5</title>
        <cusip>36296DZF8</cusip>
        <identifiers>
          <isin value="US36296DZF85"/>
        </identifiers>
        <balance>1093.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1182.050000</valUSD>
        <pctVal>0.0000299</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 690888 GN 06/38 FIXED 5</title>
        <cusip>36296GRH6</cusip>
        <identifiers>
          <isin value="US36296GRH64"/>
        </identifiers>
        <balance>22637.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24498.080000</valUSD>
        <pctVal>0.0006202</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 690955 GN 06/38 FIXED 5</title>
        <cusip>36296GTL5</cusip>
        <identifiers>
          <isin value="US36296GTL58"/>
        </identifiers>
        <balance>167.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>181.320000</valUSD>
        <pctVal>0.0000046</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 692340 GN 02/39 FIXED 5</title>
        <cusip>36296JEM3</cusip>
        <identifiers>
          <isin value="US36296JEM36"/>
        </identifiers>
        <balance>9461.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10395.800000</valUSD>
        <pctVal>0.0002632</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 692479 GN 04/39 FIXED 5</title>
        <cusip>36296JJY2</cusip>
        <identifiers>
          <isin value="US36296JJY29"/>
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        <balance>859.380000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>944.160000</valUSD>
        <pctVal>0.0000239</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697575 GN 11/38 FIXED 5</title>
        <cusip>36296P6L0</cusip>
        <identifiers>
          <isin value="US36296P6L00"/>
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        <balance>1743.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1918.980000</valUSD>
        <pctVal>0.0000486</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697698 GN 12/38 FIXED 5</title>
        <cusip>36296QDB2</cusip>
        <identifiers>
          <isin value="US36296QDB23"/>
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        <balance>6034.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6519.180000</valUSD>
        <pctVal>0.0001650</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697852 GN 02/39 FIXED 5</title>
        <cusip>36296QH51</cusip>
        <identifiers>
          <isin value="US36296QH516"/>
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        <balance>9731.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10641.410000</valUSD>
        <pctVal>0.0002694</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697914 GN 03/39 FIXED 5</title>
        <cusip>36296QK32</cusip>
        <identifiers>
          <isin value="US36296QK320"/>
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        <balance>61328.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>67482.870000</valUSD>
        <pctVal>0.0017085</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 697946 GN 03/39 FIXED 5</title>
        <cusip>36296QL31</cusip>
        <identifiers>
          <isin value="US36296QL310"/>
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        <balance>3145.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3462.950000</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>2039-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698026 GN 01/39 FIXED 5</title>
        <cusip>36296QPK9</cusip>
        <identifiers>
          <isin value="US36296QPK93"/>
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        <balance>4060.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4469.760000</valUSD>
        <pctVal>0.0001132</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-01-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698099 GN 04/39 FIXED 5</title>
        <cusip>36296QRU5</cusip>
        <identifiers>
          <isin value="US36296QRU57"/>
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        <balance>199.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>218.630000</valUSD>
        <pctVal>0.0000055</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 698340 GN 05/39 FIXED 5</title>
        <cusip>36296QZD4</cusip>
        <identifiers>
          <isin value="US36296QZD41"/>
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        <balance>1906.760000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2099.040000</valUSD>
        <pctVal>0.0000531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <units>PA</units>
        <curCd>USD</curCd>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36296XU770"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34396.030000</valUSD>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36296X3G79"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36296YP307"/>
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        <units>PA</units>
        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <isin value="US36297AKJ15"/>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
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          <couponKind>Fixed</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>4207.580000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
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          <couponKind>Fixed</couponKind>
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          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
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        <curCd>USD</curCd>
        <valUSD>4487.680000</valUSD>
        <pctVal>0.0001136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 741275 GN 05/40 FIXED 5</title>
        <cusip>3620AVQ47</cusip>
        <identifiers>
          <isin value="US3620AVQ470"/>
        </identifiers>
        <balance>2982.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3253.020000</valUSD>
        <pctVal>0.0000824</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 745045 GN 11/39 FIXED 5</title>
        <cusip>3620C0WE4</cusip>
        <identifiers>
          <isin value="US3620C0WE43"/>
        </identifiers>
        <balance>1357.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1467.460000</valUSD>
        <pctVal>0.0000372</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 747724 GN 08/40 FIXED 5</title>
        <cusip>3620C3VR0</cusip>
        <identifiers>
          <isin value="US3620C3VR04"/>
        </identifiers>
        <balance>36028.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38944.680000</valUSD>
        <pctVal>0.0009860</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 748501 GN 06/40 FIXED 5</title>
        <cusip>3620C4RW2</cusip>
        <identifiers>
          <isin value="US3620C4RW28"/>
        </identifiers>
        <balance>11281.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12196.730000</valUSD>
        <pctVal>0.0003088</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 759964 GN 11/41 FIXED 5</title>
        <cusip>36176AB99</cusip>
        <identifiers>
          <isin value="US36176AB996"/>
        </identifiers>
        <balance>1010.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1092.930000</valUSD>
        <pctVal>0.0000277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 760393 GN 10/41 FIXED 5</title>
        <cusip>36176ARN1</cusip>
        <identifiers>
          <isin value="US36176ARN18"/>
        </identifiers>
        <balance>8390.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9141.230000</valUSD>
        <pctVal>0.0002314</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-10-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 760397 GN 11/41 FIXED 5</title>
        <cusip>36176ARS0</cusip>
        <identifiers>
          <isin value="US36176ARS05"/>
        </identifiers>
        <balance>10013.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10818.860000</valUSD>
        <pctVal>0.0002739</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 762752 GN 03/41 FIXED 5</title>
        <cusip>36176DEZ2</cusip>
        <identifiers>
          <isin value="US36176DEZ24"/>
        </identifiers>
        <balance>2076.600000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2292.570000</valUSD>
        <pctVal>0.0000580</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2041-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 774290 GN 02/42 FIXED 5</title>
        <cusip>36176R7B2</cusip>
        <identifiers>
          <isin value="US36176R7B27"/>
        </identifiers>
        <balance>1381.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1494.190000</valUSD>
        <pctVal>0.0000378</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 774296 GN 03/42 FIXED 5</title>
        <cusip>36176R7H9</cusip>
        <identifiers>
          <isin value="US36176R7H96"/>
        </identifiers>
        <balance>5468.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5907.250000</valUSD>
        <pctVal>0.0001496</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2042-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782387 GN 08/38 FIXED 5</title>
        <cusip>36241KUL0</cusip>
        <identifiers>
          <isin value="US36241KUL06"/>
        </identifiers>
        <balance>6729.660000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7435.670000</valUSD>
        <pctVal>0.0001882</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782468 GN 11/38 FIXED 5</title>
        <cusip>36241KW53</cusip>
        <identifiers>
          <isin value="US36241KW530"/>
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        <balance>20132.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22175.320000</valUSD>
        <pctVal>0.0005614</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2038-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782562 GN 02/39 FIXED 5</title>
        <cusip>36241KZ35</cusip>
        <identifiers>
          <isin value="US36241KZ350"/>
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        <balance>291370.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>321265.100000</valUSD>
        <pctVal>0.0081335</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782958 GN 05/40 FIXED 5</title>
        <cusip>36241LJB3</cusip>
        <identifiers>
          <isin value="US36241LJB36"/>
        </identifiers>
        <balance>2924.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3227.950000</valUSD>
        <pctVal>0.0000817</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 782979 GN 09/39 FIXED 5</title>
        <cusip>36241LJY3</cusip>
        <identifiers>
          <isin value="US36241LJY39"/>
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        <balance>9390.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10433.410000</valUSD>
        <pctVal>0.0002641</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2039-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL 783314 GN 12/40 FIXED 5</title>
        <cusip>36241LVF0</cusip>
        <identifiers>
          <isin value="US36241LVF02"/>
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        <balance>5281.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5830.280000</valUSD>
        <pctVal>0.0001476</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-12-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AL2172 GN 02/45 FIXED 3.5</title>
        <cusip>36183XMV9</cusip>
        <identifiers>
          <isin value="US36183XMV90"/>
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        <balance>24588.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25028.120000</valUSD>
        <pctVal>0.0006336</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AL2279 GN 03/45 FIXED 3.5</title>
        <cusip>36183XQ86</cusip>
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          <isin value="US36183XQ869"/>
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        <balance>30556.970000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GNMA PASS THRU POOLS</name>
        <lei>N/A</lei>
        <title>GNMA POOL AL5265 GN 02/45 FIXED 3.5</title>
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          <isin value="US36184BZ674"/>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDEN STATE TOBACCO SECURITIZATION</name>
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          <isin value="US38122NB769"/>
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        <curCd>USD</curCd>
        <valUSD>1685706.740000</valUSD>
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        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS GROUP INC</name>
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          <isin value="US38141GZS64"/>
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        <balance>10500000.000000</balance>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-15</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOLDMAN SACHS GROUP INC</name>
        <lei>784F5XWPLTWKTBV3E584</lei>
        <title>GOLDMAN SACHS GROUP INC SR UNSECURED 05/29 VAR</title>
        <cusip>38141GWZ3</cusip>
        <identifiers>
          <isin value="US38141GWZ35"/>
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        <balance>788000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>807601.370000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-01</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WF</title>
        <cusip>38380VEU1</cusip>
        <identifiers>
          <isin value="US38380VEU17"/>
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        <balance>261877.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>260159.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-08-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.58057</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09</name>
        <lei>N/A</lei>
        <title>GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA</title>
        <cusip>38380LFE8</cusip>
        <identifiers>
          <isin value="US38380LFE83"/>
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        <balance>548183.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>545433.050000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>USGSE</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.78113</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>GREENPOINT MORTGAGE FUND TRUST 2006-OH1</name>
        <lei>N/A</lei>
        <title>GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1</title>
        <cusip>39539GAA0</cusip>
        <identifiers>
          <isin value="US39539GAA04"/>
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        <balance>153977.700000</balance>
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        <curCd>USD</curCd>
        <valUSD>147316.870000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.63657</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TRUIST FINANCIAL CORPORATION</name>
        <lei>549300DRQQI75D2JP341</lei>
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        <identifiers>
          <isin value="US89832QAE98"/>
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        <balance>302000.000000</balance>
        <units>NS</units>
        <curCd>USD</curCd>
        <valUSD>310003.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>EP</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2005-10</name>
        <lei>N/A</lei>
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        <cusip>362341JL4</cusip>
        <identifiers>
          <isin value="US362341JL40"/>
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        <balance>129175.100000</balance>
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        <curCd>USD</curCd>
        <valUSD>129217.070000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-10</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 10 AF4</title>
        <cusip>362375AD9</cusip>
        <identifiers>
          <isin value="US362375AD97"/>
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        <balance>257036.580000</balance>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-4</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 4 2A1</title>
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          <isin value="US362334FF66"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-5</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 5 2A1</title>
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          <isin value="US362334GR95"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-7</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 7 AF2</title>
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          <isin value="US362334NB60"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <maturityDt>2046-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2006-9</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2006 9 A2</title>
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          <isin value="US362382AE30"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2007-4</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2007 4 A2</title>
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        <identifiers>
          <isin value="US3622EBAB42"/>
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        <balance>1451223.070000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>536543.870000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.85657</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2007-5</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2007 5 1AV1</title>
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        <identifiers>
          <isin value="US3622ECAA42"/>
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        <balance>191395.300000</balance>
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        <curCd>USD</curCd>
        <valUSD>82519.590000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.55657</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>GSAA HOME EQUITY TRUST 2007-5</name>
        <lei>N/A</lei>
        <title>GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A</title>
        <cusip>3622ECAF3</cusip>
        <identifiers>
          <isin value="US3622ECAF39"/>
        </identifiers>
        <balance>303187.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>167577.990000</valUSD>
        <pctVal>0.0042426</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>Floating</couponKind>
          <annualizedRt>1.09657</annualizedRt>
          <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-HE3</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2005 HE3 M4</title>
        <cusip>362341BT5</cusip>
        <identifiers>
          <isin value="US362341BT57"/>
        </identifiers>
        <balance>197000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196952.270000</valUSD>
        <pctVal>0.0049863</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>2.25657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-FM2</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 FM2 A2C</title>
        <cusip>36245DAD2</cusip>
        <identifiers>
          <isin value="US36245DAD21"/>
        </identifiers>
        <balance>4080148.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1858640.430000</valUSD>
        <pctVal>0.0470553</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>0.60657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-HE2</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 HE2 M1</title>
        <cusip>362334LJ1</cusip>
        <identifiers>
          <isin value="US362334LJ15"/>
        </identifiers>
        <balance>183497.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>181608.610000</valUSD>
        <pctVal>0.0045978</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.93657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-HE3</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 HE3 A2D</title>
        <cusip>36244KAE5</cusip>
        <identifiers>
          <isin value="US36244KAE55"/>
        </identifiers>
        <balance>560000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>544906.540000</valUSD>
        <pctVal>0.0137954</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>0.95657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-HE8</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 HE8 A2D</title>
        <cusip>3622M8AE6</cusip>
        <identifiers>
          <isin value="US3622M8AE61"/>
        </identifiers>
        <balance>3394000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3128215.520000</valUSD>
        <pctVal>0.0791972</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>0.68657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2006-S1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2006 S1 A2A</title>
        <cusip>3623413A5</cusip>
        <identifiers>
          <isin value="US3623413A52"/>
        </identifiers>
        <balance>1331.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>188.040000</valUSD>
        <pctVal>0.0000048</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>0.63657</annualizedRt>
          <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 2007-FM1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 FM1 A1</title>
        <cusip>3622MAAA9</cusip>
        <identifiers>
          <isin value="US3622MAAA93"/>
        </identifiers>
        <balance>2593455.680000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1654558.590000</valUSD>
        <pctVal>0.0418886</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>0.59657</annualizedRt>
          <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 2007-FM1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 FM1 A2C</title>
        <cusip>3622MAAD3</cusip>
        <identifiers>
          <isin value="US3622MAAD33"/>
        </identifiers>
        <balance>305190.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>182249.310000</valUSD>
        <pctVal>0.0046140</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>0.62657</annualizedRt>
          <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 2007-FM2</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 FM2 A2B</title>
        <cusip>3622MHAC0</cusip>
        <identifiers>
          <isin value="US3622MHAC03"/>
        </identifiers>
        <balance>1158407.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>820320.510000</valUSD>
        <pctVal>0.0207681</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>0.54657</annualizedRt>
          <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 2007-H1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 H1 A2B</title>
        <cusip>36245YAC8</cusip>
        <identifiers>
          <isin value="US36245YAC84"/>
        </identifiers>
        <balance>1742902.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1117725.600000</valUSD>
        <pctVal>0.0282975</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>0.65657</annualizedRt>
          <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 2007-NC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 NC1 A1</title>
        <cusip>3622MGAA6</cusip>
        <identifiers>
          <isin value="US3622MGAA63"/>
        </identifiers>
        <balance>5700291.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3672452.770000</valUSD>
        <pctVal>0.0929757</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.58657</annualizedRt>
          <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 2007-NC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 NC1 A2A</title>
        <cusip>3622MGAB4</cusip>
        <identifiers>
          <isin value="US3622MGAB47"/>
        </identifiers>
        <balance>149718.220000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>90401.010000</valUSD>
        <pctVal>0.0022887</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.50657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSAMP TRUST 2007-NC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 NC1 A2B</title>
        <cusip>3622MGAC2</cusip>
        <identifiers>
          <isin value="US3622MGAC20"/>
        </identifiers>
        <balance>109513.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66431.850000</valUSD>
        <pctVal>0.0016819</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.55657</annualizedRt>
          <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 2007-NC1</name>
        <lei>N/A</lei>
        <title>GSAMP TRUST GSAMP 2007 NC1 A2C</title>
        <cusip>3622MGAD0</cusip>
        <identifiers>
          <isin value="US3622MGAD03"/>
        </identifiers>
        <balance>541567.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>330007.230000</valUSD>
        <pctVal>0.0083548</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.60657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSMSC PASS-THROUGH TRUST 2009-4R</name>
        <lei>N/A</lei>
        <title>GS MORTGAGE SECURITIES CORP. GSMSC 2009 4R 2A3 144A</title>
        <cusip>36190GAE8</cusip>
        <identifiers>
          <isin value="US36190GAE89"/>
        </identifiers>
        <balance>91229.800000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>61666.170000</valUSD>
        <pctVal>0.0015612</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-26</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.63686</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSPA MONETIZATION TRUST</name>
        <lei>N/A</lei>
        <title>GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422</title>
        <cusip>36298GAA7</cusip>
        <identifiers>
          <isin value="US36298GAA76"/>
        </identifiers>
        <balance>211826.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>214948.900000</valUSD>
        <pctVal>0.0054419</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-10-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.422</annualizedRt>
          <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 2004-12</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2004 12 3A6</title>
        <cusip>36242DLF8</cusip>
        <identifiers>
          <isin value="US36242DLF86"/>
        </identifiers>
        <balance>4791.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4674.660000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.43809</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2004-4</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2</title>
        <cusip>36228FD45</cusip>
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          <isin value="US36228FD453"/>
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        <balance>6117.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5423.410000</valUSD>
        <pctVal>0.0001373</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.79</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR4</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1</title>
        <cusip>362341FR5</cusip>
        <identifiers>
          <isin value="US362341FR55"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2925.020000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.02373</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR6</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1</title>
        <cusip>362341RT8</cusip>
        <identifiers>
          <isin value="US362341RT83"/>
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        <balance>7448.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7489.210000</valUSD>
        <pctVal>0.0001896</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>2.76557</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR6</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5</title>
        <cusip>362341SF7</cusip>
        <identifiers>
          <isin value="US362341SF70"/>
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        <balance>17093.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>17055.240000</valUSD>
        <pctVal>0.0004318</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>2.64505</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1</title>
        <cusip>362341WZ8</cusip>
        <identifiers>
          <isin value="US362341WZ88"/>
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        <balance>7048.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7148.850000</valUSD>
        <pctVal>0.0001810</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>2.79786</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2005-AR7</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1</title>
        <cusip>362341XG9</cusip>
        <identifiers>
          <isin value="US362341XG98"/>
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        <balance>18466.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18322.710000</valUSD>
        <pctVal>0.0004639</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>2.6536</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2006-1F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1</title>
        <cusip>3623417Z6</cusip>
        <identifiers>
          <isin value="US3623417Z67"/>
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        <balance>240212.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139906.280000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2007-1F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A4</title>
        <cusip>3622MPAN8</cusip>
        <identifiers>
          <isin value="US3622MPAN83"/>
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        <balance>24170.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28842.340000</valUSD>
        <pctVal>0.0007302</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>Fixed</couponKind>
          <annualizedRt>5.5</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSR MORTGAGE LOAN TRUST 2007-4F</name>
        <lei>N/A</lei>
        <title>GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8</title>
        <cusip>362669BJ1</cusip>
        <identifiers>
          <isin value="US362669BJ12"/>
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        <balance>62501.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51664.980000</valUSD>
        <pctVal>0.0013080</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>61.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63.540000</valUSD>
        <pctVal>0.0000016</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>GSRPM MORTGAGE LOAN TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>GSRPM MORTGAGE LOAN TRUST GSRPM 2006 1 M2 144A</title>
        <cusip>362334NW0</cusip>
        <identifiers>
          <isin value="US362334NW08"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>899798.980000</valUSD>
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        <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>1.35657</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>196033.400000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-05-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.88857</annualizedRt>
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        <securityLending>
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      </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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56978.040000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2005-9</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A</title>
        <cusip>41161PSK0</cusip>
        <identifiers>
          <isin value="US41161PSK02"/>
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        <balance>112548.260000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110071.410000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-20</maturityDt>
          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-11</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A</title>
        <cusip>41162GAA0</cusip>
        <identifiers>
          <isin value="US41162GAA04"/>
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        <balance>9061.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8325.150000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.78857</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>271071.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>251579.040000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.65357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-12</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13</title>
        <cusip>41162DAD1</cusip>
        <identifiers>
          <isin value="US41162DAD12"/>
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        <balance>135087.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>137734.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.68857</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TR 2006-3</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A</title>
        <cusip>41161QAD3</cusip>
        <identifiers>
          <isin value="US41161QAD34"/>
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        <balance>66172.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45123.100000</valUSD>
        <pctVal>0.0011424</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.24965</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2005-12</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 1A1A</title>
        <cusip>41161PVF7</cusip>
        <identifiers>
          <isin value="US41161PVF79"/>
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        <balance>322399.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>216188.750000</valUSD>
        <pctVal>0.0054733</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.14113</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2005-16</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A</title>
        <cusip>41161PYZ0</cusip>
        <identifiers>
          <isin value="US41161PYZ07"/>
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        <balance>509524.490000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>342483.150000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.94857</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HARBORVIEW MORTGAGE LOAN TRUST 2007-4</name>
        <lei>N/A</lei>
        <title>HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1</title>
        <cusip>41164YAB7</cusip>
        <identifiers>
          <isin value="US41164YAB74"/>
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        <balance>173917.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166601.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.66857</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HARVEST CLO XVI DAC 16A</name>
        <lei>N/A</lei>
        <title>HARVEST CLO HARVT 16A ARR 144A</title>
        <cusip>ACI1VVSJ9</cusip>
        <identifiers>
          <isin value="XS2304366656"/>
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        <balance>2500000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.64</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HARVEST CLO XX DAC 20A</name>
        <lei>N/A</lei>
        <title>HARVEST CLO HARVT 20A AR 144A</title>
        <cusip>ACI1WC7B0</cusip>
        <identifiers>
          <isin value="XS2310758011"/>
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        <balance>7200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <pctVal>0.1991968</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-10-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.68</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HAWKSMOOR MORTGAGES 19-1A</name>
        <lei>N/A</lei>
        <title>HAWKSMOOR MORTGAGES PLC HWKSM 2019 1A A 144A</title>
        <cusip>ACI1DHFV7</cusip>
        <identifiers>
          <isin value="XS2033256145"/>
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        <balance>856798.100000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>1127345.610000</valUSD>
        <pctVal>0.0285411</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2053-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.5828</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HEALTHCARE REALTY TRUST INCORPORATED</name>
        <lei>549300CB86LH2IOKHH22</lei>
        <title>HEALTHCARE REALTY TRUST SR UNSECURED 03/30 2.4</title>
        <cusip>421946AL8</cusip>
        <identifiers>
          <isin value="US421946AL83"/>
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        <balance>241000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>219056.480000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>5700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5639385.120000</valUSD>
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        <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>1.51757</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <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 2AV3</title>
        <cusip>43710XAD0</cusip>
        <identifiers>
          <isin value="US43710XAD03"/>
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        <balance>3753185.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3660926.170000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.68657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY LOAN TRUST 2007-FRE1</name>
        <lei>N/A</lei>
        <title>HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4</title>
        <cusip>43710XAE8</cusip>
        <identifiers>
          <isin value="US43710XAE85"/>
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        <balance>314000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>289732.540000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HOME EQUITY PASS-THRU CERTS 2005-8</name>
        <lei>N/A</lei>
        <title>HOME EQUITY ASSET TRUST HEAT 2005 8 M2</title>
        <cusip>437084QA7</cusip>
        <identifiers>
          <isin value="US437084QA78"/>
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        <balance>269633.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>266706.630000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.13157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HOMEBANC MORTGAGE TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>HOMEBANC MORTGAGE TRUST HMBT 2005 1 A2</title>
        <cusip>43739EAQ0</cusip>
        <identifiers>
          <isin value="US43739EAQ08"/>
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        <balance>170525.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>151426.200000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2</name>
        <lei>N/A</lei>
        <title>HOMEWARD OPPORTUNITIES FUND I HOF 2020 2 A1 144A</title>
        <cusip>43789XAA2</cusip>
        <identifiers>
          <isin value="US43789XAA28"/>
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        <balance>225783.630000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>224571.310000</valUSD>
        <pctVal>0.0056855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2065-05-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>1.657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>404280BN8</cusip>
        <identifiers>
          <isin value="US404280BN80"/>
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        <balance>1000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1014670.000000</valUSD>
        <pctVal>0.0256885</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-03-23</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>HSBC HOLDINGS PLC</title>
              <curCd>GBP</curCd>
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          </dbtSecRefInstruments>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>404280CP2</cusip>
        <identifiers>
          <isin value="US404280CP20"/>
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        <balance>1500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1425750.000000</valUSD>
        <pctVal>0.0360958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-03-09</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC HOLDINGS PLC</name>
              <title>HSBC HOLDINGS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0005405286"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="370.37" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI09CXQ6</cusip>
        <identifiers>
          <isin value="XS1111123987"/>
        </identifiers>
        <balance>2400000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>2691630.450000</valUSD>
        <pctVal>0.0681442</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-09-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>HSBC HOLDINGS PLC</name>
              <title>HSBC HOLDINGS PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0005405286"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="296.284" curCd="EUR"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 03/30 4.95</title>
        <cusip>404280CF4</cusip>
        <identifiers>
          <isin value="US404280CF48"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>213986.370000</valUSD>
        <pctVal>0.0054175</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>ZA</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-03-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.95</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>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR</title>
        <cusip>BJ0297II1</cusip>
        <identifiers>
          <isin value="XS2003500142"/>
        </identifiers>
        <balance>505000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>649824.010000</valUSD>
        <pctVal>0.0164516</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR</title>
        <cusip>404280CH0</cusip>
        <identifiers>
          <isin value="US404280CH04"/>
        </identifiers>
        <balance>300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>277808.060000</valUSD>
        <pctVal>0.0070333</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.848</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 08/31 VAR</title>
        <cusip>404280CK3</cusip>
        <identifiers>
          <isin value="US404280CK33"/>
        </identifiers>
        <balance>431000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>383061.010000</valUSD>
        <pctVal>0.0096980</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.357</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSBC HOLDINGS PLC</name>
        <lei>MLU0ZO3ML4LN2LL2TL39</lei>
        <title>HSBC HOLDINGS PLC SR UNSECURED 09/26 VAR</title>
        <cusip>404280BX6</cusip>
        <identifiers>
          <isin value="US404280BX62"/>
        </identifiers>
        <balance>309000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>313243.290000</valUSD>
        <pctVal>0.0079304</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-09-12</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.292</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HSI ASSET SEC CORP TRUST 2006-HE2</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2</title>
        <cusip>44328BAD0</cusip>
        <identifiers>
          <isin value="US44328BAD01"/>
        </identifiers>
        <balance>839656.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>291391.210000</valUSD>
        <pctVal>0.0073772</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>0.67657</annualizedRt>
          <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 SEC CORP TRUST 2006-WMC1</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2</title>
        <cusip>40430MAC1</cusip>
        <identifiers>
          <isin value="US40430MAC10"/>
        </identifiers>
        <balance>117968.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>64005.260000</valUSD>
        <pctVal>0.0016204</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>0.65657</annualizedRt>
          <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 2007-WF1</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2007 WF1 1A1</title>
        <cusip>40431RAA3</cusip>
        <identifiers>
          <isin value="US40431RAA32"/>
        </identifiers>
        <balance>54470.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>54206.700000</valUSD>
        <pctVal>0.0013724</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>0.61657</annualizedRt>
          <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 SECURI CORP TRUS 2005-I1</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2005 I1 1A</title>
        <cusip>40430HCV8</cusip>
        <identifiers>
          <isin value="US40430HCV87"/>
        </identifiers>
        <balance>737440.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>717152.110000</valUSD>
        <pctVal>0.0181562</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>0.93657</annualizedRt>
          <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 SECURI CORP TRUS 2007-NC1</name>
        <lei>N/A</lei>
        <title>HSI ASSET SECURITIZATION CORPO HASC 2007 NC1 A3</title>
        <cusip>40430TAC6</cusip>
        <identifiers>
          <isin value="US40430TAC62"/>
        </identifiers>
        <balance>909758.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>695154.530000</valUSD>
        <pctVal>0.0175993</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>0.63657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>HYATT HOTELS CORPORATION</name>
        <lei>T27JQIMTYSH41TCD5186</lei>
        <title>HYATT HOTELS CORP SR UNSECURED 10/24 1.8</title>
        <cusip>448579AN2</cusip>
        <identifiers>
          <isin value="US448579AN21"/>
        </identifiers>
        <balance>7100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6837644.920000</valUSD>
        <pctVal>0.1731091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>ILLINOIS ST ILS 02/35 FIXED 6.63</title>
        <cusip>452152BM2</cusip>
        <identifiers>
          <isin value="US452152BM28"/>
        </identifiers>
        <balance>65000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72983.850000</valUSD>
        <pctVal>0.0018477</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.63</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>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>ILLINOIS ST ILS 04/35 FIXED 6.725</title>
        <cusip>452152FA4</cusip>
        <identifiers>
          <isin value="US452152FA44"/>
        </identifiers>
        <balance>130000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>147514.430000</valUSD>
        <pctVal>0.0037346</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-04-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.725</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ILLINOIS ST</name>
        <lei>54930048FV8RWPR02D67</lei>
        <title>ILLINOIS ST ILS 07/35 FIXED 7.35</title>
        <cusip>452152GS4</cusip>
        <identifiers>
          <isin value="US452152GS43"/>
        </identifiers>
        <balance>100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116357.270000</valUSD>
        <pctVal>0.0029458</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.35</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMPAC CMB TR 2004-10</name>
        <lei>N/A</lei>
        <title>IMPAC CMB TRUST IMM 2004 10 1A1</title>
        <cusip>45254NLJ4</cusip>
        <identifiers>
          <isin value="US45254NLJ45"/>
        </identifiers>
        <balance>225139.790000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>219561.280000</valUSD>
        <pctVal>0.0055586</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>1.09657</annualizedRt>
          <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 CMN OWNER TRUST 2005-1</name>
        <lei>N/A</lei>
        <title>IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A</title>
        <cusip>45254TRR7</cusip>
        <identifiers>
          <isin value="US45254TRR76"/>
        </identifiers>
        <balance>23266.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21773.740000</valUSD>
        <pctVal>0.0005512</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>2.76681</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/24 3.125</title>
        <cusip>45262BAA1</cusip>
        <identifiers>
          <isin value="US45262BAA17"/>
        </identifiers>
        <balance>330000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>327191.030000</valUSD>
        <pctVal>0.0082835</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/26 3.5</title>
        <cusip>45262BAB9</cusip>
        <identifiers>
          <isin value="US45262BAB99"/>
        </identifiers>
        <balance>1527000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1495721.300000</valUSD>
        <pctVal>0.0378673</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IMPERIAL BRANDS FINANCE PLC (AKA: IMPERIAL TOBACCO FINANCE PLC)</name>
        <lei>2138008L3B3MCG1DFS50</lei>
        <title>IMPERIAL BRANDS FIN PLC COMPANY GUAR 144A 07/29 3.875</title>
        <cusip>45262BAC7</cusip>
        <identifiers>
          <isin value="US45262BAC72"/>
        </identifiers>
        <balance>345000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>338868.520000</valUSD>
        <pctVal>0.0085792</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-07-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.875</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>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>3822.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3314.620000</valUSD>
        <pctVal>0.0000839</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>1.09657</annualizedRt>
          <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 2A1</title>
        <cusip>45661KAD2</cusip>
        <identifiers>
          <isin value="US45661KAD28"/>
        </identifiers>
        <balance>135374.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>133998.640000</valUSD>
        <pctVal>0.0033925</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>2.9867</annualizedRt>
          <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-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>61302.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>57490.190000</valUSD>
        <pctVal>0.0014555</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>0.83657</annualizedRt>
          <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-AR4</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A</title>
        <cusip>45661EAV6</cusip>
        <identifiers>
          <isin value="US45661EAV65"/>
        </identifiers>
        <balance>14563.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13958.430000</valUSD>
        <pctVal>0.0003534</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>0.87657</annualizedRt>
          <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>4821.950000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2186.650000</valUSD>
        <pctVal>0.0000554</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>0.75657</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-AR10</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A</title>
        <cusip>45660N2Y0</cusip>
        <identifiers>
          <isin value="US45660N2Y00"/>
        </identifiers>
        <balance>92.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>85.920000</valUSD>
        <pctVal>0.0000022</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>1.23657</annualizedRt>
          <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 2005-AR10</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR10 A1</title>
        <cusip>45660LKW8</cusip>
        <identifiers>
          <isin value="US45660LKW80"/>
        </identifiers>
        <balance>32153.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>28442.730000</valUSD>
        <pctVal>0.0007201</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>0.97657</annualizedRt>
          <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 2005-AR12</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A</title>
        <cusip>45660LMG1</cusip>
        <identifiers>
          <isin value="US45660LMG13"/>
        </identifiers>
        <balance>171796.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>166557.630000</valUSD>
        <pctVal>0.0042168</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>0.93657</annualizedRt>
          <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 2005-AR5</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 4A1</title>
        <cusip>45660LGV5</cusip>
        <identifiers>
          <isin value="US45660LGV53"/>
        </identifiers>
        <balance>231643.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>190577.720000</valUSD>
        <pctVal>0.0048249</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>2.72205</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 2006-AR14</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A</title>
        <cusip>45668GAD4</cusip>
        <identifiers>
          <isin value="US45668GAD43"/>
        </identifiers>
        <balance>554040.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>552035.130000</valUSD>
        <pctVal>0.0139759</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>0.85657</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 2006-AR39</name>
        <lei>N/A</lei>
        <title>INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1</title>
        <cusip>45660KAA9</cusip>
        <identifiers>
          <isin value="US45660KAA97"/>
        </identifiers>
        <balance>75283.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73977.000000</valUSD>
        <pctVal>0.0018729</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>0.63657</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 RESIDENTIAL ASSET BACKED 2007-A</name>
        <lei>N/A</lei>
        <title>INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A</title>
        <cusip>43710BAA4</cusip>
        <identifiers>
          <isin value="US43710BAA44"/>
        </identifiers>
        <balance>243727.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>203875.230000</valUSD>
        <pctVal>0.0051615</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>0.67657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INEOS FINANCE PLC</name>
        <lei>2138002D68XDR4LZCG32</lei>
        <title>INEOS FINANCE PLC SR SECURED REGS 11/25 2.125</title>
        <cusip>ACI0YJHL2</cusip>
        <identifiers>
          <isin value="XS1577947440"/>
        </identifiers>
        <balance>2835000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>3036251.120000</valUSD>
        <pctVal>0.0768690</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <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>ING GROEP NV</name>
        <lei>549300NYKK9MWM7GGW15</lei>
        <title>ING GROEP NV JR SUBORDINA 12/99 VAR</title>
        <cusip>456837AY9</cusip>
        <identifiers>
          <isin value="US456837AY94"/>
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        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>525000.000000</valUSD>
        <pctVal>0.0132915</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ING GROEP NV</name>
              <title>ING GROEP NV</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="NL0011821202"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="111.111" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ING GROEP NV</name>
        <lei>549300NYKK9MWM7GGW15</lei>
        <title>ING GROEP NV JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0QYRD5</cusip>
        <identifiers>
          <isin value="XS1497755360"/>
        </identifiers>
        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200471.200000</valUSD>
        <pctVal>0.0050753</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-04-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>6.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ING GROEP NV</name>
              <title>ING GROEP NV</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="NL0011821202"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="111.111" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ING GROEP NV</name>
        <lei>549300NYKK9MWM7GGW15</lei>
        <title>ING GROEP NV JR SUBORDINA VAR</title>
        <cusip>456837AR4</cusip>
        <identifiers>
          <isin value="US456837AR44"/>
        </identifiers>
        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>503167.500000</valUSD>
        <pctVal>0.0127387</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-11-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>ING GROEP NV</name>
              <title>ING GROEP NV</title>
              <curCd>EUR</curCd>
              <identifiers>
                <isin value="NL0011821202"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="111.111" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTERNATIONAL LEASE FINANCE CORPORATION</name>
        <lei>N/A</lei>
        <title>INTL LEASE FINANCE CORP SR UNSECURED 08/22 5.875</title>
        <cusip>459745GN9</cusip>
        <identifiers>
          <isin value="US459745GN96"/>
        </identifiers>
        <balance>34000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34422.460000</valUSD>
        <pctVal>0.0008715</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>INTESA SANPAOLO SPA</name>
        <lei>2W8N8UU78PMDQKZENC08</lei>
        <title>INTESA SANPAOLO SPA JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0RSP49</cusip>
        <identifiers>
          <isin value="XS1548475968"/>
        </identifiers>
        <balance>1650000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>2033346.570000</valUSD>
        <pctVal>0.0514784</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-01-11</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.75</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>INTESA SANPAOLO SPA</name>
        <lei>2W8N8UU78PMDQKZENC08</lei>
        <title>INTESA SANPAOLO SPA JR SUBORDINA REGS 12/99 VAR</title>
        <cusip>ACI1QQWG7</cusip>
        <identifiers>
          <isin value="XS2223762381"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>659380.390000</valUSD>
        <pctVal>0.0166936</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IT</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-03-01</maturityDt>
          <couponKind>Floating</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>INVESCO EURO CLO I DAC 1A</name>
        <lei>N/A</lei>
        <title>INVESCO EURO CLO INVSC 1A A1R 144A</title>
        <cusip>ACI1VT7W8</cusip>
        <identifiers>
          <isin value="XS2301385832"/>
        </identifiers>
        <balance>1000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>1094355.420000</valUSD>
        <pctVal>0.0277059</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.65</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>ISRAEL GOVT</name>
        <lei>213800T8ZHTFZIBYPE21</lei>
        <title>ISRAEL FIXED BOND BONDS 11/22 1.25</title>
        <cusip>ACI0Y1P99</cusip>
        <identifiers>
          <isin value="IL0011412256"/>
        </identifiers>
        <balance>13600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ILS" exchangeRt="3.191100"/>
        <valUSD>4305537.280000</valUSD>
        <pctVal>0.1090036</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-30</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.25</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>ISRAEL GOVT</name>
        <lei>213800T8ZHTFZIBYPE21</lei>
        <title>ISRAEL MAKAM BILL BILLS 01/23 0.00000</title>
        <cusip>ACI22SVD5</cusip>
        <identifiers>
          <isin value="IL0082301123"/>
        </identifiers>
        <balance>37200000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ILS" exchangeRt="3.191100"/>
        <valUSD>11617786.970000</valUSD>
        <pctVal>0.2941283</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-01-04</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>ISRAEL GOVT</name>
        <lei>213800T8ZHTFZIBYPE21</lei>
        <title>ISRAEL MAKAM BILL BILLS 06/22 0.00000</title>
        <cusip>ACI1YD9F5</cusip>
        <identifiers>
          <isin value="IL0082206264"/>
        </identifiers>
        <balance>21800000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ILS" exchangeRt="3.191100"/>
        <valUSD>6831500.110000</valUSD>
        <pctVal>0.1729535</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-06-08</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ISRAEL GOVT</name>
        <lei>213800T8ZHTFZIBYPE21</lei>
        <title>ISRAEL MAKAM BILL BILLS 12/22 0.00000</title>
        <cusip>ACI229M05</cusip>
        <identifiers>
          <isin value="IL0082212106"/>
        </identifiers>
        <balance>83000000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="ILS" exchangeRt="3.191100"/>
        <valUSD>25938312.810000</valUSD>
        <pctVal>0.6566820</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-12-07</maturityDt>
          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>IXIS REAL ESTATE CAPITAL TRUST 2006-HE1</name>
        <lei>N/A</lei>
        <title>IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE1 A3</title>
        <cusip>45071KDD3</cusip>
        <identifiers>
          <isin value="US45071KDD37"/>
        </identifiers>
        <balance>195328.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>120408.190000</valUSD>
        <pctVal>0.0030484</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>0.85657</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>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>256100.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>253831.600000</valUSD>
        <pctVal>0.0064263</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>2.45</annualizedRt>
          <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-A2</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1</title>
        <cusip>46628GAL3</cusip>
        <identifiers>
          <isin value="US46628GAL32"/>
        </identifiers>
        <balance>64228.390000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46012.310000</valUSD>
        <pctVal>0.0011649</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>2.65855</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 ALTERNATIVE LN TRUST 2006-S1</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A19</title>
        <cusip>46627MER4</cusip>
        <identifiers>
          <isin value="US46627MER43"/>
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        <balance>1917969.840000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1437781.540000</valUSD>
        <pctVal>0.0364004</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-03-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.5</annualizedRt>
          <isDefault>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 ALTERNATIVE LN TRUST 2008-R4</name>
        <lei>N/A</lei>
        <title>J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A</title>
        <cusip>466309AA9</cusip>
        <identifiers>
          <isin value="US466309AA90"/>
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        <balance>58249.980000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>38124.420000</valUSD>
        <pctVal>0.0009652</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN CHASE &amp; CO</name>
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        <curCd>USD</curCd>
        <valUSD>809744.430000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-06-01</maturityDt>
          <couponKind>Floating</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE ACQI CORP 2006-CH1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M5</title>
        <cusip>46629TAK6</cusip>
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          <isin value="US46629TAK60"/>
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        <curCd>USD</curCd>
        <valUSD>1820470.310000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.85657</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4</title>
        <cusip>46628TAD3</cusip>
        <identifiers>
          <isin value="US46628TAD37"/>
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        <balance>61769.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>34633.690000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.75657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-A3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A3 2A1</title>
        <cusip>466247PW7</cusip>
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          <isin value="US466247PW76"/>
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        <balance>1183.630000</balance>
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        <curCd>USD</curCd>
        <valUSD>1208.430000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.69374</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2005-A4</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2005 A4 1A1</title>
        <cusip>466247RN5</cusip>
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          <isin value="US466247RN59"/>
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        <curCd>USD</curCd>
        <valUSD>43092.250000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.3145</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2006-A2</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 1A1</title>
        <cusip>466247H89</cusip>
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          <isin value="US466247H899"/>
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        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.18019</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L</title>
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        <identifiers>
          <isin value="US46628BAG59"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26896.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.02344</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2006-A6</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1</title>
        <cusip>46628BBC3</cusip>
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          <isin value="US46628BBC37"/>
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        <balance>5177.470000</balance>
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        <curCd>USD</curCd>
        <valUSD>4175.620000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56012</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2007-A1</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A1</title>
        <cusip>46630GAC9</cusip>
        <identifiers>
          <isin value="US46630GAC96"/>
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        <balance>27564.450000</balance>
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        <curCd>USD</curCd>
        <valUSD>27442.410000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2007-A1</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.55234</annualizedRt>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST 2007-A2</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>JP MORGAN MORTGAGE TRUST 2008-R2</name>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>510 ASSET BACKED 2021-NPL1 TRUST</name>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>JP MORGAN MORTGAGE TRUST-2005-A1</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>JP MORGAN MORTGAGE TRUST-2005-A6</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>JP MORGAN MTGE ACQUIS CORP 2006-CH2</name>
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        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5</title>
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        <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>0.66657</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>JP MORGAN MTGE ACQUIS CORP 2007-CH3</name>
        <lei>N/A</lei>
        <title>JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M1</title>
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        <curCd>USD</curCd>
        <valUSD>1158070.560000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-03-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.75657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>JUBILEE CLO 2014-XI BV 14-11A</name>
        <lei>N/A</lei>
        <title>JUBILEE CDO BV JUBIL 2014 11A ARR 144A</title>
        <cusip>ACI1W2T93</cusip>
        <identifiers>
          <isin value="XS2307737002"/>
        </identifiers>
        <balance>6700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>7350725.420000</valUSD>
        <pctVal>0.1860988</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.61</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>JUBILEE CLO 2016-XVII BV 16-17A</name>
        <lei>N/A</lei>
        <title>JUBILEE CDO BV JUBIL 2016 17A A1RR 144A</title>
        <cusip>ACI1W2TB8</cusip>
        <identifiers>
          <isin value="XS2307738828"/>
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        <balance>5700000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>6229956.140000</valUSD>
        <pctVal>0.1577242</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.65</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>KKR CLO LTD 21</name>
        <lei>N/A</lei>
        <title>KKR FINANCIAL CLO LTD KKR 21 B 144A</title>
        <cusip>48252KAC3</cusip>
        <identifiers>
          <isin value="US48252KAC36"/>
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        <balance>3850000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3802012.790000</valUSD>
        <pctVal>0.0962558</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-04-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.64129</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)</name>
        <lei>5493003STKEZ2S0RNU91</lei>
        <title>KRAFT HEINZ FOODS CO COMPANY GUAR 07/35 5</title>
        <cusip>50077LAL0</cusip>
        <identifiers>
          <isin value="US50077LAL09"/>
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        <balance>22000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23535.160000</valUSD>
        <pctVal>0.0005958</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>KRAFT HEINZ FOODS CO (AKA: HJ HEINZ CO)</name>
        <lei>5493003STKEZ2S0RNU91</lei>
        <title>KRAFT HEINZ FOODS CO COMPANY GUAR 07/45 5.2</title>
        <cusip>50077LAM8</cusip>
        <identifiers>
          <isin value="US50077LAM81"/>
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        <balance>38000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41182.500000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-07-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AAMES MORTGAGE INVESTMENT TRUST 2004-1</name>
        <lei>N/A</lei>
        <title>AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6</title>
        <cusip>00252FAK7</cusip>
        <identifiers>
          <isin value="US00252FAK75"/>
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        <balance>74712.320000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>73328.570000</valUSD>
        <pctVal>0.0018565</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>2.48157</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AAMES MORTGAGE INVESTMENT TRUST 2005-2</name>
        <lei>N/A</lei>
        <title>AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 2 M5</title>
        <cusip>126673L42</cusip>
        <identifiers>
          <isin value="US126673L429"/>
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        <balance>658471.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>653558.240000</valUSD>
        <pctVal>0.0165462</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>1.44657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCRT 2019-2</name>
        <lei>N/A</lei>
        <title>LENDINGCLUB RECEIVABLES TRUST LCRT 2019 2 A 144A</title>
        <cusip>52604MAA0</cusip>
        <identifiers>
          <isin value="US52604MAA09"/>
        </identifiers>
        <balance>6382545.640000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6367957.690000</valUSD>
        <pctVal>0.1612180</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>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LCRT 2019-7</name>
        <lei>N/A</lei>
        <title>LENDINGCLUB RECEIVABLES TRUST LCRT 2019 7 A 144A</title>
        <cusip>52605FAA4</cusip>
        <identifiers>
          <isin value="US52605FAA49"/>
        </identifiers>
        <balance>8334294.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8315513.650000</valUSD>
        <pctVal>0.2105244</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>3.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </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"/>
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        <balance>3809023.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3699784.430000</valUSD>
        <pctVal>0.0936677</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS2</name>
        <lei>N/A</lei>
        <title>LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS2 A1 144A</title>
        <cusip>52476DAA5</cusip>
        <identifiers>
          <isin value="US52476DAA54"/>
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        <balance>4682025.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4483472.170000</valUSD>
        <pctVal>0.1135084</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2061-04-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS3</name>
        <lei>N/A</lei>
        <title>LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A</title>
        <cusip>52474XAA3</cusip>
        <identifiers>
          <isin value="US52474XAA37"/>
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        <balance>5464326.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5225029.450000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2061-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-GS5</name>
        <lei>N/A</lei>
        <title>LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A</title>
        <cusip>52475XAA2</cusip>
        <identifiers>
          <isin value="US52475XAA28"/>
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        <balance>3655269.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3497069.520000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2067-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>837613.880000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>834145.400000</valUSD>
        <pctVal>0.0211181</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>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LEGACY MORTGAGE ASSET TRUST 2021-SL2</name>
        <lei>N/A</lei>
        <title>LEGACY MORTGAGE ASSET TRUST LMAT 2021 SL2 A 144A</title>
        <cusip>52476TAA0</cusip>
        <identifiers>
          <isin value="US52476TAA07"/>
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        <balance>5382168.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5223691.740000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2068-10-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN MORTGAGE TRUST 2006-7</name>
        <lei>N/A</lei>
        <title>LEHMAN MORTGAGE TRUST LMT 2006 7 1A2</title>
        <cusip>52520QAB0</cusip>
        <identifiers>
          <isin value="US52520QAB05"/>
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        <balance>449386.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>246620.050000</valUSD>
        <pctVal>0.0062437</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>1.10657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LEHMAN XS TRUST 2006 GP4</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 GP4 3A5</title>
        <cusip>525161AN5</cusip>
        <identifiers>
          <isin value="US525161AN53"/>
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        <balance>786282.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>798058.350000</valUSD>
        <pctVal>0.0202045</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.90657</annualizedRt>
          <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 2006-7</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2006 7 1A1A</title>
        <cusip>52522EAA7</cusip>
        <identifiers>
          <isin value="US52522EAA73"/>
        </identifiers>
        <balance>75530.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86028.970000</valUSD>
        <pctVal>0.0021780</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>0.77657</annualizedRt>
          <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 2007-15N</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2007 15N 2A1</title>
        <cusip>52524VAG4</cusip>
        <identifiers>
          <isin value="US52524VAG41"/>
        </identifiers>
        <balance>72821.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>70584.520000</valUSD>
        <pctVal>0.0017870</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>0.70657</annualizedRt>
          <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 2007-16N</name>
        <lei>N/A</lei>
        <title>LEHMAN XS TRUST LXS 2007 16N 2A2</title>
        <cusip>52525BAD4</cusip>
        <identifiers>
          <isin value="US52525BAD47"/>
        </identifiers>
        <balance>56397.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56939.300000</valUSD>
        <pctVal>0.0014415</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>1.30657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LENDINGCLUB RECEIVABLES TRUST SERIES 2019-5</name>
        <lei>N/A</lei>
        <title>LENDINGCLUB RECEIVABLES TRUST, LCRT 2019 5 A 144A</title>
        <cusip>52605CAA1</cusip>
        <identifiers>
          <isin value="US52605CAA18"/>
        </identifiers>
        <balance>4708016.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4697497.280000</valUSD>
        <pctVal>0.1189268</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>3.75</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>LENDINGPOINT 2021-A ASSET SECURITIZATION TRUST</name>
        <lei>N/A</lei>
        <title>LENDINGPOINT ASSET SECURITIZAT LDPT 2021 A A 144A</title>
        <cusip>52607FAA2</cusip>
        <identifiers>
          <isin value="US52607FAA21"/>
        </identifiers>
        <balance>4968565.850000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4938483.170000</valUSD>
        <pctVal>0.1250279</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>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>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>539439AU3</cusip>
        <identifiers>
          <isin value="US539439AU36"/>
        </identifiers>
        <balance>2515000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2674051.060000</valUSD>
        <pctVal>0.0676991</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-09-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>LLOYDS BANKING GROUP PLC</name>
              <title>LLOYDS BANKING GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0008706128"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="1579.78" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>ACI0808H1</cusip>
        <identifiers>
          <isin value="XS1043552261"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>890599.260000</valUSD>
        <pctVal>0.0225474</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>LLOYDS BANKING GROUP PLC</name>
              <title>LLOYDS BANKING GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB0008706128"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="1555.21" curCd="GBP"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LLOYDS BANKING GROUP PLC</name>
        <lei>549300PPXHEU2JF0AM85</lei>
        <title>LLOYDS BANKING GROUP PLC SR UNSECURED 08/28 4.55</title>
        <cusip>539439AT6</cusip>
        <identifiers>
          <isin value="US539439AT62"/>
        </identifiers>
        <balance>266000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>274739.230000</valUSD>
        <pctVal>0.0069556</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.55</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>LONDON WALL MORTGAGE CAPITAL PLC 17-FL1</name>
        <lei>N/A</lei>
        <title>LONDON WALL MORTGAGE CAPITAL LWMC 2017 FL1 A REGS</title>
        <cusip>ACI0WP8J5</cusip>
        <identifiers>
          <isin value="XS1654186979"/>
        </identifiers>
        <balance>20486.930000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>26921.910000</valUSD>
        <pctVal>0.0006816</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.48528</annualizedRt>
          <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-WL2</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4</title>
        <cusip>542514NE0</cusip>
        <identifiers>
          <isin value="US542514NE09"/>
        </identifiers>
        <balance>5466000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5277375.990000</valUSD>
        <pctVal>0.1336077</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>1.37157</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>LONG BEACH MORTGAGE LOAD TR 2005-WL3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M1</title>
        <cusip>542514PR9</cusip>
        <identifiers>
          <isin value="US542514PR93"/>
        </identifiers>
        <balance>5481.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5400.780000</valUSD>
        <pctVal>0.0001367</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>1.10157</annualizedRt>
          <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 2006-1</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A</title>
        <cusip>542514RH9</cusip>
        <identifiers>
          <isin value="US542514RH93"/>
        </identifiers>
        <balance>516269.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>509083.750000</valUSD>
        <pctVal>0.0128885</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>0.89657</annualizedRt>
          <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 2005-2</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5</title>
        <cusip>542514KV5</cusip>
        <identifiers>
          <isin value="US542514KV50"/>
        </identifiers>
        <balance>108598.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108199.610000</valUSD>
        <pctVal>0.0027393</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>1.43157</annualizedRt>
          <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 2005-3</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A</title>
        <cusip>542514NT7</cusip>
        <identifiers>
          <isin value="US542514NT77"/>
        </identifiers>
        <balance>25424.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>25012.090000</valUSD>
        <pctVal>0.0006332</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.97657</annualizedRt>
          <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>54811.080000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35743.660000</valUSD>
        <pctVal>0.0009049</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>0.75657</annualizedRt>
          <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 2006-11</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A</title>
        <cusip>542512AA6</cusip>
        <identifiers>
          <isin value="US542512AA67"/>
        </identifiers>
        <balance>415915.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>327745.820000</valUSD>
        <pctVal>0.0082976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TRUST 2006-11</name>
        <lei>N/A</lei>
        <title>LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3</title>
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          <isin value="US542512AD07"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>LONG BEACH MORTGAGE LOAN TRUST 2006-3</name>
        <lei>N/A</lei>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>LOS ANGELES COUNTY PUBLIC WORKS FINANCING AUTHORITY</name>
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          <isin value="US54473ENV29"/>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LUMINENT MORTGAGE TRUST 2006-1</name>
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          <isin value="US550279AM51"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>LUMINENT MORTGAGE TRUST 2006-3</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>M360 2021-CRE3 LLC</name>
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        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MAN GLG EURO CLO V DAC 5A</name>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MARATHON CLO IX LTD 2017-9A</name>
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        <title>MARATHON CLO LTD MCLO 2017 9A A1AR 144A</title>
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          <isin value="US56577PAL31"/>
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        <curCd>USD</curCd>
        <valUSD>6363906.690000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.39129</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>ACCREDITED MORTGAGE LOAN TRUST 2006-2</name>
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        <title>ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4</title>
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          <isin value="US00437NAD49"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>ACE SECURITIES CORP 2002-HE3</name>
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          <isin value="US004421BH52"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MASSACHUSETTS EDUC FINANCING AUTH 2008-1</name>
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      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4</name>
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        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 B1</title>
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        <name>MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2</name>
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      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2</name>
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      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MTGES TRU 2004-13</name>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MASTR ADJUSTABLE RATE MTGES TRU 2004-13</name>
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        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7</title>
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        <issuerCat>CORP</issuerCat>
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      <invstOrSec>
        <name>MASTR ADJUSTABLE RT MTGE TRUST 2005-6</name>
        <lei>N/A</lei>
        <title>MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2</title>
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        <curCd>USD</curCd>
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      </invstOrSec>
      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2004-FRE1</name>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2006-NC3</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>MASTR ASSET BACKED SEC TR 2007-WMC1</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>MASTR ASSET SECURITIZATION TRUST 2006-2</name>
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        <fairValLevel>2</fairValLevel>
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        <name>ACE SECURITIES CORP 2006-CW1</name>
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        <issuerCat>CORP</issuerCat>
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        <name>MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1</name>
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      <invstOrSec>
        <name>MERRILL LYNCH ALTERNATIVE NT 2007-A2</name>
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      <invstOrSec>
        <name>MERRILL LYNCH ALTERNATIVE NT 2007-A2</name>
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        <valUSD>29417.060000</valUSD>
        <pctVal>0.0007448</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>1.05657</annualizedRt>
          <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 ALTERNATIVE NT 2007-A3</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A3 A1</title>
        <cusip>59024HAA8</cusip>
        <identifiers>
          <isin value="US59024HAA86"/>
        </identifiers>
        <balance>15019496.570000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3753809.260000</valUSD>
        <pctVal>0.0950354</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>0.87657</annualizedRt>
          <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 INV 2006-MLN1</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B</title>
        <cusip>59023AAC0</cusip>
        <identifiers>
          <isin value="US59023AAC09"/>
        </identifiers>
        <balance>397938.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>198448.920000</valUSD>
        <pctVal>0.0050241</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>0.56657</annualizedRt>
          <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 INV 2007-HE2</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2C</title>
        <cusip>59024LAD3</cusip>
        <identifiers>
          <isin value="US59024LAD38"/>
        </identifiers>
        <balance>693184.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>273686.920000</valUSD>
        <pctVal>0.0069289</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>0.97657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACE SECURITIES CORP 2006-HE3</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2006 HE3 A2D</title>
        <cusip>00441TAE3</cusip>
        <identifiers>
          <isin value="US00441TAE38"/>
        </identifiers>
        <balance>1951558.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1678687.600000</valUSD>
        <pctVal>0.0424994</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>0.93657</annualizedRt>
          <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-A7</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1</title>
        <cusip>59020UH32</cusip>
        <identifiers>
          <isin value="US59020UH324"/>
        </identifiers>
        <balance>51302.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45486.510000</valUSD>
        <pctVal>0.0011516</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>2.89787</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 INVESTORS 2003-A2</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 2A2</title>
        <cusip>589929M96</cusip>
        <identifiers>
          <isin value="US589929M969"/>
        </identifiers>
        <balance>12298.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12304.710000</valUSD>
        <pctVal>0.0003115</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>2.32871</annualizedRt>
          <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 INVESTORS 2003-A3</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A</title>
        <cusip>589929R26</cusip>
        <identifiers>
          <isin value="US589929R265"/>
        </identifiers>
        <balance>4776.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4847.680000</valUSD>
        <pctVal>0.0001227</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>2.03327</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACE SECURITIES CORP 2006-HE4</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2006 HE4 A2A</title>
        <cusip>00442BAB7</cusip>
        <identifiers>
          <isin value="US00442BAB71"/>
        </identifiers>
        <balance>588.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>290.490000</valUSD>
        <pctVal>0.0000074</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>0.57657</annualizedRt>
          <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 INVESTORS TRUST 2006-HE4</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A2D</title>
        <cusip>59023EAE8</cusip>
        <identifiers>
          <isin value="US59023EAE86"/>
        </identifiers>
        <balance>193105.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>58987.820000</valUSD>
        <pctVal>0.0014934</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>0.95657</annualizedRt>
          <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 INVS 2006-HE5</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B</title>
        <cusip>59022QAC6</cusip>
        <identifiers>
          <isin value="US59022QAC69"/>
        </identifiers>
        <balance>2603035.010000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1587774.050000</valUSD>
        <pctVal>0.0401978</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>0.67657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ACE SECURITIES CORP 2006-NC1</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2006 NC1 M1</title>
        <cusip>004421UU5</cusip>
        <identifiers>
          <isin value="US004421UU52"/>
        </identifiers>
        <balance>1250000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1217917.000000</valUSD>
        <pctVal>0.0308341</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>1.07157</annualizedRt>
          <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 2006-A3</name>
        <lei>N/A</lei>
        <title>MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 6A1</title>
        <cusip>59023CAK8</cusip>
        <identifiers>
          <isin value="US59023CAK80"/>
        </identifiers>
        <balance>48605.810000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>45886.640000</valUSD>
        <pctVal>0.0011617</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>2.97587</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MF1 2020-FL3 LTD</name>
        <lei>N/A</lei>
        <title>MF1 LTD MF1 2020 FL3 A 144A</title>
        <cusip>59319WAA9</cusip>
        <identifiers>
          <isin value="US59319WAA99"/>
        </identifiers>
        <balance>414854.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>414894.200000</valUSD>
        <pctVal>0.0105039</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-07-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.46564</annualizedRt>
          <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-HE2</name>
        <lei>N/A</lei>
        <title>ACE SECURITIES CORP. ACE 2007 HE2 A2C</title>
        <cusip>00443PAD1</cusip>
        <identifiers>
          <isin value="US00443PAD15"/>
        </identifiers>
        <balance>336108.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>226331.460000</valUSD>
        <pctVal>0.0057300</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>0.69657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MF1 2021-FL7 LTD</name>
        <lei>N/A</lei>
        <title>MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 AS 144A</title>
        <cusip>55284AAC2</cusip>
        <identifiers>
          <isin value="US55284AAC27"/>
        </identifiers>
        <balance>12800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12556520.700000</valUSD>
        <pctVal>0.3178943</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.88057</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MF1 2021-FL7 LTD</name>
        <lei>N/A</lei>
        <title>MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A</title>
        <cusip>55284AAE8</cusip>
        <identifiers>
          <isin value="US55284AAE82"/>
        </identifiers>
        <balance>12800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12608000.000000</valUSD>
        <pctVal>0.3191976</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-10-16</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.18057</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>MF1 2022-FL8 LTD</name>
        <lei>N/A</lei>
        <title>MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A</title>
        <cusip>55284JAC3</cusip>
        <identifiers>
          <isin value="US55284JAC36"/>
        </identifiers>
        <balance>12500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MFA LLC 2018-NPL1</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>ACE SECURITIES CORP 2007-WM1</name>
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          <isin value="US004424AE79"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3</name>
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          <isin value="US004421NF68"/>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MICRON TECHNOLOGY INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MICRON TECHNOLOGY INC</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MIDDLESEX COUNTY IMPROVEMENT AUTHORITY</name>
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        <curCd>USD</curCd>
        <valUSD>422021.050000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>None</couponKind>
          <annualizedRt>0</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MIDOCEAN CREDIT CLO VIII 2018-8A</name>
        <lei>N/A</lei>
        <title>MIDOCEAN CREDIT CLO MIDO 2018 8A A1R 144A</title>
        <cusip>59801MAL2</cusip>
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          <isin value="US59801MAL28"/>
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        <balance>10500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10411546.740000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.52957</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MILL CITY MORTGAGE LOAN TRUST 2019-GS2</name>
        <lei>N/A</lei>
        <title>MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A</title>
        <cusip>59981TAC9</cusip>
        <identifiers>
          <isin value="US59981TAC99"/>
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        <balance>72948.100000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>72275.660000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.75</annualizedRt>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MKS CLO LTD 2017-1A</name>
        <lei>N/A</lei>
        <title>MKS CLO LTD MKS 2017 1A AR 144A</title>
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        <identifiers>
          <isin value="US55317AAA79"/>
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        <balance>6050000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MLCC MORTGAGE INVESTORS INC 2005-1</name>
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        <curCd>USD</curCd>
        <valUSD>8787.190000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2004-HE3</name>
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        <title>MORGAN STANLEY CAPITAL INC MSAC 2004 HE3 M1</title>
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          <isin value="US61744CDH60"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2005-HE1</name>
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          <isin value="US61744CKP04"/>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>MORGAN STANLEY ABS CAPITAL I 2005-NC2</name>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2005-WMC6</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>MORGAN STANLEY ABS CAPITAL I 2006-HE3</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2006-HE5</name>
        <lei>N/A</lei>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2006-HE7</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C</title>
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        <name>ADJUSTABLE RATE MORTAGE TRUST 2005-10</name>
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          <couponKind>Floating</couponKind>
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          <couponKind>Floating</couponKind>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE1</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE1</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE2</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE2</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE2</name>
        <lei>N/A</lei>
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        <fairValLevel>2</fairValLevel>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE3</name>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE4</name>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE4</name>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-HE5</name>
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        <name>MORGAN STANLEY ABS CAPITAL I 2007-NC2</name>
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        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1</name>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY CAPITAL I INC 2021-230P</name>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY DEAN WITTER CAP I2002-AM3</name>
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      <invstOrSec>
        <name>ADJUSTABLE RATE MORTAGE TRUST 2005-5</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>MORGAN STANLEY HOME EQUITY LN 2007-1</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE LN TR-2006-8AR</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4</title>
        <cusip>61749LAP6</cusip>
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          <isin value="US61749LAP67"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2005-3AR</name>
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        <cusip>61745M4P5</cusip>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2006-16AX</name>
        <lei>N/A</lei>
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        <cusip>617487AC7</cusip>
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        <assetCat>ABS-MBS</assetCat>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY MORTGAGE TRUST-2007-2AX</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 2AX 2A1</title>
        <cusip>61751TAB5</cusip>
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          <isin value="US61751TAB52"/>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MORGAN STANLEY MTGE LN TR 2006-7</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A3</title>
        <cusip>61749JAT3</cusip>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY MTGE LN TR 2007-7AX</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3</title>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>MORGAN STANLEY MTGE LN TRUST 2006-11</name>
        <lei>N/A</lei>
        <title>MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 2A2</title>
        <cusip>61749WAP2</cusip>
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          <isin value="US61749WAP23"/>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>MORGAN STANLEY REREMIC TRUST 2011-R2</name>
        <lei>N/A</lei>
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          <isin value="US61760JAA88"/>
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        <name>MORTGAGE EQUITY CONVER ASSET TR 2007-FF3</name>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>MORTGAGEIT TRUST 2005-5</name>
        <lei>N/A</lei>
        <title>MORTGAGEIT TRUST MHL 2005 5 A1</title>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MP CLO VII LTD 2015-1A</name>
        <lei>N/A</lei>
        <title>MP CLO VII, LTD MP7 2015 1A AR3 144A</title>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>MPLX LP</name>
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        <assetCat>DBT</assetCat>
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        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NAKILAT INC</name>
        <lei>2549006RMTDJWLLWF072</lei>
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          <isin value="USY62014AA64"/>
        </identifiers>
        <balance>466179.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>527633.640000</valUSD>
        <pctVal>0.0133581</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>MH</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-12-31</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.067</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>NATIONWIDE BUILDING SOCIETY</name>
        <lei>549300XFX12G42QIKN82</lei>
        <title>NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 08/24 VAR</title>
        <cusip>63861VAC1</cusip>
        <identifiers>
          <isin value="US63861VAC19"/>
        </identifiers>
        <balance>462000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>469256.800000</valUSD>
        <pctVal>0.0118802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-08-01</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.363</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC JR SUBORDINA 12/49 VAR</title>
        <cusip>780099CK1</cusip>
        <identifiers>
          <isin value="US780099CK11"/>
        </identifiers>
        <balance>258000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>280604.670000</valUSD>
        <pctVal>0.0071041</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-10</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>NATWEST GROUP PLC</name>
              <title>NATWEST GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="277.316" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC JR SUBORDINA 12/99 VAR</title>
        <cusip>639057AD0</cusip>
        <identifiers>
          <isin value="US639057AD02"/>
        </identifiers>
        <balance>600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>529500.000000</valUSD>
        <pctVal>0.0134054</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-06-28</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
              <name>NATWEST GROUP PLC</name>
              <title>NATWEST GROUP PLC</title>
              <curCd>GBP</curCd>
              <identifiers>
                <isin value="GB00B7T77214"/>
              </identifiers>
            </dbtSecRefInstrument>
          </dbtSecRefInstruments>
          <currencyInfos>
            <currencyInfo convRatio="408.497" curCd="USD"/>
          </currencyInfos>
          <delta>XXXX</delta>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 01/30 VAR</title>
        <cusip>78009PEH0</cusip>
        <identifiers>
          <isin value="US78009PEH01"/>
        </identifiers>
        <balance>222000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>236765.340000</valUSD>
        <pctVal>0.0059942</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-01-27</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>5.076</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 03/25 VAR</title>
        <cusip>780097BK6</cusip>
        <identifiers>
          <isin value="US780097BK63"/>
        </identifiers>
        <balance>378000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>382567.510000</valUSD>
        <pctVal>0.0096855</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-03-22</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.269</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 05/23 VAR</title>
        <cusip>780097BF7</cusip>
        <identifiers>
          <isin value="US780097BF78"/>
        </identifiers>
        <balance>222000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>222230.310000</valUSD>
        <pctVal>0.0056262</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-05-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.97643</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 05/29 VAR</title>
        <cusip>780097BG5</cusip>
        <identifiers>
          <isin value="US780097BG51"/>
        </identifiers>
        <balance>7669000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7982948.920000</valUSD>
        <pctVal>0.2021048</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-05-18</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.892</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AEGIS ASSET BACKED SECURITIES TR 2005-4</name>
        <lei>N/A</lei>
        <title>AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2</title>
        <cusip>00764MGH4</cusip>
        <identifiers>
          <isin value="US00764MGH43"/>
        </identifiers>
        <balance>976000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>952956.840000</valUSD>
        <pctVal>0.0241261</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>1.16157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 06/24 VAR</title>
        <cusip>780097BH3</cusip>
        <identifiers>
          <isin value="US780097BH35"/>
        </identifiers>
        <balance>3314000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3344763.760000</valUSD>
        <pctVal>0.0846796</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.51571</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NATWEST GROUP PLC</name>
        <lei>2138005O9XJIJN4JPN90</lei>
        <title>NATWEST GROUP PLC SR UNSECURED 06/24 VAR</title>
        <cusip>780097BJ9</cusip>
        <identifiers>
          <isin value="US780097BJ90"/>
        </identifiers>
        <balance>388000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393969.020000</valUSD>
        <pctVal>0.0099741</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.519</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>NEW CENTURY HOME EQUITY LOAN TR 2004-3</name>
        <lei>N/A</lei>
        <title>NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M2</title>
        <cusip>64352VHW4</cusip>
        <identifiers>
          <isin value="US64352VHW46"/>
        </identifiers>
        <balance>376818.420000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>375079.820000</valUSD>
        <pctVal>0.0094959</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>1.43157</annualizedRt>
          <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 2005-1</name>
        <lei>N/A</lei>
        <title>NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3</title>
        <cusip>64352VKC4</cusip>
        <identifiers>
          <isin value="US64352VKC45"/>
        </identifiers>
        <balance>298889.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>293162.470000</valUSD>
        <pctVal>0.0074220</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>1.23657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
        <lei>N/A</lei>
        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/32 3.3</title>
        <cusip>00774MAX3</cusip>
        <identifiers>
          <isin value="US00774MAX39"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1806135.860000</valUSD>
        <pctVal>0.0457261</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-01-30</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>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>796245.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>798592.380000</valUSD>
        <pctVal>0.0202180</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>1237289.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1211638.440000</valUSD>
        <pctVal>0.0306751</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>AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST</name>
        <lei>N/A</lei>
        <title>AERCAP IRELAND CAP/GLOBA COMPANY GUAR 07/22 4.625</title>
        <cusip>00772BAP6</cusip>
        <identifiers>
          <isin value="US00772BAP67"/>
        </identifiers>
        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>402245.400000</valUSD>
        <pctVal>0.0101837</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
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        <name>NISSAN MOTOR ACCEPTANCE COMPANY LLC</name>
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        <name>NISSAN MOTOR CO LTD</name>
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        <name>NISSAN MOTOR CO LTD</name>
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        <name>NISSAN MOTOR CO LTD</name>
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        <lei>549300B3CEAHYG7K8164</lei>
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        <name>NOMURA HOLDINGS INC</name>
        <lei>549300B3CEAHYG7K8164</lei>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>NOMURA HOME EQUITY LOAN INC 2006-AF1</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NOMURA HOME EQUITY LOAN INC 2006-AF1</name>
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      <invstOrSec>
        <name>NORDEA KREDIT REALKREDITAKTIESELSKAB</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NORTH CAROLINA STATE EDUCATION ASSISTANCE AUTHORITY 2012-1</name>
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      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2005-1</name>
        <lei>N/A</lei>
        <title>NOVASTAR HOME EQUITY LOAN NHEL 2005 1 M5</title>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NOVASTAR HOME EQUITY LOAN 2006-3</name>
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        <name>NOVASTAR HOME EQUITY LOAN 2007-2</name>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1</name>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.86657</annualizedRt>
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      <invstOrSec>
        <name>NYKREDIT REALKREDIT A/S</name>
        <lei>LIU16F6VZJSD6UKHD557</lei>
        <title>NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5</title>
        <cusip>ACI1P1CP5</cusip>
        <identifiers>
          <isin value="DK0009527616"/>
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        <balance>205400000.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DK</invCountry>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>OAKTREE CLO 2021-1A</name>
        <lei>N/A</lei>
        <title>OAKTREE CLO LTD OAKCL 2021 1A A1 144A</title>
        <cusip>67402JAA9</cusip>
        <identifiers>
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        <curCd>USD</curCd>
        <valUSD>6462454.120000</valUSD>
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        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.40129</annualizedRt>
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      <invstOrSec>
        <name>OCP CLO LTD 2014-7A</name>
        <lei>N/A</lei>
        <title>OCP CLO LTD OCP 2014 7A A1RR 144A</title>
        <cusip>67107KAZ9</cusip>
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        <issuerCat>CORP</issuerCat>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>OHIO STATE UNIVERSITY</name>
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        <balance>67000.000000</balance>
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        <invCountry>US</invCountry>
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      <invstOrSec>
        <name>ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION)</name>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>OPTION ONE MORTGAGE LOAN TR 2005-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1</title>
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        <issuerCat>CORP</issuerCat>
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        <name>AKER BP ASA</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>OPTION ONE MORTGAGE LOAN TRUST 2006-1</name>
        <lei>N/A</lei>
        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1</title>
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          <couponKind>Floating</couponKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>OPTION ONE MORTGAGE LOAN TRUST 2006-2</name>
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        <title>OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 1A1</title>
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        <name>OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4</name>
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        <name>OZLM IX LTD 2014-9A</name>
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        <name>OZLM XXIV LTD 2019-24A</name>
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        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>PACIFIC GAS AND ELECTRIC COMPANY</name>
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      <invstOrSec>
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      <invstOrSec>
        <name>PUBLIC POWER GENERATION AGENCY</name>
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        <name>RAAC SERIES 2006-SP3</name>
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      <invstOrSec>
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        <name>RBSSP RESECURITIZATION TRUST 2009-9</name>
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      <invstOrSec>
        <name>READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC</name>
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        <name>READYCAP COMMERCIAL MORTGAGE TRUST 2020-FL4</name>
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          <isin value="US75575JAA34"/>
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        <name>REALKREDIT DANMARK A/S</name>
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        <name>AMBAC ASSURANCE CORPORATION</name>
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        <name>RENAISSANCE HOME EQUITY LOAN TR 2006-3</name>
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        <name>RENAISSANCE HOME EQUITY LOAN TR 2007-3</name>
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        <name>RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A</name>
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        <name>RESIDENTIAL ACCREDIT LOANS 2004-QA4</name>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2005-QA13</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA13 2A1</title>
        <cusip>761118PE2</cusip>
        <identifiers>
          <isin value="US761118PE29"/>
        </identifiers>
        <balance>425883.740000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>393014.370000</valUSD>
        <pctVal>0.0099500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.97398</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2005-QS10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 3A1</title>
        <cusip>761118CX4</cusip>
        <identifiers>
          <isin value="US761118CX47"/>
        </identifiers>
        <balance>528984.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>383447.290000</valUSD>
        <pctVal>0.0097078</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>0.95657</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-QA5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2</title>
        <cusip>75115BAB5</cusip>
        <identifiers>
          <isin value="US75115BAB53"/>
        </identifiers>
        <balance>213561.370000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>106228.890000</valUSD>
        <pctVal>0.0026894</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>0.81657</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-QA6</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1</title>
        <cusip>74922MAA9</cusip>
        <identifiers>
          <isin value="US74922MAA99"/>
        </identifiers>
        <balance>107190.430000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>108676.910000</valUSD>
        <pctVal>0.0027514</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>0.83657</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-QA7</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1</title>
        <cusip>751152AB5</cusip>
        <identifiers>
          <isin value="US751152AB50"/>
        </identifiers>
        <balance>114636.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>110426.710000</valUSD>
        <pctVal>0.0027957</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>0.82657</annualizedRt>
          <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-QA8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1</title>
        <cusip>74922QAA0</cusip>
        <identifiers>
          <isin value="US74922QAA04"/>
        </identifiers>
        <balance>194090.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200687.270000</valUSD>
        <pctVal>0.0050808</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>0.83657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS 2006-QA8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2</title>
        <cusip>74922QAB8</cusip>
        <identifiers>
          <isin value="US74922QAB86"/>
        </identifiers>
        <balance>356974.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>357579.970000</valUSD>
        <pctVal>0.0090529</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>0.81657</annualizedRt>
          <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-QO10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO10 A1</title>
        <cusip>751153AA5</cusip>
        <identifiers>
          <isin value="US751153AA50"/>
        </identifiers>
        <balance>1177439.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1116154.060000</valUSD>
        <pctVal>0.0282577</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>0.77657</annualizedRt>
          <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-QS11</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A4</title>
        <cusip>75115EAD5</cusip>
        <identifiers>
          <isin value="US75115EAD58"/>
        </identifiers>
        <balance>1371768.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1292789.700000</valUSD>
        <pctVal>0.0327296</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>6.5</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 ACCREDIT LOANS 2006-QS8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1</title>
        <cusip>75115AAA9</cusip>
        <identifiers>
          <isin value="US75115AAA97"/>
        </identifiers>
        <balance>14370.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13513.960000</valUSD>
        <pctVal>0.0003421</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</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 2007-QA1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3</title>
        <cusip>74923GAC7</cusip>
        <identifiers>
          <isin value="US74923GAC78"/>
        </identifiers>
        <balance>3132445.590000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2788014.400000</valUSD>
        <pctVal>0.0705843</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>0.62657</annualizedRt>
          <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-QA2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3</title>
        <cusip>74922PAC8</cusip>
        <identifiers>
          <isin value="US74922PAC86"/>
        </identifiers>
        <balance>65251.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>66540.060000</valUSD>
        <pctVal>0.0016846</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>0.75657</annualizedRt>
          <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>255465.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>248577.220000</valUSD>
        <pctVal>0.0062932</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>1.01613</annualizedRt>
          <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-QS1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1</title>
        <cusip>74922KAA3</cusip>
        <identifiers>
          <isin value="US74922KAA34"/>
        </identifiers>
        <balance>27967.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26135.300000</valUSD>
        <pctVal>0.0006617</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>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 INC 2005-QA10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA10 A41</title>
        <cusip>761118GE2</cusip>
        <identifiers>
          <isin value="US761118GE20"/>
        </identifiers>
        <balance>12190.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>10078.000000</valUSD>
        <pctVal>0.0002551</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-09-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.39737</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 INC 2006-QS12</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 2A11</title>
        <cusip>751151AQ4</cusip>
        <identifiers>
          <isin value="US751151AQ47"/>
        </identifiers>
        <balance>4331.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3846.720000</valUSD>
        <pctVal>0.0000974</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>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>RESIDENTIAL ACCREDIT LOANS INC 2007-QH9</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1</title>
        <cusip>749241AA3</cusip>
        <identifiers>
          <isin value="US749241AA33"/>
        </identifiers>
        <balance>138916.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>131950.910000</valUSD>
        <pctVal>0.0033406</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>1.33206</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ACCREDIT LOANS INC 2007-QO1</name>
        <lei>N/A</lei>
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          <isin value="US75115YAA73"/>
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        <curCd>USD</curCd>
        <valUSD>59955.250000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.75657</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MORTGAGE PROD 2004-RS8</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS8 MII2</title>
        <cusip>76112BAN0</cusip>
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          <isin value="US76112BAN01"/>
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        <balance>3418312.020000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3351505.900000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII</title>
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          <isin value="US76112BR368"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>16988.310000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-12-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2</name>
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          <isin value="US76112B2D12"/>
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        <curCd>USD</curCd>
        <valUSD>195378.610000</valUSD>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MII2</title>
        <cusip>76112BED8</cusip>
        <identifiers>
          <isin value="US76112BED82"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD 2005-EFC3</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC3 M7</title>
        <cusip>76112BYZ7</cusip>
        <identifiers>
          <isin value="US76112BYZ74"/>
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        <curCd>USD</curCd>
        <valUSD>8481026.340000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.13657</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIDENTIAL ASSET MTGE PROD 2005-EFC5</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M3</title>
        <cusip>76112BH60</cusip>
        <identifiers>
          <isin value="US76112BH609"/>
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        <balance>140328.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>139747.670000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.14657</annualizedRt>
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        <securityLending>
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      <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"/>
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        <balance>58431.730000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>53984.540000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC CORP 2006-EMX7</name>
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        <identifiers>
          <isin value="US74924TAC80"/>
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        <balance>5978.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>5967.920000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.75657</annualizedRt>
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        <securityLending>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2005-A10</name>
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          <isin value="US45660LXN45"/>
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        <balance>81703.840000</balance>
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        <curCd>USD</curCd>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SEC TRUST 2007-A1</name>
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          <isin value="US761136AA85"/>
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        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2005-KS1</name>
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        <name>RESIDENTIAL ASSET SECURITIES 2005-KS11</name>
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        <fairValLevel>2</fairValLevel>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2005-KS11</name>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>RESIDENTIAL ASSET SECURITIES 2006-KS6</name>
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          <isin value="US75406WAE12"/>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      <invstOrSec>
        <name>RESIDENTIAL FUNDING MTGE SEC 2007-SA2</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 2A1</title>
        <cusip>74958XAB0</cusip>
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          <isin value="US74958XAB01"/>
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        <curCd>USD</curCd>
        <valUSD>122761.930000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>3.33432</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A</name>
        <lei>N/A</lei>
        <title>RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A</title>
        <cusip>ACI1PKR28</cusip>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2070-06-20</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.89966</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>RESIMAC BASTILLE TRUST SERIES 2018-1NC</name>
        <lei>N/A</lei>
        <title>RESIMAC RESI 2018 1NCA A1 144A</title>
        <cusip>76118VAA8</cusip>
        <identifiers>
          <isin value="US76118VAA89"/>
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        <balance>86179.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>86179.060000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>AU</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2059-12-05</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.28757</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>RIO OIL FINANCE TRUST SERIES 2018-1</name>
        <lei>N/A</lei>
        <title>RIO OIL FINANCE TRUST SR SECURED 144A 04/28 8.2</title>
        <cusip>76716XAC6</cusip>
        <identifiers>
          <isin value="US76716XAC65"/>
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        <balance>2206314.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2376586.280000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-04-06</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>8.2</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ROLLS-ROYCE PLC</name>
        <lei>X57JK1U580XATGR67572</lei>
        <title>ROLLS ROYCE PLC COMPANY GUAR REGS 02/26 4.625</title>
        <cusip>ACI1S5ZS2</cusip>
        <identifiers>
          <isin value="XS2244322082"/>
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        <balance>100000.000000</balance>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-16</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.625</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>ROLLS-ROYCE PLC</name>
        <lei>X57JK1U580XATGR67572</lei>
        <title>ROLLS ROYCE PLC COMPANY GUAR REGS 05/28 1.625</title>
        <cusip>ACI12HZ39</cusip>
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          <isin value="XS1819574929"/>
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        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-05-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>1.625</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SAN DIEGO GAS &amp; ELECTRIC COMPANY</name>
        <lei>KNIRVXKVNJJ4P8OTMS63</lei>
        <title>SAN DIEGO G + E 1ST MORTGAGE 04/50 3.32</title>
        <cusip>797440BY9</cusip>
        <identifiers>
          <isin value="US797440BY99"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>187024.390000</valUSD>
        <pctVal>0.0047349</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2050-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.32</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 06/30 4.375</title>
        <cusip>80007RAL9</cusip>
        <identifiers>
          <isin value="US80007RAL96"/>
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        <balance>500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>453995.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-06-18</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/25 5.125</title>
        <cusip>80007RAF2</cusip>
        <identifiers>
          <isin value="US80007RAF29"/>
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        <balance>1039000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1035103.750000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-08-08</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 08/28 5.4</title>
        <cusip>80007RAE5</cusip>
        <identifiers>
          <isin value="US80007RAE53"/>
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        <balance>8779000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8649246.380000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-08</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>5.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 144A 03/29 3.1</title>
        <cusip>80007RAP0</cusip>
        <identifiers>
          <isin value="US80007RAP01"/>
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        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2394000.000000</valUSD>
        <pctVal>0.0606091</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-03-08</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.1</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANDS CHINA LTD</name>
        <lei>549300EVO6UZDGY05787</lei>
        <title>SANDS CHINA LTD SR UNSECURED 144A 08/31 3.25</title>
        <cusip>80007RAR6</cusip>
        <identifiers>
          <isin value="US80007RAR66"/>
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        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2296000.000000</valUSD>
        <pctVal>0.0581280</pctVal>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-08-08</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>3.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SANTANDER UK GROUP HOLDINGS PLC</name>
        <lei>549300F5XIFGNNW4CF72</lei>
        <title>SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR</title>
        <cusip>80281LAJ4</cusip>
        <identifiers>
          <isin value="US80281LAJ44"/>
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        <balance>562000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>575037.870000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-11-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>4.796</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED 144A 02/61 3.45</title>
        <cusip>80413TAW9</cusip>
        <identifiers>
          <isin value="US80413TAW99"/>
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        <balance>4100000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3644727.800000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2061-02-02</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/25 4</title>
        <cusip>M6320UAH2</cusip>
        <identifiers>
          <isin value="XS1791937441"/>
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        <balance>936000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SAUDI ARABIA GOVT</name>
        <lei>635400FMICXSM3SI3H65</lei>
        <title>SAUDI INTERNATIONAL BOND SR UNSECURED REGS 04/49 5</title>
        <cusip>ACI121KG1</cusip>
        <identifiers>
          <isin value="XS1791939736"/>
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        <balance>269000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>306692.550000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>NUSS</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-04-17</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)</name>
        <lei>5586006WD91QHB7J4X50</lei>
        <title>SAUDI ARABIAN OIL CO SR UNSECURED 144A 11/50 3.25</title>
        <cusip>80414L2L8</cusip>
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          <isin value="US80414L2L80"/>
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        <balance>1200000.000000</balance>
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        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>SA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SAXON ASSET SECURITIES TRUST-2006-2</name>
        <lei>N/A</lei>
        <title>SAXON ASSET SECURITIES TRUST SAST 2006 2 M2</title>
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          <isin value="US80556XAH08"/>
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        <balance>8365000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7494359.930000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6</title>
        <cusip>44963BAE8</cusip>
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          <isin value="US44963BAE83"/>
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        <balance>867000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>851363.660000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2027-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
        <title>IHO VERWALTUNGS GMBH SR SECURED 144A 05/29 6.375</title>
        <cusip>44963BAD0</cusip>
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          <isin value="US44963BAD01"/>
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        <curCd>USD</curCd>
        <valUSD>284247.360000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)</name>
        <lei>529900JL0HDVGZMUJF32</lei>
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        <cusip>ACI1C5ZK6</cusip>
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          <isin value="XS2004438458"/>
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        <balance>1481000.000000</balance>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>DE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2025-05-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.625</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>Y</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SCULE 6A</name>
        <lei>N/A</lei>
        <title>SCULPTOR EUROPEAN CLO SCULE 6A AR 144A</title>
        <cusip>ACI1ZPWK0</cusip>
        <identifiers>
          <isin value="XS2369734509"/>
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        <balance>10510000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>11499250.680000</valUSD>
        <pctVal>0.2911273</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2034-10-15</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.05</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </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"/>
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        <balance>7000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6975170.090000</valUSD>
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        <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>1.51129</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HOME MORTGAGE ASSETS 2006-1</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1</title>
        <cusip>02660WAC0</cusip>
        <identifiers>
          <isin value="US02660WAC01"/>
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        <balance>10546.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9291.840000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-05-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.64657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEC ASSET BACKED REC LLC 2005-FR2</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2005 FR2 M3</title>
        <cusip>81375WEG7</cusip>
        <identifiers>
          <isin value="US81375WEG78"/>
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        <balance>61448.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>60419.090000</valUSD>
        <pctVal>0.0015296</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>1.50657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SEC ASSET BACKED REC LLC 2005-OP2</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3</title>
        <cusip>81375WGW0</cusip>
        <identifiers>
          <isin value="US81375WGW01"/>
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        <balance>1317000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1248930.990000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.17657</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>SEC ASSET BACKED REC LLC 2006-FR4</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A</title>
        <cusip>81377GAA7</cusip>
        <identifiers>
          <isin value="US81377GAA76"/>
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        <balance>2292867.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>930989.810000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.61657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEC ASSET BACKED REC LLC 2006-FR4</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B</title>
        <cusip>81377GAB5</cusip>
        <identifiers>
          <isin value="US81377GAB59"/>
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        <balance>17986.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>7384.090000</valUSD>
        <pctVal>0.0001869</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>0.79657</annualizedRt>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2</title>
        <cusip>81375WFJ0</cusip>
        <identifiers>
          <isin value="US81375WFJ09"/>
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        <balance>348584.140000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>327477.820000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.41657</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-HE1</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2005 HE1 M1</title>
        <cusip>81375WGF7</cusip>
        <identifiers>
          <isin value="US81375WGF77"/>
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        <balance>2570220.560000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2427145.630000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HOME MORTGAGE ASSETS 2006-4</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A11</title>
        <cusip>02660LAA8</cusip>
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          <isin value="US02660LAA89"/>
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        <balance>37324.860000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>23098.320000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.64657</annualizedRt>
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      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D</title>
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          <isin value="US81377AAE29"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>433491.580000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5</name>
        <lei>N/A</lei>
        <title>SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1</title>
        <cusip>81375WFU5</cusip>
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          <isin value="US81375WFU53"/>
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        <curCd>USD</curCd>
        <valUSD>34779.640000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-08-25</maturityDt>
          <couponKind>Floating</couponKind>
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      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN HOME MORTGAGE ASSETS 2006-5</name>
        <lei>N/A</lei>
        <title>AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1</title>
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          <isin value="US02660KAA07"/>
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        <curCd>USD</curCd>
        <valUSD>4002800.000000</valUSD>
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        <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>1.06113</annualizedRt>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-3</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 3 A</title>
        <cusip>81744FAZ0</cusip>
        <identifiers>
          <isin value="US81744FAZ09"/>
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        <balance>9467.420000</balance>
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        <curCd>USD</curCd>
        <valUSD>9471.130000</valUSD>
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        <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>0.66625</annualizedRt>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2004-6</name>
        <lei>N/A</lei>
        <title>SEQUOIA MORTGAGE TRUST SEMT 2004 6 A2</title>
        <cusip>81744FCH8</cusip>
        <identifiers>
          <isin value="US81744FCH82"/>
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        <balance>144607.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>134276.280000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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      <invstOrSec>
        <name>SEQUOIA MORTGAGE TRUST 2007-1</name>
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      <invstOrSec>
        <name>AMERICAN HOME MORTGAGE ASSETS 2007-3</name>
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        <name>AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2</name>
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        <name>SKANDINAVISKA ENSKILDA BANKEN AB</name>
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        <name>SOCIETE GENERALE SA</name>
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        <name>SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A</name>
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        <fairValLevel>2</fairValLevel>
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        <name>SOUND POINT CLO XII LTD 2016-2A</name>
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        <name>SOUTH CAROLINA STUDENT LOAN CORP 2008-1</name>
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        <name>SOUTHERN CALIFORNIA EDISON COMPANY</name>
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      <invstOrSec>
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        <name>SOUTHERN CO</name>
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        <name>SPECIALTY UNDERWRITING &amp; RESID 2006-AB1</name>
        <lei>N/A</lei>
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        <cusip>84751PKW8</cusip>
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        <balance>370662.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>358940.280000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Floating</couponKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SPECIALTY UNDERWRITING &amp; RESIDENTIAL FINANCE TRUST SERIES 2006-AB3</name>
        <lei>N/A</lei>
        <title>SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B</title>
        <cusip>84751XAC6</cusip>
        <identifiers>
          <isin value="US84751XAC65"/>
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        <balance>315486.140000</balance>
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        <curCd>USD</curCd>
        <valUSD>248491.020000</valUSD>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-09-25</maturityDt>
          <couponKind>Floating</couponKind>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>SPECIALTY UNDERWRITING &amp; RESIDENTIAL FINANCE TRUST SERIES 2007-BC2</name>
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        <cusip>84752EAE3</cusip>
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        <curCd>USD</curCd>
        <valUSD>2717476.540000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
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        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-04-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.80657</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>SPECIALTY UNDERWRNG &amp; RES FIN 2006-BC5</name>
        <lei>N/A</lei>
        <title>SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2A</title>
        <cusip>84751NAB0</cusip>
        <identifiers>
          <isin value="US84751NAB01"/>
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        <balance>2522393.300000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1685031.370000</valUSD>
        <pctVal>0.0426600</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>0.52657</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </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"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>26509.500000</valUSD>
        <pctVal>0.0006711</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>0.75657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SPRINT CORP (SPRINT COMMUNICATIONS INC)</name>
        <lei>549300JKU50UT08ZWD77</lei>
        <title>SPRINT COMMUNICATIONS COMPANY GUAR 11/22 6</title>
        <cusip>852061AS9</cusip>
        <identifiers>
          <isin value="US852061AS99"/>
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        <balance>512000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>524154.880000</valUSD>
        <pctVal>0.0132701</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2022-11-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SPRINT CORPORATION</name>
        <lei>549300ZTTY7CXOLJ6539</lei>
        <title>SPRINT CORP COMPANY GUAR 06/24 7.125</title>
        <cusip>85207UAH8</cusip>
        <identifiers>
          <isin value="US85207UAH86"/>
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        <balance>48000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>51542.400000</valUSD>
        <pctVal>0.0013049</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-06-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.125</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SPRINT CORPORATION</name>
        <lei>549300ZTTY7CXOLJ6539</lei>
        <title>SPRINT CORP COMPANY GUAR 09/23 7.875</title>
        <cusip>85207UAF2</cusip>
        <identifiers>
          <isin value="US85207UAF21"/>
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        <balance>920000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>978645.400000</valUSD>
        <pctVal>0.0247764</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2023-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>7.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)</name>
        <lei>5493006ORUSIL88JOE18</lei>
        <title>AMERICAN TOWER CORP SR UNSECURED 08/29 3.8</title>
        <cusip>03027XAW0</cusip>
        <identifiers>
          <isin value="US03027XAW02"/>
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        <balance>836000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>833132.370000</valUSD>
        <pctVal>0.0210925</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-08-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.8</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STANDARD CHARTERED PLC</name>
        <lei>U4LOSYZ7YG4W3S5F2G91</lei>
        <title>STANDARD CHARTERED PLC JR SUBORDINA 144A 12/49 VAR</title>
        <cusip>853254BA7</cusip>
        <identifiers>
          <isin value="US853254BA77"/>
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        <balance>400000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400000.000000</valUSD>
        <pctVal>0.0101268</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2049-12-29</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>STANDARD CHARTERED PLC</title>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>STANDARD CHARTERED PLC</name>
        <lei>U4LOSYZ7YG4W3S5F2G91</lei>
        <title>STANDARD CHARTERED PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>G84228CQ9</cusip>
        <identifiers>
          <isin value="USG84228CQ91"/>
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        <balance>200000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>200000.000000</valUSD>
        <pctVal>0.0050634</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>7.5</annualizedRt>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>STANDARD CHARTERED PLC</title>
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          <delta>XXXX</delta>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STANDARD CHARTERED PLC</name>
        <lei>U4LOSYZ7YG4W3S5F2G91</lei>
        <title>STANDARD CHARTERED PLC JR SUBORDINA REGS 12/49 VAR</title>
        <cusip>G84228CX4</cusip>
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          <isin value="USG84228CX43"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>726593.000000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>7.75</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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          <isMandatoryConvrtbl>N</isMandatoryConvrtbl>
          <isContngtConvrtbl>Y</isContngtConvrtbl>
          <dbtSecRefInstruments>
            <dbtSecRefInstrument>
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              <title>STANDARD CHARTERED PLC</title>
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          <currencyInfos>
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          <delta>XXXX</delta>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>STANDARD CHARTERED PLC</name>
        <lei>U4LOSYZ7YG4W3S5F2G91</lei>
        <title>STANDARD CHARTERED PLC SR UNSECURED 144A 01/27 VAR</title>
        <cusip>853254BZ2</cusip>
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          <isin value="US853254BZ29"/>
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        <balance>4300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3915480.970000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.456</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3</name>
        <lei>N/A</lei>
        <title>STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A</title>
        <cusip>85573MAA7</cusip>
        <identifiers>
          <isin value="US85573MAA71"/>
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        <balance>162245.180000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>160129.180000</valUSD>
        <pctVal>0.0040540</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>Fixed</couponKind>
          <annualizedRt>1.486</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>AMERICAN WATER CAPITAL CORP</name>
        <lei>5IDHQUFVC8Q2KIBBFF06</lei>
        <title>AMERICAN WATER CAPITAL C SR UNSECURED 06/29 3.45</title>
        <cusip>03040WAU9</cusip>
        <identifiers>
          <isin value="US03040WAU99"/>
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        <balance>143000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>143289.120000</valUSD>
        <pctVal>0.0036277</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2029-06-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.45</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STELLANTIS FINANCE US INC</name>
        <lei>549300QZ0AI8Q7LNON33</lei>
        <title>STELLANTIS FIN US INC COMPANY GUAR 144A 09/31 2.691</title>
        <cusip>85855CAB6</cusip>
        <identifiers>
          <isin value="US85855CAB63"/>
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        <balance>10900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9585586.220000</valUSD>
        <pctVal>0.2426789</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-09-15</maturityDt>
          <couponKind>Fixed</couponKind>
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      <invstOrSec>
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      </invstOrSec>
      <invstOrSec>
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        <name>STRUCTURED ADJUSTABLE RT MTG LN 2004-20</name>
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        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2005-17</name>
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        <name>STRUCTURED ADJUSTABLE RT MTGE LN 2007-11</name>
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        <name>AMERIQUEST MTGE SEC INC 2004-R9</name>
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        <name>STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1</name>
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          <couponKind>Floating</couponKind>
          <annualizedRt>1.07657</annualizedRt>
          <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 2005-1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2005 1 M3 144A</title>
        <cusip>86358EQK5</cusip>
        <identifiers>
          <isin value="US86358EQK54"/>
        </identifiers>
        <balance>1152388.460000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1139971.360000</valUSD>
        <pctVal>0.0288607</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>1.23657</annualizedRt>
          <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 2005-5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4</title>
        <cusip>86358ETJ5</cusip>
        <identifiers>
          <isin value="US86358ETJ54"/>
        </identifiers>
        <balance>284000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>278570.570000</valUSD>
        <pctVal>0.0070526</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>1.38657</annualizedRt>
          <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 2006-4</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2</title>
        <cusip>86360WAB8</cusip>
        <identifiers>
          <isin value="US86360WAB81"/>
        </identifiers>
        <balance>30019.940000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24569.740000</valUSD>
        <pctVal>0.0006220</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>0.58657</annualizedRt>
          <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-AR6</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A1A</title>
        <cusip>86359LEV7</cusip>
        <identifiers>
          <isin value="US86359LEV71"/>
        </identifiers>
        <balance>2003.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2007.420000</valUSD>
        <pctVal>0.0000508</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-02-19</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14857</annualizedRt>
          <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-R4</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M5</title>
        <cusip>03072SC60</cusip>
        <identifiers>
          <isin value="US03072SC608"/>
        </identifiers>
        <balance>2000000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1972670.600000</valUSD>
        <pctVal>0.0499422</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>1.43157</annualizedRt>
          <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>4757.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4541.950000</valUSD>
        <pctVal>0.0001150</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>1.01657</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 2005-AR8</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2</title>
        <cusip>86359LRY7</cusip>
        <identifiers>
          <isin value="US86359LRY73"/>
        </identifiers>
        <balance>19870.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19542.490000</valUSD>
        <pctVal>0.0004948</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>1.56716</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>AMERIQUEST MTGE SECURITIES INC 2005-R8</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R8 M3</title>
        <cusip>03072SM28</cusip>
        <identifiers>
          <isin value="US03072SM284"/>
        </identifiers>
        <balance>118765.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>118558.780000</valUSD>
        <pctVal>0.0030016</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>1.22157</annualizedRt>
          <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 2006-AR2</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1</title>
        <cusip>86359LSM2</cusip>
        <identifiers>
          <isin value="US86359LSM27"/>
        </identifiers>
        <balance>85386.530000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>75611.920000</valUSD>
        <pctVal>0.0019143</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>0.91657</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 2006-AR3</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1</title>
        <cusip>86360KAA6</cusip>
        <identifiers>
          <isin value="US86360KAA60"/>
        </identifiers>
        <balance>22513.110000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>21141.120000</valUSD>
        <pctVal>0.0005352</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>0.87657</annualizedRt>
          <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 2006-AR7</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG</title>
        <cusip>86361HAB0</cusip>
        <identifiers>
          <isin value="US86361HAB06"/>
        </identifiers>
        <balance>205912.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>194680.950000</valUSD>
        <pctVal>0.0049288</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>0.57657</annualizedRt>
          <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-R9</name>
        <lei>N/A</lei>
        <title>AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2</title>
        <cusip>03072SQ40</cusip>
        <identifiers>
          <isin value="US03072SQ400"/>
        </identifiers>
        <balance>1300000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1275658.670000</valUSD>
        <pctVal>0.0322959</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>1.32657</annualizedRt>
          <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 INVEST 2006-AR5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1</title>
        <cusip>86360JAN1</cusip>
        <identifiers>
          <isin value="US86360JAN19"/>
        </identifiers>
        <balance>9801.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3423.250000</valUSD>
        <pctVal>0.0000867</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>0.89657</annualizedRt>
          <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 INVEST 2006-AR6</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3</title>
        <cusip>86360UAC0</cusip>
        <identifiers>
          <isin value="US86360UAC09"/>
        </identifiers>
        <balance>63024.480000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>50864.450000</valUSD>
        <pctVal>0.0012877</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>0.83657</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 2005-7XS</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A</title>
        <cusip>86359B7K1</cusip>
        <identifiers>
          <isin value="US86359B7K13"/>
        </identifiers>
        <balance>1951.830000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1957.940000</valUSD>
        <pctVal>0.0000496</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>1.73057</annualizedRt>
          <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-EQ1A</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A</title>
        <cusip>86360RAA1</cusip>
        <identifiers>
          <isin value="US86360RAA14"/>
        </identifiers>
        <balance>33605.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>33233.880000</valUSD>
        <pctVal>0.0008414</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>0.59157</annualizedRt>
          <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 2007-WF1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6</title>
        <cusip>86358BAT9</cusip>
        <identifiers>
          <isin value="US86358BAT98"/>
        </identifiers>
        <balance>457081.470000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>447972.200000</valUSD>
        <pctVal>0.0113413</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>0.87657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CORP 2006-BC1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2</title>
        <cusip>86359YAD3</cusip>
        <identifiers>
          <isin value="US86359YAD31"/>
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        <balance>9551.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>9149.110000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.61657</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CORP 2006-BC5</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A4</title>
        <cusip>86359SAD6</cusip>
        <identifiers>
          <isin value="US86359SAD62"/>
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        <balance>42055.410000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>41491.170000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.79657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A5 144A</title>
        <cusip>86361CAE5</cusip>
        <identifiers>
          <isin value="US86361CAE57"/>
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        <balance>3743000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3608477.330000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-08-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.76657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>STRUCTURED ASSET SECURITIES CRP 2003-22A</name>
        <lei>N/A</lei>
        <title>STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1</title>
        <cusip>86359AYX5</cusip>
        <identifiers>
          <isin value="US86359AYX52"/>
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        <balance>118.330000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>116.030000</valUSD>
        <pctVal>0.0000029</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>2.2551</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>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"/>
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        <balance>4208540.930000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4198059.350000</valUSD>
        <pctVal>0.1062825</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>1.21843</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SUMITOMO MITSUI FINANCIAL GROUP INC</name>
        <lei>35380028MYWPB6AUO129</lei>
        <title>SUMITOMO MITSUI FINL GRP SR UNSECURED 07/30 2.13</title>
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        <identifiers>
          <isin value="US86562MCB46"/>
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        <balance>991000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>887835.830000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-07-08</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.13</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>SUNTRUST ADJR MRTG LN TR 2007-S1</name>
        <lei>N/A</lei>
        <title>SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A</title>
        <cusip>855541AA6</cusip>
        <identifiers>
          <isin value="US855541AA68"/>
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        <balance>52479.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>44407.440000</valUSD>
        <pctVal>0.0011243</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>2.40026</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>SYMPHONY CLO XIV LTD 2014-14A</name>
        <lei>N/A</lei>
        <title>SYMPHONY CLO LTD SYMP 2014 14A AR 144A</title>
        <cusip>87159QBV9</cusip>
        <identifiers>
          <isin value="US87159QBV95"/>
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        <balance>294636.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>294268.010000</valUSD>
        <pctVal>0.0074500</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-07-14</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.18843</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
        <title>T MOBILE USA INC COMPANY GUAR 02/26 2.25</title>
        <cusip>87264ABR5</cusip>
        <identifiers>
          <isin value="US87264ABR59"/>
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        <balance>700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>660380.000000</valUSD>
        <pctVal>0.0167189</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
        <title>T MOBILE USA INC COMPANY GUAR 02/31 2.875</title>
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          <isin value="US87264ABT16"/>
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        <balance>1800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1624500.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.875</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
        <title>T MOBILE USA INC COMPANY GUAR 144A 02/26 2.25</title>
        <cusip>87264ACC7</cusip>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1132080.000000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-02-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <maturityDt>2029-04-15</maturityDt>
          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
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        <name>T-MOBILE USA INC</name>
        <lei>549300V2JRLO5DIFGE82</lei>
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        <curCd>USD</curCd>
        <valUSD>1885080.000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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          <isLoanByFund>N</isLoanByFund>
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        <name>TAKEDA PHARMACEUTICAL COMPANY LIMITED</name>
        <lei>549300ZLMVP4X0OGR454</lei>
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        <identifiers>
          <isin value="US874060AZ95"/>
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        <balance>658000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
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          <couponKind>Fixed</couponKind>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>TAKEDA PHARMACEUTICAL COMPANY LIMITED</name>
        <lei>549300ZLMVP4X0OGR454</lei>
        <title>TAKEDA PHARMACEUTICAL SR UNSECURED 07/60 3.375</title>
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        <balance>458000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>400615.460000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2060-07-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3.375</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TAURUS 2021-1 UK DAC 21-UK1A</name>
        <lei>N/A</lei>
        <title>TAURUS CMBS TAURS 2021 UK1A A 144A</title>
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        <identifiers>
          <isin value="XS2303818954"/>
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        <balance>1290521.440000</balance>
        <units>PA</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761200"/>
        <valUSD>1682408.760000</valUSD>
        <pctVal>0.0425937</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>IE</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2031-05-17</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.36881</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>TELOS CLO LTD 2014-5A</name>
        <lei>N/A</lei>
        <title>TELOS CLO LTD TELOS 2014 5A A1R 144A</title>
        <cusip>87974KAQ7</cusip>
        <identifiers>
          <isin value="US87974KAQ76"/>
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        <balance>27024.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>27065.000000</valUSD>
        <pctVal>0.0006852</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-CBDO</assetCat>
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      </invstOrSec>
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        <fairValLevel>2</fairValLevel>
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      </invstOrSec>
      <invstOrSec>
        <name>THEOREM FUNDING TRUST 2021-1A</name>
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        <name>THEOREM FUNDING TRUST 2022-1A</name>
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        <name>THORNBURG MORTGAGE SECURITIES TR 2004-1</name>
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        <fairValLevel>2</fairValLevel>
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        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
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        <name>THORNBURG MORTGAGE SECURITIES TR 2007-3</name>
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        <issuerCat>CORP</issuerCat>
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        <fairValLevel>2</fairValLevel>
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        <name>TICP CLO III-2 LTD 2018-3R</name>
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        <name>TIKEHAU CLO BV</name>
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        <isRestrictedSec>N</isRestrictedSec>

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        <name>ANGLOGOLD ASHANTI HOLDINGS PLC</name>
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        <fairValLevel>2</fairValLevel>
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        <name>TOWD POINT MORTGAGE FUNDING 19-A13A</name>
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        <name>TOWD POINT MORTGAGE FUNDING 19-V2A</name>
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        <name>TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC</name>
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        <name>TOWD POINT MORTGAGE TRUST 2017-6</name>
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        <name>TOWD POINT MORTGAGE TRUST 2018-1</name>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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      <invstOrSec>
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          <isin value="US89180LAA61"/>
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        <issuerCat>CORP</issuerCat>
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        <debtSec>
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      <invstOrSec>
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        <curCd>USD</curCd>
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        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <isLoanByFund>N</isLoanByFund>
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        <name>UBS AG / STAMFORD BRANCH</name>
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        <curCd>USD</curCd>
        <valUSD>1217152.040000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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      <invstOrSec>
        <name>UBS GROUP AG</name>
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        <curCd>USD</curCd>
        <valUSD>1448000.000000</valUSD>
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        <issuerCat>CORP</issuerCat>
        <invCountry>CH</invCountry>
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        <fairValLevel>2</fairValLevel>
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        <name>UMBS PASS THRU POOLS</name>
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          <isin value="US01F0204481"/>
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        <issuerCat>USGSE</issuerCat>
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        <fairValLevel>2</fairValLevel>
        <debtSec>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>UMBS PASS THRU POOLS</name>
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        <name>VENTURE XXVII CLO LTD 2017-27A</name>
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        <name>VERIZON COMMUNICATIONS INC</name>
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        <name>VIBRANT CLO XI LTD 2019-11A</name>
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        <pctVal>0.2309799</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>1.954</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2003-W10</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2003 W10 M1</title>
        <cusip>040104EN7</cusip>
        <identifiers>
          <isin value="US040104EN75"/>
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        <balance>237879.360000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>232523.290000</valUSD>
        <pctVal>0.0058868</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>1.53657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WABTEC CORP (AKA: WESTINGHOUSE AIR BRAKE TECHNOLOGIES CORP)</name>
        <lei>06BTX5UWZD0GQ5N5Y745</lei>
        <title>WESTINGHOUSE AIR BRAKE COMPANY GUAR 03/24 4.4</title>
        <cusip>960386AN0</cusip>
        <identifiers>
          <isin value="US960386AN02"/>
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        <balance>147000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>149812.720000</valUSD>
        <pctVal>0.0037928</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2024-03-15</maturityDt>
          <couponKind>Variable</couponKind>
          <annualizedRt>4.4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU ASSET-BACKED CERTIFICATES 2007-HE3</name>
        <lei>N/A</lei>
        <title>WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A</title>
        <cusip>93364EAA2</cusip>
        <identifiers>
          <isin value="US93364EAA29"/>
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        <balance>120529.250000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>115263.650000</valUSD>
        <pctVal>0.0029181</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>0.68157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU ASSET-BACKED CERTIFICATES 2007-HE3</name>
        <lei>N/A</lei>
        <title>WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3</title>
        <cusip>93364EAD6</cusip>
        <identifiers>
          <isin value="US93364EAD67"/>
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        <balance>457816.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>424899.130000</valUSD>
        <pctVal>0.0107572</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>0.69657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2005-W1</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2005 W1 A1</title>
        <cusip>040104MX6</cusip>
        <identifiers>
          <isin value="US040104MX65"/>
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        <balance>67572.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>62792.600000</valUSD>
        <pctVal>0.0015897</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>0.93657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-HY1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3</title>
        <cusip>92925VAK6</cusip>
        <identifiers>
          <isin value="US92925VAK61"/>
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        <balance>18879.060000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>18532.260000</valUSD>
        <pctVal>0.0004692</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>3.10999</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-HY1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1</title>
        <cusip>92925VAP5</cusip>
        <identifiers>
          <isin value="US92925VAP58"/>
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        <balance>141390.970000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>140123.220000</valUSD>
        <pctVal>0.0035475</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>3.16778</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-HY6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1</title>
        <cusip>92927XAC8</cusip>
        <identifiers>
          <isin value="US92927XAC83"/>
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        <balance>97105.040000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>94207.710000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.87004</annualizedRt>
          <isDefault>Y</isDefault>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-HY6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3</title>
        <cusip>92927XAE4</cusip>
        <identifiers>
          <isin value="US92927XAE40"/>
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        <balance>335813.780000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>324981.230000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.67289</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <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 M1</title>
        <cusip>040104PC9</cusip>
        <identifiers>
          <isin value="US040104PC91"/>
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        <balance>14758760.580000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14597991.930000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2035-11-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.11657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WAMU MTGE P/T CERT 2007-OA5</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A</title>
        <cusip>93364BAA8</cusip>
        <identifiers>
          <isin value="US93364BAA89"/>
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        <balance>1905252.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1806687.400000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.89113</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHING MUTUAL MTGE P/T 2006-7</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A1B</title>
        <cusip>93935HAB3</cusip>
        <identifiers>
          <isin value="US93935HAB33"/>
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        <balance>354523.610000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHING MUTUAL MTGE P/T 2006-7</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A5</title>
        <cusip>93935HAH0</cusip>
        <identifiers>
          <isin value="US93935HAH03"/>
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        <balance>678408.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>255921.010000</valUSD>
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        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Variable</couponKind>
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          <isDefault>Y</isDefault>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES INC 2006-M1</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 M1 A1</title>
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          <isin value="US04012MAM10"/>
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        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>526411.590000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.75657</annualizedRt>
          <isDefault>N</isDefault>
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          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2003-AR6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR6 A1</title>
        <cusip>9292274D5</cusip>
        <identifiers>
          <isin value="US9292274D55"/>
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        <balance>25236.210000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24993.810000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2033-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>2.56828</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2004-AR14</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1</title>
        <cusip>939336V91</cusip>
        <identifiers>
          <isin value="US939336V916"/>
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        <balance>39579.510000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>39566.640000</valUSD>
        <pctVal>0.0010017</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>2.74834</annualizedRt>
          <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-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A</title>
        <cusip>939336X40</cusip>
        <identifiers>
          <isin value="US939336X409"/>
        </identifiers>
        <balance>644.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>636.320000</valUSD>
        <pctVal>0.0000161</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.09657</annualizedRt>
          <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-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1B</title>
        <cusip>939336X57</cusip>
        <identifiers>
          <isin value="US939336X573"/>
        </identifiers>
        <balance>502463.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>490314.850000</valUSD>
        <pctVal>0.0124133</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.23657</annualizedRt>
          <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-AR12</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6</title>
        <cusip>92922F3L0</cusip>
        <identifiers>
          <isin value="US92922F3L06"/>
        </identifiers>
        <balance>15556.550000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>15399.040000</valUSD>
        <pctVal>0.0003899</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>2.84862</annualizedRt>
          <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 A1A1</title>
        <cusip>92922F4M7</cusip>
        <identifiers>
          <isin value="US92922F4M79"/>
        </identifiers>
        <balance>12393.050000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>12266.400000</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>2045-10-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.03657</annualizedRt>
          <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-AR14</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3</title>
        <cusip>92922F4C9</cusip>
        <identifiers>
          <isin value="US92922F4C97"/>
        </identifiers>
        <balance>151714.690000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>152699.060000</valUSD>
        <pctVal>0.0038659</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>2.84927</annualizedRt>
          <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-M2</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 M2 A2B</title>
        <cusip>04013BAB8</cusip>
        <identifiers>
          <isin value="US04013BAB80"/>
        </identifiers>
        <balance>72145.340000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>29063.810000</valUSD>
        <pctVal>0.0007358</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>0.56657</annualizedRt>
          <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 A1A2</title>
        <cusip>92922F5U8</cusip>
        <identifiers>
          <isin value="US92922F5U86"/>
        </identifiers>
        <balance>4532.900000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4329.040000</valUSD>
        <pctVal>0.0001096</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>1.01657</annualizedRt>
          <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 A1B4</title>
        <cusip>92922F5Y0</cusip>
        <identifiers>
          <isin value="US92922F5Y09"/>
        </identifiers>
        <balance>1909312.960000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1856533.250000</valUSD>
        <pctVal>0.0470020</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>1.61657</annualizedRt>
          <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-AR17</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1</title>
        <cusip>92922F7P7</cusip>
        <identifiers>
          <isin value="US92922F7P73"/>
        </identifiers>
        <balance>597633.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>577854.940000</valUSD>
        <pctVal>0.0146296</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>0.99657</annualizedRt>
          <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-AR17</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2</title>
        <cusip>92922F7Q5</cusip>
        <identifiers>
          <isin value="US92922F7Q56"/>
        </identifiers>
        <balance>320587.820000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>306957.740000</valUSD>
        <pctVal>0.0077713</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>1.03657</annualizedRt>
          <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>13507.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>13598.010000</valUSD>
        <pctVal>0.0003443</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>0.99657</annualizedRt>
          <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 A1C4</title>
        <cusip>92925CBJ0</cusip>
        <identifiers>
          <isin value="US92925CBJ09"/>
        </identifiers>
        <balance>1357982.090000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1336826.490000</valUSD>
        <pctVal>0.0338445</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>1.25657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2005-AR2</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A</title>
        <cusip>92922FD21</cusip>
        <identifiers>
          <isin value="US92922FD213"/>
        </identifiers>
        <balance>541.750000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>535.860000</valUSD>
        <pctVal>0.0000136</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2045-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.07657</annualizedRt>
          <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-AR7</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR7 A4</title>
        <cusip>92922FQ50</cusip>
        <identifiers>
          <isin value="US92922FQ504"/>
        </identifiers>
        <balance>19327.290000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>19115.470000</valUSD>
        <pctVal>0.0004839</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>2.52152</annualizedRt>
          <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-AR1</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 1A1A</title>
        <cusip>92925CCC4</cusip>
        <identifiers>
          <isin value="US92925CCC47"/>
        </identifiers>
        <balance>1050868.240000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1018986.580000</valUSD>
        <pctVal>0.0257977</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-01-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.21113</annualizedRt>
          <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-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A</title>
        <cusip>93363RAA4</cusip>
        <identifiers>
          <isin value="US93363RAA41"/>
        </identifiers>
        <balance>385497.450000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>363329.770000</valUSD>
        <pctVal>0.0091984</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>1.02113</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>ARGENT SECURITIES INC 2006-W1</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 W1 A2C</title>
        <cusip>040104RF0</cusip>
        <identifiers>
          <isin value="US040104RF05"/>
        </identifiers>
        <balance>860050.710000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>820087.510000</valUSD>
        <pctVal>0.0207622</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>0.83657</annualizedRt>
          <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-AR13</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A</title>
        <cusip>93363RAB2</cusip>
        <identifiers>
          <isin value="US93363RAB24"/>
        </identifiers>
        <balance>617631.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>598579.130000</valUSD>
        <pctVal>0.0151543</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>1.723</annualizedRt>
          <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 2A</title>
        <cusip>93363QAC2</cusip>
        <identifiers>
          <isin value="US93363QAC24"/>
        </identifiers>
        <balance>446831.910000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>432738.300000</valUSD>
        <pctVal>0.0109557</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>1.723</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL 2006-AR16</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3</title>
        <cusip>92925GAJ2</cusip>
        <identifiers>
          <isin value="US92925GAJ22"/>
        </identifiers>
        <balance>31185.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>30330.640000</valUSD>
        <pctVal>0.0007679</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>3.04137</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-AR17</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A</title>
        <cusip>92925DAB6</cusip>
        <identifiers>
          <isin value="US92925DAB64"/>
        </identifiers>
        <balance>14844.280000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14161.960000</valUSD>
        <pctVal>0.0003585</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.91416</annualizedRt>
          <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-AR17</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A</title>
        <cusip>92925DAD2</cusip>
        <identifiers>
          <isin value="US92925DAD21"/>
        </identifiers>
        <balance>14303.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>14354.860000</valUSD>
        <pctVal>0.0003634</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-12-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.723</annualizedRt>
          <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-AR18</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 2A3</title>
        <cusip>933637AE0</cusip>
        <identifiers>
          <isin value="US933637AE07"/>
        </identifiers>
        <balance>54219.650000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>48857.070000</valUSD>
        <pctVal>0.0012369</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>2.5471</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-AR3</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A</title>
        <cusip>92925CDA7</cusip>
        <identifiers>
          <isin value="US92925CDA71"/>
        </identifiers>
        <balance>172828.130000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>172507.070000</valUSD>
        <pctVal>0.0043674</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2046-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.14113</annualizedRt>
          <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>80493.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>77671.750000</valUSD>
        <pctVal>0.0019664</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>1.723</annualizedRt>
          <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 2007-OA2</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A</title>
        <cusip>933635AA2</cusip>
        <identifiers>
          <isin value="US933635AA29"/>
        </identifiers>
        <balance>2688124.770000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2531431.290000</valUSD>
        <pctVal>0.0640884</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>0.84113</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 2007-OA6</name>
        <lei>N/A</lei>
        <title>WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A</title>
        <cusip>92927BAA0</cusip>
        <identifiers>
          <isin value="US92927BAA08"/>
        </identifiers>
        <balance>35060.870000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>31165.580000</valUSD>
        <pctVal>0.0007890</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-07-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.95113</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A</title>
        <cusip>93934FJQ6</cusip>
        <identifiers>
          <isin value="US93934FJQ63"/>
        </identifiers>
        <balance>390893.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>350645.460000</valUSD>
        <pctVal>0.0088773</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>0.95657</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>ARGENT SECURITIES INC. 2006-W3</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 W3 A2C</title>
        <cusip>040104SR3</cusip>
        <identifiers>
          <isin value="US040104SR34"/>
        </identifiers>
        <balance>17142428.150000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>6885499.690000</valUSD>
        <pctVal>0.1743206</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>0.81657</annualizedRt>
          <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 CTFS 2006-HE3</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE3 1A</title>
        <cusip>93934MAA5</cusip>
        <identifiers>
          <isin value="US93934MAA53"/>
        </identifiers>
        <balance>2337234.200000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2245572.780000</valUSD>
        <pctVal>0.0568513</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>0.61157</annualizedRt>
          <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 CTFS 2003-AR1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A</title>
        <cusip>939336PL1</cusip>
        <identifiers>
          <isin value="US939336PL10"/>
        </identifiers>
        <balance>37.030000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>36.960000</valUSD>
        <pctVal>0.0000009</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>1.975</annualizedRt>
          <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 P/T 2006-AR2</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A</title>
        <cusip>93934FMN9</cusip>
        <identifiers>
          <isin value="US93934FMN95"/>
        </identifiers>
        <balance>49728.500000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>46152.230000</valUSD>
        <pctVal>0.0011684</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>1.08113</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 MTGE P/T 2007-OA3</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A</title>
        <cusip>939355AB9</cusip>
        <identifiers>
          <isin value="US939355AB98"/>
        </identifiers>
        <balance>756387.440000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>737444.400000</valUSD>
        <pctVal>0.0186699</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2047-02-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.89113</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 MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES TRUST 2007-HE1</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL ASSET BACKED WMABS 2007 HE1 2A1</title>
        <cusip>93935KAB6</cusip>
        <identifiers>
          <isin value="US93935KAB61"/>
        </identifiers>
        <balance>736398.670000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>320466.120000</valUSD>
        <pctVal>0.0081133</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>0.51657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
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      </invstOrSec>
      <invstOrSec>
        <name>WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT</name>
        <lei>N/A</lei>
        <title>WASHINGTON ST CONVENTION CENTE WASFAC 07/40 FIXED 6.79</title>
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          <isin value="US93976AAH59"/>
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        <curCd>USD</curCd>
        <valUSD>885513.630000</valUSD>
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        <assetCat>DBT</assetCat>
        <issuerCat>MUN</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2040-07-01</maturityDt>
          <couponKind>Fixed</couponKind>
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        <securityLending>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ARGENT SECURITIES TRUST 2006-W5</name>
        <lei>N/A</lei>
        <title>ARGENT SECURITIES INC. ARSI 2006 W5 A2D</title>
        <cusip>04012XAE5</cusip>
        <identifiers>
          <isin value="US04012XAE58"/>
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        <balance>9223116.310000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3250937.290000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2036-06-25</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>0.93657</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <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"/>
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        <balance>8089375.190000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>8089691.480000</valUSD>
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        <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>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO + COMPANY SR UNSECURED 04/26 3</title>
        <cusip>949746RW3</cusip>
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          <isin value="US949746RW34"/>
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        <curCd>USD</curCd>
        <valUSD>362799.800000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-22</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>3</annualizedRt>
          <isDefault>N</isDefault>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO + COMPANY SR UNSECURED 06/28 VAR</title>
        <cusip>95000U2S1</cusip>
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          <isin value="US95000U2S19"/>
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        <balance>12942000.000000</balance>
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        <curCd>USD</curCd>
        <valUSD>12252714.770000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO + COMPANY SR UNSECURED 10/30 VAR</title>
        <cusip>95000U2G7</cusip>
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          <isin value="US95000U2G70"/>
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        <balance>1600000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>1522453.730000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>2.879</annualizedRt>
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          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO &amp; COMPANY</name>
        <lei>PBLD0EJDB5FWOLXP3B76</lei>
        <title>WELLS FARGO + COMPANY SR UNSECURED REGS 05/30 VAR</title>
        <cusip>ACI1M15X9</cusip>
        <identifiers>
          <isin value="XS2167007918"/>
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        <balance>2100000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
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        <pctVal>0.0579271</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2030-05-04</maturityDt>
          <couponKind>Floating</couponKind>
          <annualizedRt>1.741</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN 2007-PA4</name>
        <lei>N/A</lei>
        <title>WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1</title>
        <cusip>94984UAE6</cusip>
        <identifiers>
          <isin value="US94984UAE64"/>
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        <balance>3922.720000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3629.580000</valUSD>
        <pctVal>0.0000919</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>2.55305</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3</name>
        <lei>N/A</lei>
        <title>WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 3A1</title>
        <cusip>94985GAH9</cusip>
        <identifiers>
          <isin value="US94985GAH92"/>
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        <balance>120946.520000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>113937.600000</valUSD>
        <pctVal>0.0028846</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2037-07-25</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>6.25</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO HOME EQUITY TRUST 2005-4</name>
        <lei>N/A</lei>
        <title>WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3</title>
        <cusip>9497EMAJ4</cusip>
        <identifiers>
          <isin value="US9497EMAJ40"/>
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        <balance>422000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>416191.000000</valUSD>
        <pctVal>0.0105367</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>1.20657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WELLS FARGO MTGE BK SEC TR 2006-AR12</name>
        <lei>N/A</lei>
        <title>WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR12 2A1</title>
        <cusip>94984GAD9</cusip>
        <identifiers>
          <isin value="US94984GAD97"/>
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        <balance>4048.700000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>4027.600000</valUSD>
        <pctVal>0.0001020</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>2.78032</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </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"/>
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        <balance>25081.920000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>24859.390000</valUSD>
        <pctVal>0.0006294</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>2.73279</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WEYERHAEUSER COMPANY</name>
        <lei>08IRJODWFYBI7QWRGS31</lei>
        <title>WEYERHAEUSER CO SR UNSECURED 04/30 4</title>
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        <identifiers>
          <isin value="US962166BY91"/>
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        <balance>354000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>364983.090000</valUSD>
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        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Fixed</couponKind>
          <annualizedRt>4</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>WMALT MTGE PASS-THRU CERT 2006-AR8</name>
        <lei>N/A</lei>
        <title>WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A</title>
        <cusip>93935LAB4</cusip>
        <identifiers>
          <isin value="US93935LAB45"/>
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        <balance>98519.540000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>88325.910000</valUSD>
        <pctVal>0.0022362</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>ABS-MBS</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
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          <couponKind>Floating</couponKind>
          <annualizedRt>0.99113</annualizedRt>
          <isDefault>Y</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <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"/>
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        <balance>67176.120000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>63882.480000</valUSD>
        <pctVal>0.0016173</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>0.97113</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      <invstOrSec>
        <name>WP CAREY INC</name>
        <lei>54930042CRNE713E3Q67</lei>
        <title>WP CAREY INC SR UNSECURED 10/26 4.25</title>
        <cusip>92936UAE9</cusip>
        <identifiers>
          <isin value="US92936UAE91"/>
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        <balance>55000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>56843.500000</valUSD>
        <pctVal>0.0014391</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-10-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>4.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
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        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WPC EUROBOND BV</name>
        <lei>5493005XDMOLBARL5M14</lei>
        <title>WPC EUROBOND BV COMPANY GUAR 04/26 2.25</title>
        <cusip>ACI15F7Y3</cusip>
        <identifiers>
          <isin value="XS1843459600"/>
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        <balance>2208000.000000</balance>
        <units>PA</units>
        <currencyConditional curCd="EUR" exchangeRt="0.904000"/>
        <valUSD>2468280.950000</valUSD>
        <pctVal>0.0624896</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>NL</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2026-04-09</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>WYNN MACAU LIMITED</name>
        <lei>254900NMDQ8ENTHU1I31</lei>
        <title>WYNN MACAU LTD SR UNSECURED 144A 08/28 5.625</title>
        <cusip>98313RAH9</cusip>
        <identifiers>
          <isin value="US98313RAH93"/>
        </identifiers>
        <balance>2800000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>2437764.000000</valUSD>
        <pctVal>0.0617170</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>KY</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2028-08-26</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>5.625</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>N/A</name>
        <lei>N/A</lei>
        <title>BARCLAYS CAPITAL REPO REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="068992007"/>
        </identifiers>
        <balance>479700000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>479700000.000000</valUSD>
        <pctVal>12.1445962</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="G5GSEF7VJP5I7OUK5573" name="BARCLAYS BANK PLC"/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.2800000</repurchaseRt>
          <maturityDt>2022-04-04</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>488684000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>488974815.850000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO BANK AMERICA REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="060990009"/>
        </identifiers>
        <balance>81500000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>81500000.000000</valUSD>
        <pctVal>2.0633408</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.2800000</repurchaseRt>
          <maturityDt>2022-04-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>83865000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>82569351.160000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>REPO BANK AMERICA REPO</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="060990009"/>
        </identifiers>
        <balance>379900000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>379900000.000000</valUSD>
        <pctVal>9.6179531</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>RA</assetCat>
        <issuerConditional desc="See item: C_10_b_ii_name" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <repurchaseAgrmt>
          <transCat>Repurchase</transCat>
          <notClearedCentCparty isCleared="N">
            <counterpartyInfos>
              <counterpartyInfo lei="549300HN4UKV1E2R3U73" name="BOFA SECURITIES, INC."/>
            </counterpartyInfos>
          </notClearedCentCparty>
          <isTriParty>N</isTriParty>
          <repurchaseRt>0.2800000</repurchaseRt>
          <maturityDt>2022-04-01</maturityDt>
          <repurchaseCollaterals>
            <repurchaseCollateral>
              <principalAmt>384141000.000000</principalAmt>
              <principalCd>USD</principalCd>
              <collateralVal>386969537.740000</collateralVal>
              <collateralCd>USD</collateralCd>
              <invstCat>UST</invstCat>
            </repurchaseCollateral>
          </repurchaseCollaterals>
        </repurchaseAgrmt>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>AT&amp;T INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0K0C7"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>98169.150000</valUSD>
        <pctVal>0.0024854</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>AT&amp;T INC</issuerName>
                <issueTitle>AT&amp;T INC</issueTitle>
                <identifiers>
                  <isin value="US00206RHW51"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-06-21</terminationDt>
            <upfrontPmnt>151910.540000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>9300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-53741.390000</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>AT&amp;T INC SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPCTJ989"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>5210.120000</valUSD>
        <pctVal>0.0001319</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>AT&amp;T INC</issuerName>
                <issueTitle>AT&amp;T INC</issueTitle>
                <identifiers>
                  <isin value="US00206RHW51"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2025-12-21</terminationDt>
            <upfrontPmnt>6424.490000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1214.370000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT CAD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBB7M2H"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.250300"/>
        <valUSD>196721.220000</valUSD>
        <pctVal>0.0049804</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>10812397.280000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>13765117.010000</amtCurPur>
            <curPur>CAD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>196721.220000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CNKBBTHKF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>1822.010000</valUSD>
        <pctVal>0.0000461</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>1174733.210000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1062000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>1822.010000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CVKBBQHRT"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>-11644.520000</valUSD>
        <pctVal>-0.0002948</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>2099974.640000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1885000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-11644.520000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BOKBB9VX0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>-118551.180000</valUSD>
        <pctVal>-0.0030014</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>3667193.310000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2702000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-118551.180000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBBQGFJ"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>-5952.290000</valUSD>
        <pctVal>-0.0001507</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>3481047.440000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2646000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-5952.290000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBBQB8C"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>-1178.170000</valUSD>
        <pctVal>-0.0000298</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>1356544.080000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1032000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-1178.170000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CQKBBQN6W"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>-7944.150000</valUSD>
        <pctVal>-0.0002011</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>1340983.290000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1015000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-7944.150000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BLKBB4NWW"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.746100"/>
        <valUSD>6695.260000</valUSD>
        <pctVal>0.0001695</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <amtCurSold>182390.900000</amtCurSold>
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            <unrealizedAppr>6695.260000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21IRKBB9DK7"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>14113274.120000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>2229233.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>130323.980000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BHKBBPWGK"/>
        </identifiers>
        <balance>1.000000</balance>
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        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
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        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
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            <amtCurSold>49265000.000000</amtCurSold>
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          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBCBG89"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>67889000.000000</amtCurSold>
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            <amtCurPur>91810062.540000</amtCurPur>
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            <unrealizedAppr>2648787.250000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD GBP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CBKBBTPQB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>37481.060000</valUSD>
        <pctVal>0.0009489</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
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            <amtCurSold>2080000.000000</amtCurSold>
            <curSold>GBP</curSold>
            <amtCurPur>2769226.300000</amtCurPur>
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            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>37481.060000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD HKD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBBRQWN"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="HKD" exchangeRt="7.825500"/>
        <valUSD>15001.310000</valUSD>
        <pctVal>0.0003798</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>HK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>78358615.380000</amtCurSold>
            <curSold>HKD</curSold>
            <amtCurPur>10028275.140000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>15001.310000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SEK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBB8K7Z"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SEK" exchangeRt="9.393700"/>
        <valUSD>36463.140000</valUSD>
        <pctVal>0.0009231</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SE</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <amtCurSold>115194221.270000</amtCurSold>
            <curSold>SEK</curSold>
            <amtCurPur>12299432.450000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>36463.140000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BSKBBWT5F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>-18778.520000</valUSD>
        <pctVal>-0.0004754</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>1477839.940000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1317000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-18778.520000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT GBP/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BSKBBVJ0M"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="GBP" exchangeRt="0.761400"/>
        <valUSD>-20992.010000</valUSD>
        <pctVal>-0.0005315</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>GB</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
            </counterparties>
            <amtCurSold>1036203.100000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>773000.000000</amtCurPur>
            <curPur>GBP</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-20992.010000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD JPY/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BMKBBPQXR"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="JPY" exchangeRt="121.625900"/>
        <valUSD>174246.700000</valUSD>
        <pctVal>0.0044114</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>JP</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
              <counterpartyLei>G5GSEF7VJP5I7OUK5573</counterpartyLei>
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            <amtCurSold>362200000.000000</amtCurSold>
            <curSold>JPY</curSold>
            <amtCurPur>3152230.910000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>174246.700000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT EUR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CHKBBQCCM"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>6111.980000</valUSD>
        <pctVal>0.0001547</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2711486.840000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>2453000.000000</amtCurPur>
            <curPur>EUR</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>6111.980000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACK SEC CORP HM EQ LN TR 2005-HE2</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3</title>
        <cusip>04541GQD7</cusip>
        <identifiers>
          <isin value="US04541GQD78"/>
        </identifiers>
        <balance>22335.620000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>22283.240000</valUSD>
        <pctVal>0.0005641</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>1.55157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT IDR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CJKBCCHJK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="IDR" exchangeRt="14365.287900"/>
        <valUSD>-16.780000</valUSD>
        <pctVal>-0.0000004</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ID</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>10579.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>151729308.000000</amtCurPur>
            <curPur>IDR</curPur>
            <settlementDt>2022-05-24</settlementDt>
            <unrealizedAppr>-16.780000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT MXN/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BRKBB70BK"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.203700"/>
        <valUSD>2019029.120000</valUSD>
        <pctVal>0.0511159</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>57152896.630000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1195490000.000000</amtCurPur>
            <curPur>MXN</curPur>
            <settlementDt>2022-07-01</settlementDt>
            <unrealizedAppr>2019029.120000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED FUNDING CERT 2005-HE1</name>
        <lei>N/A</lei>
        <title>ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M3</title>
        <cusip>04542BKU5</cusip>
        <identifiers>
          <isin value="US04542BKU51"/>
        </identifiers>
        <balance>4107952.400000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>3955127.940000</valUSD>
        <pctVal>0.1001322</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>1.19157</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT TWD/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBB7PJB"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.591300"/>
        <valUSD>-1285.600000</valUSD>
        <pctVal>-0.0000325</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>66796.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>1873027.000000</amtCurPur>
            <curPur>TWD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>-1285.600000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KBKBB9H0F"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.690800"/>
        <valUSD>158084.170000</valUSD>
        <pctVal>0.0040022</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2074223.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>32794295.320000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2022-05-16</settlementDt>
            <unrealizedAppr>158084.170000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KCKBB6968"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.857000"/>
        <valUSD>192050.050000</valUSD>
        <pctVal>0.0048621</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2401774.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>38536463.830000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2022-08-16</settlementDt>
            <unrealizedAppr>192050.050000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KCKBB6974"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.857000"/>
        <valUSD>177168.590000</valUSD>
        <pctVal>0.0044854</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2427122.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>38691965.360000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2022-08-16</settlementDt>
            <unrealizedAppr>177168.590000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KDKBB5N2D"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="14.857000"/>
        <valUSD>173868.130000</valUSD>
        <pctVal>0.0044018</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2550533.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>40476448.600000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2022-08-16</settlementDt>
            <unrealizedAppr>173868.130000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOUGHT ZAR/SOLD USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="21KIKBBZ8KF"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ZAR" exchangeRt="15.001600"/>
        <valUSD>49910.520000</valUSD>
        <pctVal>0.0012636</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>ZA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>659011.000000</amtCurSold>
            <curSold>USD</curSold>
            <amtCurPur>10634953.250000</amtCurPur>
            <curPur>ZAR</curPur>
            <settlementDt>2022-11-08</settlementDt>
            <unrealizedAppr>49910.520000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CAD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BKKBB09ZC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CAD" exchangeRt="1.250300"/>
        <valUSD>-227558.250000</valUSD>
        <pctVal>-0.0057611</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CA</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>13782781.660000</amtCurSold>
            <curSold>CAD</curSold>
            <amtCurPur>10795688.160000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>-227558.250000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD CLP/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CBKBB2SW8"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="CLP" exchangeRt="796.396600"/>
        <valUSD>-212.470000</valUSD>
        <pctVal>-0.0000054</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>CL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>6125806.000000</amtCurSold>
            <curSold>CLP</curSold>
            <amtCurPur>7479.430000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-212.470000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED SEC CORP HM EQ 2005-HE6</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2005 HE6 M4</title>
        <cusip>04541GTN2</cusip>
        <identifiers>
          <isin value="US04541GTN24"/>
        </identifiers>
        <balance>35917.890000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>35934.840000</valUSD>
        <pctVal>0.0009098</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>1.41657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD DKK/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BGKBBQ9MC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="DKK" exchangeRt="6.724100"/>
        <valUSD>499450.500000</valUSD>
        <pctVal>0.0126446</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>DK</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>98260000.000000</amtCurSold>
            <curSold>DKK</curSold>
            <amtCurPur>15112558.570000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-04-01</settlementDt>
            <unrealizedAppr>499450.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BJKBCBQJX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>7808306.650000</valUSD>
        <pctVal>0.1976834</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>292350000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>331693352.070000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>7808306.650000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD EUR/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22BRKBBSB22"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="EUR" exchangeRt="0.902600"/>
        <valUSD>139808.970000</valUSD>
        <pctVal>0.0035396</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>N/A</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>11356000.000000</amtCurSold>
            <curSold>EUR</curSold>
            <amtCurPur>12720751.590000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-18</settlementDt>
            <unrealizedAppr>139808.970000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>ASSET BACKED SEC HOME EQTY LN 2004-HE3</name>
        <lei>N/A</lei>
        <title>ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1</title>
        <cusip>04541GJT0</cusip>
        <identifiers>
          <isin value="US04541GJT04"/>
        </identifiers>
        <balance>656953.350000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>633703.710000</valUSD>
        <pctVal>0.0160435</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>1.26657</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD ILS/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CGKBB5XS0"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="ILS" exchangeRt="3.184300"/>
        <valUSD>-15712.850000</valUSD>
        <pctVal>-0.0003978</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>IL</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2429077.850000</amtCurSold>
            <curSold>ILS</curSold>
            <amtCurPur>747110.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-15712.850000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD MXN/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBCHMRH"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="MXN" exchangeRt="20.355500"/>
        <valUSD>-3013541.100000</valUSD>
        <pctVal>-0.0762940</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>MX</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>836638000.000000</amtCurSold>
            <curSold>MXN</curSold>
            <amtCurPur>38087689.670000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-08-09</settlementDt>
            <unrealizedAppr>-3013541.100000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD SGD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBCBWF1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="SGD" exchangeRt="1.355400"/>
        <valUSD>-9700.520000</valUSD>
        <pctVal>-0.0002456</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>SG</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2098980.520000</amtCurSold>
            <curSold>SGD</curSold>
            <amtCurPur>1538921.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-06-15</settlementDt>
            <unrealizedAppr>-9700.520000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CFKBBTWMX"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.591300"/>
        <valUSD>1170.360000</valUSD>
        <pctVal>0.0000296</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>2981804.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>105461.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-05-20</settlementDt>
            <unrealizedAppr>1170.360000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>SOLD TWD/BOUGHT USD</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="22CMKBB7PQC"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <currencyConditional curCd="TWD" exchangeRt="28.379900"/>
        <valUSD>1409.500000</valUSD>
        <pctVal>0.0000357</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DFE</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>TW</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <fwdDeriv derivCat="FWD">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
            </counterparties>
            <amtCurSold>1855660.000000</amtCurSold>
            <curSold>TWD</curSold>
            <amtCurPur>66796.000000</amtCurPur>
            <curPur>USD</curPur>
            <settlementDt>2022-09-21</settlementDt>
            <unrealizedAppr>1409.500000</unrealizedAppr>
          </fwdDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>BOEING CO/THE SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0K5B4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>19056.360000</valUSD>
        <pctVal>0.0004825</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BOEING CO/THE</issuerName>
                <issueTitle>BOEING CO SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US097023BP90"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2023-06-21</terminationDt>
            <upfrontPmnt>19014.870000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>7700000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>41.490000</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>BOEING CO/THE SNR S* ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KBG6"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-78351.070000</valUSD>
        <pctVal>-0.0019836</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>BOEING CO/THE</issuerName>
                <issueTitle>BOEING CO SR UNSEC</issueTitle>
                <identifiers>
                  <isin value="US097023BP90"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-16943.820000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>4300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-61407.250000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX EM36 ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KC00"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2693147.010000</valUSD>
        <pctVal>-0.0681826</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>

        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.EM.36</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>0.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>-1133190.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>32800000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-1559957.010000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX HY36 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0K0K9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>78728.660000</valUSD>
        <pctVal>0.0019932</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.HY.36</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-06-21</terminationDt>
            <upfrontPmnt>109990.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>1200000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-31261.340000</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>317525RX3 PIMCO CDSOPT PUT USD 101.0 20220420</title>
        <cusip>OP001FDK7</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-2600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1783.570000</valUSD>
        <pctVal>-0.0000452</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <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>SWOP CDX HY37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCHY377"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCHY377"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8876.430000</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>317535YE6 PIMCO CDSOPT PUT USD 101.0 20220518</title>
        <cusip>OP001DKR9</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5543.160000</valUSD>
        <pctVal>-0.0001403</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
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            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCHY377"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>101.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-05-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7917.840000</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>317553BC8 PIMCO CDSOPT PUT USD 104.0 20220420</title>
        <cusip>OP001FB60</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-5500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-10753.820000</valUSD>
        <pctVal>-0.0002723</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
                    <counterpartyLei>9R7GPTSO7KV3UQJZQ078</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX HY37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCHY377"/>
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                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCHY377"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>104.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>29121.180000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317564WL2 PIMCO CDSOPT PUT USD 100.0 20220420</title>
        <cusip>OP001FNP5</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-2100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1184.270000</valUSD>
        <pctVal>-0.0000300</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>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>SWOP CDX HY37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCHY377"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX HY37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCHY377"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>100.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>11100.730000</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>CDX HY37 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KEH1"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>458695.980000</valUSD>
        <pctVal>0.0116128</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.HY.37</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>640301.100000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>7100000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>-181605.120000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX HY38 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KV17"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>50995.420000</valUSD>
        <pctVal>0.0012911</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.HY.38</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="5.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2027-06-22</terminationDt>
            <upfrontPmnt>42000.000000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>900000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>8995.420000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>AT&amp;T INC</name>
        <lei>549300Z40J86GGSTL398</lei>
        <title>AT+T INC SR UNSECURED 02/32 2.25</title>
        <cusip>00206RKH4</cusip>
        <identifiers>
          <isin value="US00206RKH48"/>
        </identifiers>
        <balance>386000.000000</balance>
        <units>PA</units>
        <curCd>USD</curCd>
        <valUSD>342857.830000</valUSD>
        <pctVal>0.0086802</pctVal>
        <payoffProfile>Long</payoffProfile>
        <assetCat>DBT</assetCat>
        <issuerCat>CORP</issuerCat>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <debtSec>
          <maturityDt>2032-02-01</maturityDt>
          <couponKind>Fixed</couponKind>
          <annualizedRt>2.25</annualizedRt>
          <isDefault>N</isDefault>
          <areIntrstPmntsInArrs>N</areIntrstPmntsInArrs>
          <isPaidKind>N</isPaidKind>
        </debtSec>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>31750J3P8 PIMCO CDSOPT PUT USD 0.9 20220420</title>
        <cusip>OP001C1X9</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-6200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-910.470000</valUSD>
        <pctVal>-0.0000231</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCIG375"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCIG375"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.900000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8451.530000</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>31750JB20 PIMCO CDSOPT PUT USD 1.0 20220615</title>
        <cusip>OP001GM33</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-7200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5107.680000</valUSD>
        <pctVal>-0.0001293</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
              <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>JPMorgan Chase Bank, National Association</counterpartyName>
                    <counterpartyLei>7H6GLXDRUGQFU57RNE97</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCIG375"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCIG375"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.000000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-06-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>5908.320000</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>31750JB53 PIMCO CDSOPT PUT USD 1.1 20220615</title>
        <cusip>OP001GTD4</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-7000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-3744.860000</valUSD>
        <pctVal>-0.0000948</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>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>SWOP CDX IG37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCIG375"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCIG375"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2026-12-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.100000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-06-15</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>10745.140000</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>317513XQ7 PIMCO CDSOPT PUT USD 1.05 20220518</title>
        <cusip>OP001G4Z2</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-7800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-2318.550000</valUSD>
        <pctVal>-0.0000587</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
              <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>GOLDMAN SACHS INTERNATIONAL</counterpartyName>
                    <counterpartyLei>W22LROWP2IHZNBB6K528</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG37 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCIG375"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
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            <delta>XXXX</delta>
            <unrealizedAppr>10005.450000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317522GZ7 PIMCO CDSOPT PUT USD 0.9 20220420</title>
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          <ticker value="CDX"/>
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        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
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            <putOrCall>Put</putOrCall>
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              <nestedDerivInfo>
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                  <derivAddlInfo>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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            <delta>XXXX</delta>
            <unrealizedAppr>10869.530000</unrealizedAppr>
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        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175439N8 PIMCO CDSOPT PUT USD 0.9 20220420</title>
        <cusip>OP001CG47</cusip>
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          <ticker value="CDX"/>
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        <balance>-13300000.000000</balance>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.900000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>15070.890000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>3175470N8 PIMCO CDSOPT PUT USD 1.2 20220615</title>
        <cusip>OP001HL99</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-14200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-5861.330000</valUSD>
        <pctVal>-0.0001484</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>MORGAN STANLEY &amp; CO. LLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>14315.170000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317556UU0 PIMCO CDSOPT PUT USD 0.85 20220518</title>
        <cusip>OP001DG29</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-6500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-4079.400000</valUSD>
        <pctVal>-0.0001033</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Citibank, National Association</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Citibank, National Association</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.850000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
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            <delta>XXXX</delta>
            <unrealizedAppr>3558.100000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317557BS4 PIMCO CDSOPT PUT USD 0.9 20220518</title>
        <cusip>OP001DZZ5</cusip>
        <identifiers>
          <ticker value="CDX"/>
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        <balance>-7100000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <pctVal>-0.0000917</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
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                  <counterparties>
                    <counterpartyName>BARCLAYS BANK PLC</counterpartyName>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <upfrontRcpt>0.000000</upfrontRcpt>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.900000</exercisePrice>
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            <delta>XXXX</delta>
            <unrealizedAppr>4258.510000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317562G00 PIMCO CDSOPT PUT USD 1.2 20220720</title>
        <cusip>OP001KDW0</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-7500000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>BNP Paribas S.A.</counterpartyName>
              <counterpartyLei>N/A</counterpartyLei>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>BNP Paribas S.A.</counterpartyName>
                    <counterpartyLei>N/A</counterpartyLei>
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                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
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                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
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            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
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            <expDt>2022-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>7771.720000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317562I73 PIMCO CDSOPT PUT USD 0.95 20220420</title>
        <cusip>OP001FXP4</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-16200000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1976.560000</valUSD>
        <pctVal>-0.0000500</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
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                  <derivAddlInfo>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                    </otherRefInst>
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            <delta>XXXX</delta>
            <unrealizedAppr>15843.440000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317562WO0 PIMCO CDSOPT PUT USD 0.9 20220518</title>
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        <curCd>USD</curCd>
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        <assetCat>DCR</assetCat>
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        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317566CK1 PIMCO CDSOPT PUT USD 0.9 20220420</title>
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          <ticker value="CDX"/>
        </identifiers>
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        <curCd>USD</curCd>
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        <pctVal>-0.0000491</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  <derivAddlInfo>
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                      <issuerName>N/A</issuerName>
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            <delta>XXXX</delta>
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        <securityLending>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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          <ticker value="CDX"/>
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        <payoffProfile>N/A</payoffProfile>
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        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

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        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                    <invCountry>US</invCountry>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
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                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <rcptCurCd>USD</rcptCurCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.850000</exercisePrice>
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            <expDt>2022-05-18</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>4455.880000</unrealizedAppr>
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        <securityLending>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
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        <cusip>OP001BVX8</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-7000000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <writtenOrPur>Written</writtenOrPur>
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                  <derivAddlInfo>
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                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
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                  <rcptCurCd>USD</rcptCurCd>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.900000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>10662.050000</unrealizedAppr>
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        </derivativeInfo>
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          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317582CF9 PIMCO CDSOPT PUT USD 0.85 20220420</title>
        <cusip>OP001CL66</cusip>
        <identifiers>
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        </identifiers>
        <balance>-9600000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
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        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  </counterparties>
                  <derivAddlInfo>
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                    <lei>N/A</lei>
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                    <identifiers>
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                    <curCd>USD</curCd>
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                    <assetCat>DCR</assetCat>
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                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
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            <shareNo>N/A</shareNo>
            <exercisePrice>0.850000</exercisePrice>
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            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>8815.680000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
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          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
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      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>317593Y88 PIMCO CDSOPT PUT USD 0.95 20220420</title>
        <cusip>OP001C6B2</cusip>
        <identifiers>
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        </identifiers>
        <balance>-13800000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-1683.740000</valUSD>
        <pctVal>-0.0000426</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
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            <counterparties>
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            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
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                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
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                    <identifiers>
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                    <curCd>USD</curCd>
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                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
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                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG37 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
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                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
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                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
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              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>0.950000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-04-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>15911.260000</unrealizedAppr>
          </optionSwaptionWarrantDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
      <invstOrSec>
        <name>N/A</name>
        <lei>N/A</lei>
        <title>CDX IG37 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KBZ4"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>3913692.380000</valUSD>
        <pctVal>0.0990832</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.IG.37</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2026-12-22</terminationDt>
            <upfrontPmnt>3334353.490000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>224500000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>579338.890000</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>317575GC6 PIMCO CDSOPT PUT USD 1.2 20220720</title>
        <cusip>OP001KY31</cusip>
        <identifiers>
          <ticker value="CDX"/>
        </identifiers>
        <balance>-7400000.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>-7611.570000</valUSD>
        <pctVal>-0.0001927</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <optionSwaptionWarrantDeriv derivCat="SWO">
            <counterparties>
              <counterpartyName>Bank of America, National Association</counterpartyName>
              <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
            </counterparties>
            <putOrCall>Put</putOrCall>
            <writtenOrPur>Written</writtenOrPur>
            <descRefInstrmnt>
              <nestedDerivInfo>
                <swapDeriv derivCat="SWP">
                  <counterparties>
                    <counterpartyName>Bank of America, National Association</counterpartyName>
                    <counterpartyLei>B4TYDEB6GKMZO031MB27</counterpartyLei>
                  </counterparties>
                  <derivAddlInfo>
                    <name>N/A</name>
                    <lei>N/A</lei>
                    <title>SWOP CDX IG38 (V1 ONLY) 5Y SP</title>
                    <cusip>000000000</cusip>
                    <identifiers>
                      <other otherDesc="Internal ID" value="SWPCIG383"/>
                    </identifiers>
                    <balance>0.000000</balance>
                    <units>NC</units>
                    <curCd>USD</curCd>
                    <valUSD>0.000000</valUSD>
                    <pctVal>0.000000</pctVal>
                    <assetCat>DCR</assetCat>
                    <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
                    <invCountry>US</invCountry>
                  </derivAddlInfo>
                  <descRefInstrmnt>
                    <otherRefInst>
                      <issuerName>N/A</issuerName>
                      <issueTitle>SWOP CDX IG38 (V1 ONLY) 5Y SP</issueTitle>
                      <identifiers>
                        <other otherDesc="Internal ID" value="SWPCIG383"/>
                      </identifiers>
                    </otherRefInst>
                  </descRefInstrmnt>
                  <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
                  <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
                  <terminationDt>2027-06-20</terminationDt>
                  <upfrontPmnt>0.000000</upfrontPmnt>
                  <pmntCurCd>USD</pmntCurCd>
                  <upfrontRcpt>0.000000</upfrontRcpt>
                  <rcptCurCd>USD</rcptCurCd>
                  <notionalAmt>N/A</notionalAmt>
                  <curCd>USD</curCd>
                </swapDeriv>
              </nestedDerivInfo>
            </descRefInstrmnt>
            <shareNo>N/A</shareNo>
            <exercisePrice>1.200000</exercisePrice>
            <exercisePriceCurCd>USD</exercisePriceCurCd>
            <expDt>2022-07-20</expDt>
            <delta>XXXX</delta>
            <unrealizedAppr>3562.430000</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>CDX IG38 5Y ICE</title>
        <cusip>000000000</cusip>
        <identifiers>
          <other otherDesc="Internal ID" value="SWPC0KSK9"/>
        </identifiers>
        <balance>1.000000</balance>
        <units>NC</units>
        <curCd>USD</curCd>
        <valUSD>2033549.880000</valUSD>
        <pctVal>0.0514835</pctVal>
        <payoffProfile>N/A</payoffProfile>
        <assetCat>DCR</assetCat>
        <issuerConditional desc="See item: C.11.b counterparty" issuerCat="OTHER"/>
        <invCountry>US</invCountry>
        <isRestrictedSec>N</isRestrictedSec>

        <fairValLevel>2</fairValLevel>
        <derivativeInfo>
          <swapDeriv derivCat="SWP">
            <counterparties>
              <counterpartyName>Intercontinental Exchange</counterpartyName>
              <counterpartyLei>5493000F4ZO33MV32P92</counterpartyLei>
            </counterparties>
            <descRefInstrmnt>
              <otherRefInst>
                <issuerName>N/A</issuerName>
                <issueTitle>CDX.NA.IG.38</issueTitle>
                <identifiers>
                  <ticker value="CDX"/>
                </identifiers>
              </otherRefInst>
            </descRefInstrmnt>
            <swapFlag>Y</swapFlag>
            <fixedRecDesc amount="0.000000" curCd="USD" fixedOrFloating="Fixed" fixedRt="1.000000"/>
            <otherPmntDesc fixedOrFloating="Other">Single Leg Swap</otherPmntDesc>
            <terminationDt>2027-06-22</terminationDt>
            <upfrontPmnt>1773764.310000</upfrontPmnt>
            <pmntCurCd>USD</pmntCurCd>
            <upfrontRcpt>0.000000</upfrontRcpt>
            <rcptCurCd>USD</rcptCurCd>
            <notionalAmt>124300000.000000</notionalAmt>
            <curCd>USD</curCd>
            <unrealizedAppr>259785.570000</unrealizedAppr>
          </swapDeriv>
        </derivativeInfo>
        <securityLending>
          <isCashCollateral>N</isCashCollateral>
          <isNonCashCollateral>N</isNonCashCollateral>
          <isLoanByFund>N</isLoanByFund>
        </securityLending>
      </invstOrSec>
    </invstOrSecs>
    <explntrNotes>
      <explntrNote note="A negative balance, which may be due to such circumstances as a net overdraft as of the reporting period-end, is reported as $0 in Item B.2.f - Cash and cash equivalents not reported in Parts C and D.  This is done in order to conform to the technical constraints of the XML type, which do not allow negative values in B.2.f." noteItem="B.2.f"/>
      <explntrNote note="Total returns do not deduct sales loads and redemption fees." noteItem="B.5.a"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.c.vi"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.d.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.e.iii"/>
      <explntrNote note="To the extent an instrument's maturity date, termination date, expiration date, or settlement date does not exist or is not available as of period end, and is required for reporting, the registrant will disclose 12/31/2500." noteItem="C.11.f.ii"/>
      <explntrNote note="The form requires the filer to report ISO country codes and certain supranational entities are not on the ISO country code list.  Instruments issued by or economic exposure to a supranational entity may be disclosed as N/A." noteItem="C.5.a"/>

    </explntrNotes>
    <signature>
      <ncom:dateSigned>2022-05-12</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>
</edgarSubmission>
